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10/16/2017Monday, October 16, 2017 1:00 PM City of Clearwater City Hall 112 S. Osceola Avenue Clearwater, FL 33756 Council Chambers Pension Trustees Meeting Agenda October 16, 2017Pension Trustees Meeting Agenda 1. Call To Order 2. Approval of Minutes 2.1 Approve the minutes of the September 18, 2017 Pension Trustees Meeting as submitted in written summation by the City Clerk. 3. Citizens to be Heard Regarding Items Not on the Agenda 4. New Business Items 4.1 Approve the new hires for acceptance into the Pension Plan as listed. 4.2 Approve the following request of employees Adam Jacques, Police Department and Matthew Roach, Solid Waste General Services Department, to vest their pensions as provided by Section 2.419 of the Employees’ Pension Plan. 4.3 Approve the following request of employees John Fahey, Planning and Development Department, Stephen Finney, Gas Department, Cheryl Ford, Finance Department, Donald Hall, Police Department, Jay Holsombach, Police Department, Michael Pryor, Solid Waste General Services, Clyde Renfroe, Police Department and Brian Sweeney, Library Department for a regular pension as provided by Sections 2.416 and 2.424 of the Employees’ Pension Plan. 4.4 Approve the termination of international emerging markets equity money manager Eaton Vance and authorize the appropriate officials to execute same. 4.5 Approve investment of up to $40,000,000 in the Dimensional Fund Advisors (DFA) Emerging Markets Core Equity Portfolio mutual fund and authorize the appropriate officials to execute same. 5. Adjourn Page 2 City of Clearwater Printed on 10/12/2017 Cover Memo City of Clearwater City Hall 112 S. Osceola Avenue Clearwater, FL 33756 File Number: ID#17-3928 Agenda Date: 10/16/2017 Status: Agenda ReadyVersion: 1 File Type: MinutesIn Control: Pension Trustees Agenda Number: 2.1 SUBJECT/RECOMMENDATION: Approve the minutes of the September 18, 2017 Pension Trustees Meeting as submitted in written summation by the City Clerk. SUMMARY: APPROPRIATION CODE AND AMOUNT: USE OF RESERVE FUNDS: Page 1 City of Clearwater Printed on 10/12/2017 Pension Trustees Meeting Minutes September 18, 2017 City of Clearwater City Hall 112 S. Osceola Avenue Clearwater, FL 33756 Meeting Minutes Monday, September 18, 2017 6:00 PM Council Chambers Pension Trustees Page 1 City of Clearwater Draft Pension Trustees Meeting Minutes September 18, 2017 Roll Call Present 5 - Chair George N. Cretekos, Trustee Doreen Caudell, Trustee Bob Cundiff, Trustee Hoyt Hamilton, and Trustee Bill Jonson Also Present – William B. Horne – City Manager, Jill Silverboard – Deputy City Manager, Micah Maxwell – Assistant City Manager, Pamela K. Akin – City Attorney, Rosemarie Call – City Clerk, Nicole Sprague – Official Records and Legislative Services Coordinator, and Joe Roseto – Human Resources Director To provide continui ty for research, items are listed in agenda order although not ne cessarily discussed in that order. Unapproved 1. Call To Order – Chair Cretekos The meeting was called to order at 6:41 p.m. at City Hall. 2. Approval of Minutes 2.1 Approve the minutes of the August 14, 2017 Pension Trustees Meeting as submitted in written summation by the City Clerk. Trustee Jonson moved to approve the minutes of the August 14, 2017 Pension Trustees Meeting as submitted in written summation by the City Clerk. The motion was duly seconded and carried unanimously. 3. Citizens to be Heard Regarding Items Not on the Agenda – None. 4. New Business Items 4.1 Approve the new hires for acceptance into the Pension Plan as listed. Name/Job Classification/Department Pension Eligibility Date Jacinta Garcia Corcoba, Engineering Technician, Gas 07/10/2017 Ileana Diaz, Police Information Technician I, Police 07/10/2017 Jeffery Harmon, Library Technology Specialist, Library 07/10/2017 Michael Lavery, Parks Support and Planning Spec., Parks and Re. 07/10/2017 Eric Keels, Parks Service Technician I, Parks and Recreation 07/10/2017 Garett Lanzilotta, Parks Service Technician I, Parks and Recreation 07/10/2017 Page 2 City of Clearwater Draft Pension Trustees Meeting Minutes September 18, 2017 Tara Elswick, Senior Staff Assistant, Public Utilities 07/10/2017 Joshua Wolfe, WasteWater Treatment Plant Op. Trainee, Public Utilities 07/10/2017 Joshua Naylor, Survey Assistant I, Engineering 07/10/2017 Teresa Simpson, Electronics Technician, Public Utilities 07/10/2017 Isabel Mastrapa Rodriguez, Customer Service Rep., Planning and Dev. 07/24/2017 Michael Flory, Police Communications Operator Trainee, Police 07/24/2017 Richonja Blanchard, Police Communications Operator Trainee, Police 07/24/2017 Ernest Bell, Solid Waste Worker, Solid Waste 07/24/2017 Richard Camble, Solid Waste Worker, Solid Waste 07/24/2017 Trustee Caudell moved to approve the new hires for acceptance into the Pension Plan as listed. The motion was duly seconded and carried unanimously. 4.2 Approve the following request of employees Georgia Calder, Parks and Recreation Department, Robert Lillico, Solid Waste General Services, Rebecca Shelor, Police Department and Paul Tavernier, Public Utilities Department, for a regular pension as provided by Sections 2.416 and 2.424 of the Employees’ Pension Plan. Georgia Calder, Parks Service Technician II, Parks and Recreation Department, was employed by the City on July 20, 1998, and her pension service credit is effective on that date. Her pension will be effective November 1, 2017. Based on an average salary of approximately $34,047.35 over the past five years, the formula for computing regular pensions and Ms. Calder’s selection of the Life Annuity, this pension benefit will be approximately $18,026.40 annually. Robert Lillico, Solid Waste Supervisor I, Solid Waste General Services Department, was employed by the City on July 5, 1988, and his pension service credit is effective on that date. His pension will be effective September 1, 2017. Based on an average salary of approximately $56,163.96 over the past five years, the formula for computing regular pensions and Mr. Lillico’s selection of the Life Annuity, this pension benefit will be approximately $45,030.96 annually. Rebecca Shelor, Police Communications Operator, Police Department, was employed by the City on May 20, 1987, and her pension service credit is effective on March 14, 1988. Her pension will be effective August 1, 2017. Based on an average salary of approximately $59,035.89 over the past five years, the formula for computing regular pensions and Ms. Shelor’s selection of the 100% Joint and Survivor Annuity with a 30% Partial Lump Sum, this pension benefit will be approximately $26,772.60 annually. Paul Tavernier, Wastewater Treatment Plant Operator A, Public Utilities Department, was employed by the City on March 9, 1992, and his pension service credit is effective on that date. His pension will be effective August 1, Page 3 City of Clearwater Draft Pension Trustees Meeting Minutes September 18, 2017 2017. Based on an average salary of approximately $70,659.89 over the past five years, the formula for computing regular pensions and Mr. Tavernier’s selection of the 100% Joint and Survivor Annuity, this pension benefit will be approximately $48,286.44 annually. Section 2.416 provides for normal retirement eligibility for non-hazardous duty employees hired prior to the effective date of this reinstatement (January 1, 2013), a member shall be eligible for retirement following the earlier of the date on which a participant has reached the age of fifty-five years and completed twenty years of credited service; the date on which a participant has reached age sixty-five years and completed ten years of credited service; or the date on which a member has completed thirty years of service regardless of age. For non-hazardous duty employees hired on or after the effective date of this restatement, a member shall be eligible for retirement following the earlier of the date on which a participant has reached the age of sixty years and completed twenty-five years of credited service; or the date on which a participant has reached the age of sixty-five years and completed ten years of credited service. Ms. Calder, Mr. Lillico, Ms. Shelor and Mr. Tavernier have met the non-hazardous duty criteria. Section 2.416 provides for normal retirement eligibility for hazardous duty employees, a member shall be eligible for retirement following the earlier of the date on which the participant has completed twenty years of credited service regardless of age, or the date on which the participant has reached fifty-five years and completed ten years of credited service. Trustee Cundiff moved to approve the following request of employees Georgia Calder, Parks and Recreation Department, Robert Lillico, Solid Waste General Services, Rebecca Shelor, Police Department and Paul Tavernier, Public Utilities Department, for a regular pension as provided by Sections 2.416 and 2.424 of the Employees’ Pension Plan. The motion was duly seconded and carried unanimously. 4.3 Approve pension plan expenditures for fiscal year 2018 totaling $338,500. The Employees’ Pension Plan does not have a legally required budget, however all expenditures must be approved by the Trustees. The following are routine administrative expenditures that staff is requesting approval of for administrative efficiency. The recommended expenditures for fiscal year 2018 reflect a $7,400, or 2.1% Page 4 City of Clearwater Draft Pension Trustees Meeting Minutes September 18, 2017 decrease from the fiscal 2017 expenditures. This decrease is primarily due to a $15,000 fiscal 2017 one-time capital project to convert the pension payroll administrator’s cubicle to a private office. After adjustment for the one-time expenditure, fiscal year 2018 reflects a $7,600, or 2.3% increase, primarily due to a $5,000 increase in actuarial consulting fees as a contingency for services related to pension negotiations. Training and travel are the estimated costs of pension training and related travel, including fiduciary training for the Trustees and Pension Advisory Committee (PAC) members. This is a not-to-exceed amount given uncertainty regarding the number of Trustees and PAC members that may elect to pursue training. Reimbursements to the General Fund and Central Insurance Fund are for the cost of oversight and administration of the Plan. The reimbursements are for services provided by Human Resources, Payroll, and Finance personnel, along with related operating expenditures. The firm of Klausner, Kaufman, Jensen and Levinson currently serves as the Plan’s pension attorneys. Annual attorney fees also include medical bills for medical services authorized by the PAC, as well as attorney fees for disability cases and hearings. Money manager, performance measurement consulting, custodial/safekeeping, and actuary fees (other than actuary hourly consulting) are all governed by contracts separately approved by the Trustees, and are not included in this agenda item total. APPROPRIATION CODE AND AMOUNT: 0646-xxxxx-5xxxxx (various pension plan expenditure codes) In response to questions, Finance Director Jay Ravins said the fiscal year 2017 year-to-date expenditures for the pension attorney total $47,629 and are incurred as needed. Mr. Ravins said there have been zero disability cases to date. Trustee Hamilton moved to approve pension plan expenditures for fiscal year 2018 totaling $338,500. The motion was duly seconded and carried unanimously. Page 5 City of Clearwater Draft Pension Trustees Meeting Minutes September 18, 2017 5. Adjourn The meeting adjourned at 6:45 p.m. Chair Employees’ Pension Plan Trustees Attest City Clerk Page 6 City of Clearwater Draft Cover Memo City of Clearwater City Hall 112 S. Osceola Avenue Clearwater, FL 33756 File Number: ID#17-3859 Agenda Date: 10/16/2017 Status: Agenda ReadyVersion: 2 File Type: Action ItemIn Control: Pension Trustees Agenda Number: 4.1 SUBJECT/RECOMMENDATION: Approve the new hires for acceptance into the Pension Plan as listed. SUMMARY: Name/Job Classification/Department Pension Eligibility Date Eric Jewett, Code Enforcement Inspector, Planning and Development 08/07/2017 Marcus Bullock, Police Property Clerk, Police 08/07/2017 Reginald Jackson, Solid Waste Equipment Operator, Solid Waste 08/07/2017 Harlan Hamilton, Solid Waste Equipment Operator, Solid Waste 08/07/2017 Teresa Mitchell Grein, Service Dispatcher, Gas 08/14/2017 Miranda Wincek, Police Cadet, Police 08/21/2017 Brian Aden, Legal Staff Assistant, Legal 08/21/2017 Theodore Hordych, Traffic Signal Technician, Engineering 08/21/2017 Kristian Greve, Traffic Signal Technician, Engineering 08/21/2017 Terry Johnson, Water Distribution Operator Trainee, Public Utilities 08/21/2017 Taylor Thomason, Recreation Leader, Parks and Recreation 08/21/2017 APPROPRIATION CODE AND AMOUNT: N/A USE OF RESERVE FUNDS: N/A Page 1 City of Clearwater Printed on 10/12/2017 Interoffice Correspondence Sheet TO: Pension Advisory Committee FROM: Joseph Roseto, Human Resources Director SUBJECT: Recommendation for Acceptance into Pension Plan DATE: Subject/Recommendation: Recommend approval of the new hires for acceptance into the Pension Plan as listed. Name Job Classification Department Pension Eligibility Date Eric Jewett Code Enforcement Inspector Planning and Development 08/07/2017 Marcus Bullock Police Property Clerk Police 08/07/2017 Reginald Jackson Solid Waste Equipment Operator Solid Waste 08/07/2017 Harlan Hamilton Solid Waste Equipment Operator Solid Waste 08/07/2017 Teresa Mitchell Grein Service Dispatcher Gas 08/14/2017 Miranda Wincek Police Cadet Police 08/21/2017 Brian Aden Legal Staff Assistant Legal 08/21/2017 Theodore Hordych Traffic Signal Technician Engineering 08/21/2017 Kristian Greve Traffic Signal Technician Engineering 08/21/2017 Terry Johnson Water Distribution Operator Trainee Public Utilities 08/21/2017 Taylor Thomason Recreation Leader Parks and Recreation 08/21/2017 Cover Memo City of Clearwater City Hall 112 S. Osceola Avenue Clearwater, FL 33756 File Number: ID#17-3860 Agenda Date: 10/16/2017 Status: Agenda ReadyVersion: 2 File Type: Action ItemIn Control: Pension Trustees Agenda Number: 4.2 SUBJECT/RECOMMENDATION: Approve the following request of employees Adam Jacques, Police Department and Matthew Roach, Solid Waste General Services Department, to vest their pensions as provided by Section 2.419 of the Employees’ Pension Plan. SUMMARY: Adam Jacques, Police Officer, Police Department, was employed by the City on January 8, 2007, and began participating in the Pension Plan on that date. Mr. Jacques terminated from City employment on August 04, 2017. Matthew Roach, Solid Waste Equipment Operator, Solid Waste General Services Department, was employed by the City on March 11, 2002, and began participating in the Pension Plan on that date. Mr. Roach terminated from City employment on January 11, 2017. The Employees’ Pension Plan provides that should an employee cease to be an employee of the City of Clearwater or change status from full -time to part-time after completing ten or more years of creditable service (pension participation ), such employee shall acquire a vested interest in the retirement benefits. Vested pension payments commence on the first of the month following the month in which the employee normally would have been eligible for retirement. Section 2.416 provides for normal retirement eligibility for non -hazardous duty employees hired prior to the effective date of this reinstatement (January 1, 2013), a member shall be eligible for retirement following the earlier of the date on which a participant has reached the age of fifty-five years and completed twenty years of credited service; the date on which a participant has reached age sixty -five years and completed ten years of credited service; or the date on which a member has completed thirty years of service regardless of age. For non -hazardous duty employees hired on or after the effective date of this restatement, a member shall be eligible for retirement following the earlier of the date on which a participant has reached the age of sixty years and completed twenty -five years of credited service; or the date on which a participant has reached the age of sixty -five years and completed ten years of credited service . Mr. Roach will meet the non-hazardous duty criteria and begin collecting a pension in April 2022. Section 2.416 provides for normal retirement eligibility for hazardous duty employees, a member shall be eligible for retirement following the earlier of the date on which the participant has completed twenty years of credited service regardless of age, or the date on which the participant has reached fifty -five years and completed ten years of credited service. Mr. Jacques will meet the hazardous duty criteria and begin collecting pension in February 2027. Page 1 City of Clearwater Printed on 10/12/2017 File Number: ID#17-3860 APPROPRIATION CODE AND AMOUNT: N/A USE OF RESERVE FUNDS: N/A Page 2 City of Clearwater Printed on 10/12/2017 Cover Memo City of Clearwater City Hall 112 S. Osceola Avenue Clearwater, FL 33756 File Number: ID#17-3861 Agenda Date: 10/16/2017 Status: Agenda ReadyVersion: 2 File Type: Action ItemIn Control: Pension Trustees Agenda Number: 4.3 SUBJECT/RECOMMENDATION: Approve the following request of employees John Fahey, Planning and Development Department, Stephen Finney, Gas Department, Cheryl Ford, Finance Department, Donald Hall, Police Department, Jay Holsombach, Police Department, Michael Pryor, Solid Waste General Services, Clyde Renfroe, Police Department and Brian Sweeney, Library Department for a regular pension as provided by Sections 2.416 and 2.424 of the Employees’ Pension Plan. SUMMARY: John Fahey, Plan Examiner, Planning and Development Department, was employed by the City on May 15, 2006, and his pension service credit is effective on August 7, 2006. His pension will be effective October 1, 2017. Based on an average salary of approximately $47,246.18 over the past five years, the formula for computing regular pensions and Mr. Fahey’s selection of the Life Annuity, this pension benefit will be approximately $14,407.44 annually. Stephen Finney, Gas Tech II, Gas Department, was employed by the City on September 15, 1997, and his pension service credit is effective on that date. His pension will be effective October 1, 2017. Based on an average salary of approximately $37,756.77 over the past five years, the formula for computing regular pensions and Mr. Finney’s selection of the 66 2/3% Joint and Survivor Annuity, this pension benefit will be approximately $19,187.88 annually. Cheryl Ford, Accountant, Finance Department, was employed by the City on November 28, 1994, and her pension service credit is effective on that date. Her pension will be effective September 1, 2017. Based on an average salary of approximately $45,769.41 over the past five years, the formula for computing regular pensions and Ms. Ford’s selection of the 100% Joint and Survivor Annuity, this pension benefit will be approximately $25,329.00 annually. Donald Hall, Police Deputy Chief, Police Department, was employed by the City on May 21, 1984, and his pension service credit is effective on that date. His pension will be effective October 1, 2017. Based on an average salary of approximately $109,048.88 over the past five years, the formula for computing regular pensions and Mr. Hall’s selection of the 100% Joint and Survivor Annuity, this pension benefit will be approximately $97,953.96 annually. Jay Holsombach, Police Sergeant, Police Department, was employed by the City on April 28, 1997, and his pension service credit is effective on that date. His pension will be effective October 1, 2017. Based on an average salary of approximately $105,287.08 over the past five years, the formula for computing regular pensions and Mr. Holsombach’s selection of the Life Annuity, this pension benefit will be approximately $64,304.64 annually. Page 1 City of Clearwater Printed on 10/12/2017 File Number: ID#17-3861 Michael Pryor, Solid Waste Program Coordinator, Solid Waste General Services Department, was employed by the City on November 2, 1987, and his pension service credit is effective on that date. His pension will be effective December 1, 2017. Based on an average salary of approximately $65,532.73 over the past five years, the formula for computing regular pensions and Mr. Pryor’s selection of the 100% Joint and Survivor Annuity, this pension benefit will be approximately $50,147.52 annually. Clyde Renfroe, Police Officer, Police Department, was employed by the City on June 9, 1997, and his pension service credit is effective on that date. His pension will be effective September 1, 2017. Based on an average salary of approximately $93,427.52 over the past five years, the formula for computing regular pensions and Mr. Renfroe’s selection of the 100% Joint and Survivor Annuity, this pension benefit will be approximately $51,145.44 annually. Brian Sweeney, Library Assistant, Library Department, was employed by the City on December 23, 1996, and his pension service credit is effective on September 15, 1997. His pension will be effective October 1, 2017. Based on an average salary of approximately $32,770.44 over the past five years, the formula for computing regular pensions and Mr. Sweeney’s selection of the Life Annuity, this pension benefit will be approximately $18,026.28 annually. Section 2.416 provides for normal retirement eligibility for non -hazardous duty employees hired prior to the effective date of this reinstatement (January 1, 2013), a member shall be eligible for retirement following the earlier of the date on which a participant has reached the age of fifty-five years and completed twenty years of credited service; the date on which a participant has reached age sixty -five years and completed ten years of credited service; or the date on which a member has completed thirty years of service regardless of age. For non -hazardous duty employees hired on or after the effective date of this restatement, a member shall be eligible for retirement following the earlier of the date on which a participant has reached the age of sixty years and completed twenty -five years of credited service; or the date on which a participant has reached the age of sixty -five years and completed ten years of credited service . Mr. Fahey, Mr. Finney, Ms. Ford, Mr. Pryor and Mr. Sweeney have met the non -hazardous duty criteria. Section 2.416 provides for normal retirement eligibility for hazardous duty employees, a member shall be eligible for retirement following the earlier of the date on which the participant has completed twenty years of credited service regardless of age, or the date on which the participant has reached fifty -five years and completed ten years of credited service. Mr. Hall, Mr. Holsombach and Mr. Renfroe have met the hazardous duty criteria. APPROPRIATION CODE AND AMOUNT: N/A USE OF RESERVE FUNDS: N/A Page 2 City of Clearwater Printed on 10/12/2017 Cover Memo City of Clearwater City Hall 112 S. Osceola Avenue Clearwater, FL 33756 File Number: ID#17-3937 Agenda Date: 10/16/2017 Status: Agenda ReadyVersion: 1 File Type: Action ItemIn Control: Pension Trustees Agenda Number: 4.4 SUBJECT/RECOMMENDATION: Approve the termination of international emerging markets equity money manager Eaton Vance and authorize the appropriate officials to execute same. SUMMARY: Eaton Vance was hired as an international emerging markets equity manager for the plan in February 2008. As of June 30, 2017, the market value of the plan ’s investment in Eaton Vance totaled $36.45 million, or 3.79% of the total investment portfolio. Eaton Vance ’s performance has steadily declined in recent years, as detailed below. The Pension Investment Committee unanimously recommends termination at this time. Percentile As of 6/30/2017 Eaton Vance Ranking Benchmark Last 3 years (1.16)% 91st 1.44% Last 5 years 3.25% 95th 4.33% Staff will be bringing a separate agenda item forward for the replacement of Eaton Vance in the international emerging markets equity portfolio category. Page 1 City of Clearwater Printed on 10/12/2017 ::KLWLQJ6WUHHW6XLWH7DPSD)/Ƈ7HO (ULF:%DLOH\&)$-RKQ-*ULIILWK 0DQDJLQJ3ULQFLSDO 6HQLRU,QYHVWPHQW&RQVXOWDQW &,7<2)&/($5:$7(5 (03/2<((63(16,213/$1 3(5)250$1&(5(9,(: June 30, 201 7$%/(2)&217(176 ,PSRUWDQW'LVFODLPHU,QIRUPDWLRQ &DSLWDO0DUNHWV5HYLHZ )XQG2YHUYLHZ 3HUIRUPDQFH5HYLHZ 7RWDO)XQG 'RPHVWLF(TXLW\ ,QWHUQDWLRQDO(TXLW\ )L[HG,QFRPH 5HDO(VWDWH $SSHQGL[ ,03257$17',6&/$,0(5,1)250$7,21 This report has been created as a courtesy for the clients of CapTrust Advisors, LLC. The information contained herein was taken from sources believed to be reliable, but no representation or warranty is made as to its accuracy or completeness. Performance Comparison Page Information: Shaded areas represent where the investment objective was achieved either by: 1) The investment return versus the index; 2) The investment return universe ranking (The lower the number the better the ranking) Due to methodologies utilized by our systems, the performance results presented are calculated and presented beginning on the last day of an account's inception month. Results do not include the interim period from an account's inception date to an account's first month-end. For example, for an account that has an inception date of March 15, this report begins measuring performance as of March 31. Omission of performance during this interim period is likely to result in different performance figures than if the interim period's performance was included in this report. Prior to January 1st 2016, manager returns were reported both gross and net of fees depending on custody arrangements and past practices. Effective January 1st 2016, prospectively, all manager returns will be reported net of fees. Past performance is no guarantee of future performance. This report is not the official record of your account. However, it has been prepared to assist you with your investment planning and is for information purposes only. Your Client Statement is the official record of your account. Therefore, if there are any discrepancies between this report and your Client Statement, you should rely on the Client Statement and call your Financial Advisor if you have any questions. Transactions requiring tax consideration should be reviewed carefully with your accountant or tax advisor. This is not a substitute for your own records and the year-end 1099 form. Cost data and acquisition dates provided by you are not verified by CapTrust Advisors, LLC. Indices are unmanaged and you cannot invest directly in an index. For index definitions, please see the Capital Markets Review. 11 2 This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Morningstar Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. CAPITAL MARKETS REVIEW June 30, 2017 Index QTR YTD 1 Yr 3 Yr 5 Yr 10 Yr Domestic Fixed Income 3 month T-Bill 0.20% 0.31% 0.49% 0.23% 0.17% 0.58% Barclays Capital 1-3 year Gov't 0.20% 0.48% -0.07% 0.71% 0.65% 2.01% Barclays Capital Interm Gov't 0.66% 1.20% -1.25% 1.47% 1.07% 3.39% Barclays Capital Interm Credit 1.38% 2.54% 1.36% 2.60% 2.99% 4.87% Barclays Capital Interm Govt/Cred 0.94% 1.73% -0.21% 1.92% 1.77% 3.87% Barclays Capital Aggregate Bond 1.45% 2.27% -0.31% 2.48% 2.21% 4.48% Domestic Equity Standard & Poor's 500 3.09% 9.34% 17.90% 9.61% 14.63% 7.18% Dow Jones Industrial Average 3.95% 9.35% 22.12% 11.01% 13.45% 7.57% Wilshire 5000 Total Market 2.95% 8.73% 18.54% 9.34% 14.61% 7.29% Wilshire US REIT 1.78% 1.82% -1.71% 8.30% 9.35% 5.63% Russell 1000 - Large Cap 3.06% 9.27% 18.03% 9.26% 14.67% 7.29% Russell 1000 Growth - Large Cap 4.67% 13.99% 20.42% 11.11% 15.30% 8.91% Russell 1000 Value - Large Cap 1.34% 4.66% 15.53% 7.36% 13.94% 5.57% Russell Midcap 2.70% 7.99% 16.48% 7.69% 14.72% 7.67% Russell Midcap Growth 4.21% 11.40% 17.05% 7.83% 14.19% 7.87% Russell Midcap Value 1.37% 5.18% 15.93% 7.46% 15.14% 7.23% Russell 2000 - Small Cap 2.46% 4.99% 24.60% 7.36% 13.70% 6.92% Russell 2000 Growth - Small Cap 4.39% 9.97% 24.40% 7.64% 13.98% 7.82% Russell 2000 Value - Small Cap 0.67% 0.54% 24.86% 7.02% 13.39% 5.92% International Equity MSCI World 4.03% 10.66% 18.20% 5.24% 11.38% 3.97% MSCI EAFE 6.12% 13.81% 20.27% 1.15% 8.69% 1.03% MSCI ACWI ex US 5.78% 14.10% 20.45% 0.80% 7.22% 1.13% MSCI EM 6.27% 18.43% 23.75% 1.07% 3.96% 1.91% Blended Benchmarks 25% S&P 500 / 5% MSCI EAFE / 70% Barclays Agg 2.09% 4.62% 5.27% 4.20% 5.64% 4.98% 30% S&P 500 / 10% MSCI EAFE / 60% Barclays Agg 2.41% 5.55% 7.21% 4.49% 6.59% 4.94% 35% S&P 500 / 15% MSCI EAFE / 50% Barclays Agg 2.72% 6.48% 9.15% 4.78% 7.53% 4.91% 40% S&P 500 / 20% MSCI EAFE / 40% Barclays Agg 3.04% 7.41% 11.09% 5.07% 8.48% 4.87% 45% S&P 500 / 25% MSCI EAFE / 30% Barclays Agg 3.35% 8.34% 13.03% 5.36% 9.42% 4.83% 3 4.0 4.5 5.0 5.5 6.0 6.5 7.0 150 170 190 210 230 250 270 290 Dec‐13 Jun‐14 Dec‐14 Jun‐15 Dec‐15 Jun‐16 Dec‐16 Non‐Farm Payrolls Added Unemployment Rate U.S Economic Overview Labor market solid, while headline inflation slowed The final look at first-quarter U.S. gross domestic product (GDP) beat expectations and was revised higher, to a 1.4 percent annualized expansion rate. The change was driven by a rise in personal consumption. June’s nonfarm payrolls beat expectations, with 222,000 net jobs added (versus expectations of 178,000). The unemployment rate rose to 4.4 percent. Wages increased 0.2 percent month-over-month and 2.5 percent year-over-year. Headline inflation slowed, with the Consumer Price Index (CPI) declining by -0.1 percent and slowing to a 1.9 percent year-over-year increase. Excluding the more volatile food and energy components, the CPI rose 0.1 percent for the month and 1.7 percent year-over-year. June’s Institute for Supply Management (ISM) manufacturing and services surveys both surprised to the upside. The manufacturing survey increased to 57.8, while the services survey improved to 57.4. In June, consumer confidence was better than expected, at 118.9, above May’s downward revision. The present situation component rose to the highest level since 2001, yet future expectations continued their downward trend after peaking in March. Housing-market data was mixed. Housing starts and building permits declined by -5.5 and -4.9, respectively. Existing home sales increased 1.1 percent, to a seasonally-adjusted 5.62-million-unit annual pace. New home sales rose 2.9 percent, to a seasonally-adjusted annual rate of 610,000 units. This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Source: Bloomberg Finance, LLP, 7/10/17 Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. CAPITAL MARKETS REVIEW June 30, 2017 Non-Farm Payrolls (6mo Moving Average in 000s) Non-Farm Payrolls Have Slowed Since Their 2014 Highs Unemployment Rate ISM Surveys Indicate Solid Economic Growth in the Second Quarter PMI Index level 46 48 50 52 54 56 58 60 2013 2014 2015 2016 2017 ISM Manufacturing PMI 4 ‐15 ‐10 ‐5 0 5 10 15 2012 2013 2014 2015 2016 2017 International Economic Overview Businesses feeling more positive in the Eurozone and Japan Eurozone economic expansion beat consensus expectations as a final report on first-quarter GDP showed 1.9 percent growth. Business and consumer sentiment also improved, as the Eurozone Markit Manufacturing Purchasing Managers’ Index (PMI) rose to 57.4 and consumer confidence hit a 10-year high. The U.K. outlook remains uncertain as Brexit negotiations begin, particularly following the setback in last month’s general elections. Nonetheless, the latest measures of U.K. manufacturing and services PMIs were above 50, signaling expanding activity. While consumer confidence recently has eased, the latest read remains above lows set 12 months ago. In Japan, GDP growth remained positive for the past five quarters—its longest stretch in more than a decade. Recent Japanese industrial production data shows the fastest advance in activity since early 2014. Business sentiment also remains robust, with the latest Tankan business survey result climbing to its highest level in three years. Chinese industrial production slowed to 6.4 percent in May from a high of 8.0 percent in 2014. Following government reforms, business sentiment weakened as the China Markit Manufacturing PMI Index dipped below 50 in June, signaling contracting activity. Yet, confidence among Chinese consumers is at its highest level in more than 20 years. This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Source: Bloomberg Finance, LLP, 7/10/17 Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. CAPITAL MARKETS REVIEW June 30, 2017 Business Conditions Index Confidence in Japan at Highest Level Since Before 2014’s Sales Tax Hike Eurozone Business and Consumer Sentiment Have Pushed Higher PMI Index Level Consumer Confidence Index Level ‐15 ‐10 ‐5 0 46 48 50 52 54 56 58 Manufacturing PMI Consumer Confidence 5 This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Source: Bloomberg Finance, LLP, 7/10/17 Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. Stock Market Review and Strategy Equity asset classes posted positive year-to-date returns S&P 500 Index returns were positive, up 3.1% for the quarter. Financials were the standouts, followed by Health Care. The run-up in Financials came as the Federal Reserve (Fed) raised rates last month signaling stronger sector margins. Information Technology remains this year’s standout sector performer with a year- to-date (YTD) return of 17.2 percent. Mid-cap and small-cap equities slightly under- performed large caps for the quarter but produced returns of 2.7 percent and 2.5 percent respectively. Developed-market (DM) equities continued to show strong returns for the quarter, though they took a breather in June. Emerging-market (EM) equities held on to solid returns. The dollar depreciated against DM currencies, boosting returns for U.S. investors. Canada led DMs, while the U.K was weakest, due to anemic currency performance and political concerns. Dollar-denominated EM equities gained despite dollar appreciation versus EM currencies. Israel returned +6.6 percent in U.S.-dollar terms, fueling the 6.1 percent second quarter EM equity gains. South Africa was weak due to recession concerns. S&P 500 Sector ReturnsStock Market Total Returns** Period Ending June 30, 2017 *Annualized returns **Index returns do not reflect the deduction of fees, expenses or taxes. CAPITAL MARKETS REVIEW June 30, 2017 Equity Indexes June QTD YTD 1 Yr 3 Yr *5 Yr* MSCI AC World (net)0.5% 4.3% 11.5% 18.8% 4.8% 10.5% S&P 500 0.6% 3.1% 9.3% 17.9% 9.6% 14.6% Russell 1000 Growth -0.3% 4.7% 14.0% 20.4% 11.1% 15.3% Russell 1000 Value 1.6% 1.3% 4.7% 15.5% 7.4% 13.9% Russell Mid Cap 1.0% 2.7% 8.0% 16.5% 7.7% 14.7% Russell 2000 3.5% 2.5% 5.0% 24.6% 7.4% 13.7% MSCI EAFE (net) -0.2% 6.1% 13.8% 20.3% 1.1% 8.7% MSCI EM (net)1.0% 6.3% 18.4% 23.7% 1.1% 4.0% MSCI Frontier (net)0.6% 6.1% 15.6% 19.2% -3.4% 8.6% ‐2.9% ‐2.7% ‐2.7% ‐2.3% ‐1.2% ‐0.2% 1.4% 1.9% 1.9% 4.6% 6.4% ‐10.7% 17.2% 8.8% 8.0% 11.0% ‐12.6% 9.5% 9.2% 6.4% 16.1% 6.9% Telecom Information Technology Utilities Consumer Staples Consumer Discretionary Energy Industrials Materials Real Estate Healthcare Financials YTD Jun 6 0 2 4 6 8 10 12 14 16 18 20 Investment Grade High Yield Emerging Markets This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Barclays Capital, Morningstar 7/10/17 Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. Bond Market Review and Strategy Bond prices subdued In June the Fed delivered a long-anticipated 25-basis-point rate hike (100 basis points equals 1 percent). The U.S. dollar remained fairly stable despite major headlines from the U.K. and other international markets. Domestic bond markets were generally higher for the quarter. Riskier and longer-dated sectors outperformed (as they have YTD). Municipals had positive returns for the quarter but declined in June. Many municipal/treasury yield ratios have fallen to levels near 12-month lows and are less attractive for taxable crossover (and other) buyers. Headline risk stemming from Illinois’ credit issues has led to some investor concern as well. Globally, an improved Eurozone economic environment supported peripheral markets. Australian and New Zealand markets were the top performers, supported by higher yields and firm currencies. EM bond performance was strong year-to-date but subdued in June. Local currency denominated bonds gained in dollar terms, mostly from yield Currencies were broadly unchanged against the dollar in aggregate. Mexico was a strong performer on investor perceptions that rate increases and the peso fall were coming to an end. Declines in commodity prices weighed on Russia and Colombia. *Annualized returns **Index returns do not reflect the deduction of fees, expenses or taxes. Fixed Income Market Total Returns** Period Ending June 30, 2017 Credit Spreads to Treasury Securities Yield Spread (%) CAPITAL MARKETS REVIEW June 30, 2017 Fixed Income Indexes June QTD YTD 1 Yr 3 Yr *5 Yr* Global Multiverse -0.1% 2.6% 4.6% -1.4% -0.2% 1.1% U.S. Aggregate -0.1% 1.4% 2.3% -0.3% 2.5% 2.2% U.S. Treasury Bills 0.1% 0.2% 0.3% 0.4% 0.2% 0.1% U.S. Short-Term Taxable 0.0% 0.3% 0.7% 0.4% 1.0% 1.0% U.S. Interm-Term Taxable -0.4% 1.1% 1.8% -0.4% 2.2% 2.1% U.S Long-Term Taxable 0.8% 4.3% 5.8% -1.3% 5.2% 4.0% U.S. Treasury -0.2% 1.2% 1.9% -2.3% 2.0% 1.3% U.S. Corporate 0.3% 2.5% 3.8% 2.3% 3.6% 4.0% U.S. Municipal -0.4% 2.0% 3.6% -0.5% 3.3% 3.3% U.S. TIPS -0.9% -0.4% 0.9% -0.6% 0.6% 0.3% U.S. High Yield 0.1% 2.2% 4.9% 12.8% 4.5% 6.9% Developed ex. U.S.-0.3% 3.5% 5.6% -5.7% -2.0% -0.9% Emerging Market -0.3% 2.2% 6.2% 5.5% 4.6% 5.2% 7 This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Bloomberg Finance LLP, Morningstar, 7/10/17 Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. Real Assets Review and Strategy Collapse of oil prices hurt commodities Domestic real estate remained strong for the quarter. Broad-based commodity indices and master limited partnerships (MLPs) had losses for the quarter, both adversely affected by the collapse in oil prices. International real estate investment trusts (REITs) have benefited from improving investor confidence and relatively lower U.S. growth expectations. Domestic REITs benefited from largely upbeat economic news. Interest rates remain the main risk for public real estate. MLPs were down over 6 percent for the quarter due to falling oil prices. Oil prices rebounded significantly in late June, and MLPs ended the month of June with only a slight loss. Commodities lagged other asset classes for the quarter. Prices got some support from a weak dollar, but precious metals and energy commodities brought the major indices negative. Crude-oil and natural-gas demand failed to keep up with production. *Annualized returns **Index returns do not reflect the deduction of fees, expenses or taxes. Real Asset Total Returns** Period Ending June 30, 2017 Crude Oil vs. Gold 0 200 400 600 800 1000 1200 1400 1600 1800 2000 20 40 60 80 100 120 140 160 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 Crude Oil Gold Oil Price per Barrel (US$) Gold Price per Ounce (US$) CAPITAL MARKETS REVIEW June 30, 2017 REIT/Commodity Indexes June QTD YTD 1 Yr 3 Yr *5 Yr* Public Real Estate 0.9% 3.0% 5.4% 1.1% 4.6% 8.4% U.S. REITs 2.0% 2.3% 4.9% 0.2% 8.9% 10.0% International REITs -0.8% 5.0% 10.1% 6.0% 1.4% 7.4% S&P GSCI Commodity -1.9% -5.5% -10.2% -9.0% -24.8% -13.7% Bloomberg Commodity -0.2% -3.0% -5.3% -6.5% -14.8% -9.2% RICI Commodity -0.4% -4.1% -5.8% -3.6% -16.5% -8.8% MLPs -0.6% -6.4% -2.7% 0.4% -11.2% 1.8% 8 This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Bloomberg Finance LLP., Cambridge Associates, 7/10/17 Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. Alternatives Review and Strategy Decline in oil hurt macro strategy Relative Value: Relative Value showed slightly positive returns for the quarter. Legacy commercial mortgage-backed securities continue to mature and pay down principal, with defaults well below expectations from just a few months ago. Macro: It was a challenging quarter for many Macro managers, especially those that had short positions on volatility ahead of the nearly 50 percent jump in the CBOE Volatility Index® (VIX®) on June 29. Sharp moves in oil were challenging for both Discretionary and Systematic Macro strategies. Event Driven: While corporate deal activity remained healthy and quarterly returns were positive, June was a good reminder that not all deals end as planned. A high visibility drug-store-chain merger agreement was scuttled due to heavy antitrust scrutiny. Offsetting this was a $6.9 billion private-equity-firm acquisition of an office-supply chain that was the largest leveraged buyout of the year. Equity Hedge: Equity Hedge had strong returns for the quarter, up 2.3 percent. Gross leverage reached levels not seen since 2007. Managers were quick to reduce portfolio risk in June. Managers also reduced exposure to Energy and Health Care, while adding to Technology names. *Annualized returns **Index returns do not reflect the deduction of fees, expenses or taxes. AlternativesTotal Returns** Period Ending June 30, 2017 U.S. Private Equity Index Returns Quarterly Change (%) CAPITAL MARKETS REVIEW June 30, 2017 Alternative Indexes June QTD YTD 1 Year 3 Year *5 Year* Global Hedge Funds 0.4% 1.1% 3.7% 8.0% 2.6% 4.9% Relative Value 0.3% 0.6% 2.9% 7.9% 3.1% 5.5% Arbitrage 0.0% 0.4% 3.4% 5.2% 2.7% 3.4% Long/Short Credit 0.1% 0.9% 3.1% 10.1% 3.0% 5.1% Struct Credit/Asset Backed 0.6% 1.9% 4.6% 10.1% 4.8% 7.9% Macro -1.0% -0.7% -0.8% -2.5% 1.1% 1.0% Systematic -2.2% -1.6% -2.8% -7.7% 1.1% 0.2% Discretionary 0.0% 0.0% 0.7% 2.0% -0.3% 0.8% Event Driven 0.7% 1.8% 4.3% 12.8% 2.5% 6.1% Activist 1.3% 2.6% 4.2% 16.5% 6.4% 11.4% Distressed Credit 0.1% 0.6% 3.2% 14.8% 0.7% 5.7% Merger Arbitrage 0.9% 2.2% 3.1% 6.8% 3.3% 3.6% Equity Hedge 1.2% 2.3% 6.2% 12.5% 3.0% 6.3% Directional Equity 1.4% 2.8% 5.5% 11.1% 3.3% 6.5% Equity Market Neutral 0.0% -0.5% 0.7% 2.8% 2.9% 3.8% 9 Russell 1000 Value contains those Russell 1000 (larger capitalization) securities with a less-than-average growth orientation. Securities in this index generally have lower price-to-book and price-to-earnings ratios, higher dividend yields, and lower forecasted growth rates. Russell 1000 Growth contains those Russell 1000 (larger capitalization)securities with a greater-than-average growth orientation. Securities in this index generally have higher price-to-book and price-to-earnings ratios, lower dividend yields, and higher forecasted growth rates. Russell 2000 Value contains those Russell 2000 (smaller capitalization) securities with a less-than-average growth orientation. Securities in this index generally have lower price-to-book and price-to-earnings ratios than those in the Russell 2000 Growth Index. Russell 2000 Growth contains those Russell 2000 (smaller capitalization) securities with a greater-than-average growth orientation. Securities in this index generally have higher price-to-book and price-to-earnings ratios than those in the Russell 2000 Value Index. MSCI EAFE is the Morgan Stanley Capital International Europe, Australia, Far East Index designed to measure the performance of developed stock markets in these areas. Barclays Agg Bond is the Barclays Capital Aggregate Bond Index. This index includes U.S. government, corporate and mortgage-backed securities rated investment grade or higher with maturities up to 30 years. S&P 500 is a representative sample of 500 leading companies in leading industries of the U.S. economy. DJ Wilshire REIT is intended as a broad measure of the performance of publicly traded real estate equity. The index is comprised of companies whose charter is the equity ownership and operation of commercial real estate. This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Morningstar Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. CAPITAL MARKETS REVIEW June 30, 2017 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 Russell Russell DJ Russell Barclays Russell DJ DJ DJ Russell Barclays Russell Russell DJ Russell Russell DJ Russell Russell Russe ll BEST 1000 2000 Wilshire 2000 Agg 2000 Wilshire Wilshire Wilshire 1000 Agg 1000 2000 Wilshire 2000 2000 Wilshire 1000 2000 1000 Growth Growth REIT Value Bond Growth REIT REIT REIT Growth Bond Growth Growth REIT Value Growth REIT Growth Value Growth 38.71% 43.09% 31.04% 13.96% 10.27% 48.53% 33.14% 14.00% 36.13% 11.81% 5.24% 37.21% 29.09% 9.37% 18.05% 43.30% 31.78% 5.67% 31.74% 13.99% Russell Russell DJ DJ Russell Russell Russell Russell DJ Barclays Russell Russell DJ Russell 1000 2000 Wilshire Wilshire 2000 2000 2000 2000 Wilshire Agg 1000 2000 Wilshire 1000 Growth Value REIT REIT Value Value Value Growth REIT Bond Value Value REIT Value 28.57%33.16% 22.83% 12.36% 3.60% 46.02% 22.25% 13.54% 26.34% 11.17% -28.92% 34.47% 28.07% 7.84%17.51%34.52%13 .6 9 %4.23%17.3 4 %13 .8 1% Barclays Barclays Russell Russell Russell Russell Russell Russell Russell Russell Russell Russell Agg Agg 2000 1000 2000 2000 1000 2000 1000 1000 1000 2000 Bond Bond Value Value Value Growth Value Value Growth Growth Value Growth 20.33% 27.30% 11.63% 8.44% -11.42% 39.16% 20.25%7.05%23.48% 7.05%-36.85%31.78% 24.50% 2.64% 17.32% 33.48%13 .4 5% 1.3 8 % 11.9 6 %9.97% Russell Russell Russell Russell DJ Russell Russell Russell Barclays DJ Russell DJ Russell Russell Barclays Russell 1000 1000 1000 1000 Wilshire 1000 1000 1000 Agg Wilshire 1000 Wilshire 1000 1000 Agg 2000 Value Value Value Value REIT Value Growth Value Bond REIT Growth REIT Value Growth Bond Growth 15.63% 21.04% 7.01% -5.59% -15.52%36.06%16.49%5.26%22.25%6.97%-37.00%2 8 .4 6 % 16 .71%2 .11%17.12 %32.53%13.05% 0.55% 11.32%9.34% Barclays Russell Russell Russell Russell Russell Russell Russell Barclays DJ Russell Agg 10 0 0 2000 10 0 0 2000 1000 1000 1000 Ag g Wilshire 10 0 0 Bond Value Growth Value Growth Growth Value Value Bond REIT Value 8.67%7.35% -9.10%-9.22% -15.94%30.03%14 .3 1%4.91% 15.79% 5.49%-38.44%26.46% 15.51% 0.39% 16.00% 32.39%5.97% -0.81% 7.24%4.66% Russell DJ Russell Russell Russell Russell Russell Russell Russell Russell Russell Russell Russell Barclays 2000 Wilshire 1000 2000 2000 10 0 0 2000 2000 2000 1000 2000 2000 1000 Agg Growth REIT Growth Value Growth Value Growth Value Growth Growth Growth Growth Growth Bond 1.23% -2.57% -13.96%-11.88% -22.09%29.76%10 .8 7%4.71% 13.35%-0.17%-38.54% 20.58%15.06%-2.91% 15.26% 23.29% 5.60% -1.38% 7.08% 2.27% Russell Barclays Russell Russell Russell Russell Russell Russell Russell DJ Russell Russell Russell DJ Russell Russell Barclays DJ 2000 Agg 1000 1000 1000 1000 2000 1000 2000 Wilshire 1000 2000 2000 Wilshire 2000 10 0 0 Agg Wilshire Value Bond Growth Growth Growth Growth Growth Growth Value REIT Value Value Growth REIT Value Value Bond REIT -6.46% -0.83% -22.42% -20.42% -27.89%28.67%6.30% 4.15% 9.07% -9.78% -39.20%19.69%7.75% -5.50% 14.59% 1.86% 4.22%-3.83%2.65% 1.82% DJ Russell Russell Russell Barclays Barclays Barclays Barclays DJ Barclays Barclays Barclays Barclays Russell Russell Wilshire 2000 2000 2000 Agg Agg Agg Agg Wilshire Agg Agg Agg Agg 2000 2000 WORS T REIT Value Growth Growth Bond Bond Bond Bond REIT Bond Bond Bond Bond Value Value -17.00% -1.49% -22.43% -22.00% -30.27% 4.11% 4.34% 2.43% 4.33% -17.56% -45.09% 5.93% 6.54% -12.14% 4.22% -2.02% -4.48% -7.47% 1.00% 0.54% S&P 500 MSCI EAFE MSCI EAFE MSCI EAFE S&P 500 MSCI EAFE S&P 500 S&P 500 MSCI EAFE S&P 500 MSCI EAFE MSCI EAFE MSCI EAFE S&P 500 MSCI EAFE S&P 500 S&P 500 S&P 500 MSCI EAFE S&P 500 S&P 500 S&P 500 MSCI EAFE S&P 500 MSCI EAFE MSCI EAFE S&P 500 S&P 500 MSCI EAFE MSCI EAFE MSCI EAFE MSCI EAFE S&P 500 MSCI EAFE S&P 500 S&P 500 S&P 500 MSCI EAFE S&P 500 MSCI EAFE 10 -60 -40 -20 0 20 40 60 12/79 - 12/8012/80 - 12/8112/81 - 12/8212/82 - 12/8312/83 - 12/8412/84 - 12/8512/85 - 12/8612/86 - 12/8712/87 - 12/8812/88 - 12/8912/89 - 12/9012/90 - 12/9112/91 - 12/9212/92 - 12/9312/93 - 12/9412/94 - 12/9512/95 - 12/9612/96 - 12/9712/97 - 12/9812/98 - 12/9912/99 - 12/0012/00 - 12/0112/01 - 12/0212/02 - 12/0312/03 - 12/0412/04 - 12/0512/05 - 12/0612/06 - 12/0712/07 - 12/0812/08 - 12/0912/09 - 12/1012/10 - 12/1112/11-12/1212/12-12/1312/13-12/1412/14-12/15Domestic Equity vs. Fixed Income Mean 1 Standard Deviation 2 Standard Deviations Fixed Income Outperforming Domestic Equity OutperformingDomestic Equity vs. Fixed Income This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Morningstar Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. Invasion of Iraq Asian CrisisBlack Monday - Oct '87 Aug '82 –DJIA 776 CAPITAL MARKETS REVIEW June 30, 2017 RELATIVE PERFORMANCE OF KEY INDICES -60 -40 -20 0 20 40 60 12/79 - 12/8012/80 - 12/8112/81 - 12/8212/82 - 12/8312/83 - 12/8412/84 - 12/8512/85 - 12/8612/86 - 12/8712/87 - 12/8812/88 - 12/8912/89 - 12/9012/90 - 12/9112/91 - 12/9212/92 - 12/9312/93 - 12/9412/94 - 12/9512/95 - 12/9612/96 - 12/9712/97 - 12/9812/98 - 12/9912/99 - 12/0012/00 - 12/0112/01 - 12/0212/02 - 12/0312/03 - 12/0412/04 - 12/0512/05 - 12/0612/06 - 12/0712/07 - 12/0812/08 - 12/0912/09 - 12/1012/10 - 12/1112/11-12/1212/12-12/1312/13-12/1412/14-12/15Domestic Equity vs. Foreign Equity Mean 1 Standard Deviation 2 Standard Deviations Foreign Equity Outperforming Domestic Equity OutperformingDomestic Equity vs. Foreign Equity 11 This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Morningstar Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. CAPITAL MARKETS REVIEW June 30, 2017 RELATIVE PERFORMANCE OF KEY INDICES -40 -20 0 20 40 12/79 - 12/8012/80 - 12/8112/81 - 12/8212/82 - 12/8312/83 - 12/8412/84 - 12/8512/85 - 12/8612/86 - 12/8712/87 - 12/8812/88 - 12/8912/89 - 12/9012/90 - 12/9112/91 - 12/9212/92 - 12/9312/93 - 12/9412/94 - 12/9512/95 - 12/9612/96 - 12/9712/97 - 12/9812/98 - 12/9912/99 - 12/0012/00 - 12/0112/01 - 12/0212/02 - 12/0312/03 - 12/0412/04 - 12/0512/05 - 12/0612/06 - 12/0712/07 - 12/0812/08 - 12/0912/09 - 12/1012/10 - 12/1112/11-12/1212/12-12/1312/13-12/1412/14-12/15Large Cap vs. Small Cap Mean 1 Standard Deviation 2 Standard Deviations Small Cap Outperforming Large Cap OutperformingLarge Cap vs. Small Cap -60 -40 -20 0 20 40 60 12/79 - 12/8012/80 - 12/8112/81 - 12/8212/82 - 12/8312/83 - 12/8412/84 - 12/8512/85 - 12/8612/86 - 12/8712/87 - 12/8812/88 - 12/8912/89 - 12/9012/90 - 12/9112/91 - 12/9212/92 - 12/9312/93 - 12/9412/94 - 12/9512/95 - 12/9612/96 - 12/9712/97 - 12/9812/98 - 12/9912/99 - 12/0012/00 - 12/0112/01 - 12/0212/02 - 12/0312/03 - 12/0412/04 - 12/0512/05 - 12/0612/06 - 12/0712/07 - 12/0812/08 - 12/0912/09 - 12/1012/10 - 12/1112/11-12/1212/12-12/1312/13-12/1412/14-12/15Large Value vs. Large Growth Mean 1 Standard Deviation 2 Standard Deviations Growth Outperforming Value OutperformingLarge Value vs. Large Growth 12 This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Morningstar Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. CAPITAL MARKETS REVIEW June 30, 2017 RELATIVE PERFORMANCE OF KEY INDICES -60 -40 -20 0 20 40 60 12/79 - 12/8012/80 - 12/8112/81 - 12/8212/82 - 12/8312/83 - 12/8412/84 - 12/8512/85 - 12/8612/86 - 12/8712/87 - 12/8812/88 - 12/8912/89 - 12/9012/90 - 12/9112/91 - 12/9212/92 - 12/9312/93 - 12/9412/94 - 12/9512/95 - 12/9612/96 - 12/9712/97 - 12/9812/98 - 12/9912/99 - 12/0012/00 - 12/0112/01 - 12/0212/02 - 12/0312/03 - 12/0412/04 - 12/0512/05 - 12/0612/06 - 12/0712/07 - 12/0812/08 - 12/0912/09 - 12/1012/10 - 12/1112/11-12/1212/12-12/1312/13-12/1412/14-12/15Small Value vs. Small Growth Mean 1 Standard Deviation 2 Standard Deviations Growth Outperforming Value OutperformingSmall Value vs. Small Growth Growth Outperforming Value Outperforming -80 -60 -40 -20 0 20 40 60 80 12/79 - 12/8012/80 - 12/8112/81 - 12/8212/82 - 12/8312/83 - 12/8412/84 - 12/8512/85 - 12/8612/86 - 12/8712/87 - 12/8812/88 - 12/8912/89 - 12/9012/90 - 12/9112/91 - 12/9212/92 - 12/9312/93 - 12/9412/94 - 12/9512/95 - 12/9612/96 - 12/9712/97 - 12/9812/98 - 12/9912/99 - 12/0012/00 - 12/0112/01 - 12/0212/02 - 12/0312/03 - 12/0412/04 - 12/0512/05 - 12/0612/06 - 12/0712/07 - 12/0812/08 - 12/0912/09 - 12/1012/10 - 12/1112/11-12/1212/12-12/1312/13-12/1412/14-12/15Domestic Equity vs. REIT Mean 1 Standard Deviation 2 Standard Deviations REIT Outperforming Domestic Equity OutperformingDomestic Equity vs. REIT 13 This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Morningstar Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. CAPITAL MARKETS REVIEW June 30, 2017 RELATIVE PERFORMANCE OF KEY INDICES -120 -100 -80 -60 -40 -20 0 20 40 60 80 100 120 12/79 - 12/8012/80 - 12/8112/81 - 12/8212/82 - 12/8312/83 - 12/8412/84 - 12/8512/85 - 12/8612/86 - 12/8712/87 - 12/8812/88 - 12/8912/89 - 12/9012/90 - 12/9112/91 - 12/9212/92 - 12/9312/93 - 12/9412/94 - 12/9512/95 - 12/9612/96 - 12/9712/97 - 12/9812/98 - 12/9912/99 - 12/0012/00 - 12/0112/01 - 12/0212/02 - 12/0312/03 - 12/0412/04 - 12/0512/05 - 12/0612/06 - 12/0712/07 - 12/0812/08 - 12/0912/09 - 12/1012/10 - 12/1112/11-12/1212/12-12/1312/13-12/1412/14-12/15Fixed Income vs. REIT Mean 1 Standard Deviation 2 Standard Deviations REIT Outperforming Fixed Income OutperformingFixed Income vs. REIT 14 FIRM:Wells Fargo Advisors is the trade name used by two separate, registered broker/dealers and nonbank affiliates of Wells Fargo & Company, providing certain retail securities brokerage services: Wells Fargo Advisors, LLC., member FINRA, SIPC, and Wells Fargo Financial Network, LLC, member FINRA, SIPC. Investments in securities and insurance products are: NOT FDIC-INSURED/NOT BANK-GUARANTEED/MAY LOSE VALUE. CONFLICTS OF INTEREST:To review important information about certain relationships and potential conflicts of interest that may exist between Wells Fargo Advisors , its affiliates, and the companies that are mentioned in this report, please visit the our research disclosure page at www.wellsfargoadvisors.com/gotoresearchdisclosures or call your Financial Advisor. STATEMENT OF OPINION: This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Any opinions expressed or implied herein are not necessarily the same as those of Wells Fargo Advisors or its affiliates and are subject to change without notice. The report herein is not a complete analysis of every material fact in respect to any company, industry or security. Any market prices are only indications of market values and are subject to change. The material has been prepared or is distributed solely for information purposes and is not a solicitation or an offer to buy any security or instrument or to participate in any trading strategy. Additional information is available upon request. ASSET CLASS SUITABILITY:Stocks of small companies are typically more volatile than stocks of larger companies. They often involve higher risks because they may lack the management expertise, financial resources, product diversification and competitive strengths to endure adverse economic conditions. High-yield, non-investment grade bonds are only suitable for aggressive investors willing to take greater risks, which could result in loss of principal and interest payments. Global/International investing involves risks not typically associated with US investing, including currency fluctuations, political instability, uncertain economic conditions and different accounting standards. PAST PERFORMANCE:Past performance is not an indication of future results. ASSET CLASS PERFORMANCE REPRESENTATIONS:Long Term Treasuries = BC Treasury Long; Municipals = BC Municipal; Foreign Bonds = Salomon World BIG – IB; US Govt/Credit = BC Govt/Credit; Mtge Backed Securities = ML Mortgage Master; Corporate Bonds = Salomon Corporate; 90 Day T-Bills = Salomon; Japanese Stocks = Salomon Japan BMI; High Yield Bonds = ML High Yield Master; Small Cap US Value = RU 2000 Value; MidCap US Stocks = RU Midcap; Large Cap US Value = RU 1000 Value; European Stocks = Salomon Europe BMI; Small Cap US Stocks = RU 2000; Lg Cap US Growth = RU 1000 Growth; Latin American Stocks = Salomon Latin America BMI; Sm Cap US Growth = RU 2000 Growth BROAD EQUITY MARKET & SECTOR PERFORMANCE REPRESENTATIONS: Large-Cap = S&P 500 or Russell 1000; Mid-Cap = RU Midcap; Small-Cap = RU 2000; International = MSCI EAFE DATA SOURCES:Information found in this document was derived from the following sources: Zephyr Associates StyleAdvisor, Informa M-Watch, Investor Force, Barclays Capital, MSCI Barra, Standard & Poor’s, and Morningstar. This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. CAPITAL MARKETS REVIEW June 30, 2017 GENERAL DISCLOSURE STATEMENT 15 Dow Jones Industrial Average - This index is comprised of 30 "blue-chip" US stocks selected for their history of successful growth and wide interest among investors. The DJIA represents about 20% of the total market value of all US stocks and about 25% of the NYSE market capitalization. It is a price-weighted arithmetic average, with the divisor adjusted to reflect stock splits and the occasional stock switches in the index. NASDAQ Composite - A cap-weighted index comprised of all common stocks that are listed on the NASDAQ Stock Market (National Association of Securities Dealers Automated Quotation system). S&P 500 - A broad-based measurement of changes in stock market conditions based on the average performance of 500 widely held common stocks. This index does not contain the 500 largest companies nor the most expensive stocks traded in the U.S. While many of the stocks are among the largest, this index also includes many relatively small companies. This index consists of approximately 380 industrial, 40 utility, 10 transportation and 70 financial companies listed on U.S. market exchanges. It is a capitalization-weighted index (stock price times number of shares outstanding), calculated on a total return basis with dividends reinvested. S&P 500/Citigroup Growth - The S&P/Citigroup Growth tracks the performance of those stocks in the S&P 500 with lower book-to-price ratios. A cap-weighted index, it is rebalanced semi-annually, based on its price-to-book ratios and market capitalizations at the close of trading one month prior. The index is adjusted each month to reflect changes in the S&P 500. This index is more heavily weighted in the consumer non-cyclical, health care, and technology sectors than the S&P 500. S&P 500/Citigroup Value - The S&P Citigroup/Value tracks the performance of those stocks in the S&P 500 with higher book-to-price ratios. A cap-weighted index, it is rebalanced semi-annually on January 1 and July 1, based on its book-to- price ratios and market capitalizations at the close of trading one month prior. The index is adjusted each month to reflect changes in the S&P 500. This index tends to be more heavily concentrated in the energy and financial sectors than the S&P 500. Russell 1000 - The 1000 largest companies in the Russell 3000 index, based on market capitalization. Russell 1000 Growth - A segment of the Russell 1000 with a greater-than-average growth orientation. Companies in this index have higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values than the Russell 1000 Value index. Russell 1000 Value - Represents a segment of the Russell 1000 with a less-than-average growth orientation. Companies in this index have low price-to-book and price-earnings ratios, higher dividend yields and lower forecasted growth values than the Russell 1000 Growth Index. Russell Mid Cap - The index consisting of the bottom 800 securities in the Russell 1000 as ranked by total market capitalization, and it represents over 35% of the Russell 1000 total market cap. Russell 2000 - The 2000 smallest companies in the Russell 3000 index. Russell 2000 Growth - A segment of the Russell 2000 with a greater-than-average growth orientation. Companies in this index have higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values than the Russell 2000 Value index. Russell 2000 Value - A segment of the Russell 2000 with a less-than-average growth orientation. Companies in this index have low price-to-book and price-earnings ratios, higher dividend yields and lower forecasted growth values than the Russell 2000 Growth index. Russell 2500 - The index consisting of the bottom 500 stocks in the Russell 1000(as ranked by market capitalization) and all of the stocks in the Russell 2000. This index is intended to be used as a measure of small to medium/small stock performance, and it represents over 22% of the Russell 3000 total market cap. This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. CAPITAL MARKETS REVIEW June 30, 2017 GENERAL DISCLOSURE STATEMENT 16 MSCI EAFE - A market capitalization-weighted index representing all of the MSCI developed markets outside North America. It comprises 20 of the 22 countries in the MSCI World. These 20 countries include the 14 European countries in the MSCI Europe and the 6 Pacific countries in the MSCI Pacific. This index is created by aggregating the 20 different country indexes, all if which are created separately. MSCI World - This market capitalization-weighted index represents all 22 of the MSCI developed markets in the world. It is created by aggregating the 22 different country indexes, all if which are created separately. MSCI Emerging Markets Free (EMF)- A market capitalization-weighted index representing 26 of the emerging markets in the world. Several factors are used to designate whether a country is considered to be emerging vs. developed, the most common of which is Gross Domestic Product Per Capita. The "Free" aspect indicates that this index includes only securities that are allowed to be purchased by global investors. This index is created by aggregating the 26 different country indexes, all if which are created separately. Barclays Capital Government/Credit - This index includes all bonds that are in the Barclays Capital Government Bond and the Barclays Capital Credit Bond indices. Barclays Capital Government Intermediate - All bonds covered by the Barclays Capital Government Bond index with maturities of 1 and 10 years. Barclays Capital Aggregate Bond - This index is made up of the Barclays Capital Government/Credit, the Mortgage- Backed Securities, and the Asset-Backed Securities indices.All issues in the index are rated investment grade or higher, have at least one year to maturity, and have an outstanding par value of at least $100 million. Barclays Capital Government Long Term - All bonds covered by the Barclays Capital Government Bond index with maturities of 10 years or greater. Barclays Capital Municipal Bond - This market cap weighted index includes investment grade tax-exempt bonds and is classified into four main sectors: General Obligation, Revenue, Insured, and Pre-refunded. To be included in this index, the original transaction size of a bond must have been greater than $50 million. Merrill Lynch Convertibles - The convertible securities used in this index span all corporate sectors and must have a par amount outstanding of $25 million or more. The maturity must be at least one year. The coupon range must be equal to or greater than zero and all quality of bonds are included. Excluded from this index are preferred equity redemption stocks. When the component bonds of this index convert into common stock, the converted securities are dropped from the index. Merrill Lynch High Yield Master - Market-cap weighted index providing a broad-based measure of bonds in the US domestic bond market rated below investment grade but not in default. Includes only issues with a credit rating of BB1 or below as rated by Moody’s and/or S&P, at least $100 million in face value outstanding and a remaining term to final maturity equal to or greater than one year. Dow Jones Wilshire REIT Index - A measurement of equity REITs and Real Estate Operating Companies. No special- purpose or health care REITs are included. It is a market capitalization-weighted index for which returns are calculated monthly using buy and hold methodology; it is rebalanced monthly. Citigroup3MonthTreasuryBill- Representing the monthly return equivalents of yield averages that are not marked to market, this index is an average of the last three three-month Treasury bill issues. 50/50 Blend (S&P 500/BCIGC)– A blended benchmark consisting of 50% S&P 500 and 50% Barclays Capital Government/Credit Intermediate indices. This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. CAPITAL MARKETS REVIEW June 30, 2017 GENERAL DISCLOSURE STATEMENT 17 18 City of Clearwater Employees Pension Fund Asset Allocation vs Target & Policy Total Fund As of 6/30/17 Manager Market Value Actual %Policy % Voya Investment Mgmt NTGI-QM R1000V Eagle Capital Management Manning and Napier Artisan Partners Wedge Capital Mgmt Atlanta Capital Mgmt Systematic Financial Mgt Riverbridge Partners Total Domestic Equity Eaton Vance Mgmt WCM Investment Management Thompson, Siegel & Walmsley Total International Equity Dodge & Cox Western Asset Management Co. Security Lending Income Account In House Account Total Domestic Fixed Income Multi Employer Property Trust Security Capital Molpus Woodlands Group Hancock USAA U.S. Real Estate Investment Fund Total Real Estate Total Fund 128,772,224.55 44,191,896.26 44,307,388.23 39,205,062.86 42,468,383.69 38,437,302.09 13,033,467.20 12,343,928.69 27,587,981.46 390,347,635.03 36,446,616.13 76,720,977.71 76,992,986.39 190,160,580.23 127,420,967.40 127,765,914.21 533,052.81 1,266,007.55 256,985,941.97 45,267,168.80 37,586,948.09 11,915,495.00 8,325,723.00 10,896,411.69 11,375,139.00 125,366,885.58 962,861,042.81 13.37 4.59 4.60 4.07 4.41 3.99 1.35 1.28 2.87 40.54 3.79 7.97 8.00 19.75 13.23 13.27 0.06 0.13 26.69 4.70 3.90 1.24 0.86 1.13 1.18 13.02 100.00 39.00 18.00 28.00 15.00 19 City of Clearwater Employees Pension Fund Sources of Fund Growth Total Fund 3/31/17 - 6/30/17 Manager Name Beginning Value Net Contrib Invest Fees Invest Gain/Loss Ending Value Voya Investment Mgmt NTGI-QM R1000V Eagle Capital Management Manning and Napier Artisan Partners Wedge Capital Mgmt Atlanta Capital Mgmt Systematic Financial Mgt Riverbridge Partners Equity Earnest Partners CLOSED Eaton Vance Mgmt WCM Investment Management Thompson, Siegel & Walmsley International EQ Comp Dodge & Cox Western Asset Management Co. Security Lending Income Account In House Account Fixed Income Comp Multi Employer Property Trust Security Capital Molpus Woodlands Group Hancock USAA U.S. Real Estate Investment Fund Real Estate Comp Total Fund 123,054,077 43,584,704 42,624,257 38,006,112 39,681,482 37,171,908 12,602,106 12,422,411 25,302,131 374,449,187 5,413 35,096,682 70,065,800 72,499,597 177,667,492 125,723,872 125,874,546 372,616 12,212,572 264,183,606 44,628,618 37,231,997 11,915,495 8,393,734 10,957,199 11,242,001 124,369,045 940,669,331 127,950 4,358 85,674 62,892 84,348 59,216 25,872 30,764 61,669 542,743 -5,449 0 113,282 196,330 304,162 65,158 84,088 159,337 -10,946,564 -10,637,982 0 60,358 0 -68,011 0 0 -7,653 -9,798,729 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 5,590,198 602,833 1,597,458 1,136,058 2,702,554 1,206,178 405,490 -109,247 2,224,181 15,355,704 NA 1,349,934 6,541,896 4,297,059 12,188,889 1,631,938 1,807,281 1,100 0 3,440,318 638,551 294,593 0 0 -60,788 133,138 1,005,494 31,990,441 128,772,225 44,191,896 44,307,388 39,205,063 42,468,384 38,437,302 13,033,467 12,343,929 27,587,981 390,347,635 NA 36,446,616 76,720,978 76,992,986 190,160,580 127,420,967 127,765,914 533,053 1,266,008 256,985,942 45,267,169 37,586,948 11,915,495 8,325,723 10,896,412 11,375,139 125,366,886 962,861,043 20 City of Clearwater Employees Pension Fund Executive Summary Table Periods Ending June 30, 2017 Net of Fee Return Name Value $(000) Periods Ending 6/30/17 Cur Qtr 1 Year 3 Yrs 5 Yrs 7 Yrs 10 Yrs 15 Yrs Since Inception Ret Date Total Fund Policy Index Secondary Benchmark Domestic Equity Comp S&P 500 Large Cap Equity Comp R1000 Eagle Capital Management Russell 1000 Value Manning and Napier Russell 1000 Value NTGI-QM R1000V R1000V Voya Investment Mgmt R1000G Mid Cap Equity Comp R Mid Cap Artisan Partners R Mid Cap G Wedge Capital Mgmt R Mid Cap V Small Cap Equity Comp R2000 Atlanta Capital Mgmt Russell 2000 Riverbridge Partners R2000G Systematic Financial Mgt R2000V International EQ Comp MSCI ACWI ex US (Net) Eaton Vance Mgmt MSCI Emg Mkts Thompson, Siegel & Walmsley MSCI EAFE (Net) WCM Investment Management MSCI ACWI ex US (Net) 962,861 390,348 256,477 44,307 39,205 44,192 128,772 80,906 42,468 38,437 52,965 13,033 27,588 12,344 190,161 36,447 76,993 76,721 3.41 3.04 2.87 4.10 3.09 3.61 3.06 3.75 1.34 2.99 1.34 1.38 1.34 4.54 4.67 5.09 2.70 6.81 4.21 3.24 1.37 5.01 2.46 3.22 2.46 8.79 4.39 -0.88 0.67 6.86 5.78 3.85 6.38 5.92 6.12 9.34 5.78 11.85 10.44 11.34 19.49 17.90 19.14 18.03 23.41 15.53 15.99 15.53 15.36 15.53 20.09 20.42 18.53 16.48 17.20 17.05 19.68 15.93 22.85 24.60 14.15 24.60 28.26 24.40 22.85 24.86 18.40 20.45 17.69 24.17 20.32 20.26 17.14 20.45 6.25 5.91 9.34 9.61 10.00 9.26 10.19 7.36 8.24 7.36 7.38 7.36 11.31 11.11 8.29 7.69 7.18 7.83 9.29 7.46 8.54 7.36 10.47 7.36 10.09 7.64 3.21 7.02 -1.43 1.21 -1.16 1.44 9.75 9.03 14.85 14.63 14.98 14.67 14.12 13.94 15.36 15.30 14.98 14.72 13.70 14.20 16.06 15.14 14.04 13.70 15.27 13.94 14.16 13.98 12.22 13.38 5.11 8.91 3.25 4.33 10.50 10.08 15.72 15.41 15.28 15.43 14.27 14.31 16.71 16.48 16.42 15.28 16.38 15.24 16.33 15.29 16.09 14.35 17.04 13.89 13.48 13.50 5.46 8.22 3.54 4.22 6.72 5.86 8.14 7.18 7.53 7.29 5.62 5.56 9.61 8.91 9.19 7.67 10.02 7.87 9.09 7.23 8.15 6.92 11.83 6.18 5.70 5.92 0.83 1.38 7.74 7.96 9.45 8.34 8.60 8.62 9.71 9.03 10.74 10.50 11.43 10.34 5.76 6.70 9.19 9.27 11.27 10.48 10.53 10.47 14.41 12.28 11.99 12.28 5.62 5.56 11.74 10.13 12.51 11.70 9.91 8.10 9.41 7.48 10.07 9.30 12.51 9.34 15.52 13.71 8.66 9.14 4.79 5.33 0.69 0.97 2.80 3.01 8.80 4.31 12/31/87 12/31/87 12/31/15 12/31/87 12/31/87 3/31/88 3/31/88 1/31/13 1/31/13 1/31/13 1/31/13 6/30/07 6/30/07 12/31/87 12/31/87 3/31/88 3/31/88 7/31/01 7/31/01 2/28/07 2/28/07 8/31/03 8/31/03 8/31/03 8/31/03 9/30/10 9/30/10 8/31/03 8/31/03 5/31/01 5/31/01 4/30/08 4/30/08 7/31/15 7/31/15 7/31/15 7/31/15 21 City of Clearwater Employees Pension Fund Executive Summary Table Periods Ending June 30, 2017 Net of Fee Return Name Value $(000) Periods Ending 6/30/17 Cur Qtr 1 Year 3 Yrs 5 Yrs 7 Yrs 10 Yrs 15 Yrs Since Inception Ret Date Fixed Income Comp BC Agg Dodge & Cox BC Agg In House Account 3-month T-Bill Security Lending Income Account 3-month T-Bill Western Asset Management Co. BC Agg Real Estate Comp Policy Index Hancock NCREIF Timberland Index Molpus Woodlands Group NCREIF Timberland Index Multi Employer Property Trust NCREIF ODCE Security Capital Wilshire RESI U.S. Real Estate Investment Fund NCREIF ODCE Fund Index USAA NCREIF ODCE Fund Index 256,986 127,421 1,266 533 127,766 125,367 8,326 11,915 45,267 37,587 11,375 10,896 1.31 1.45 1.30 1.45 0.00 0.18 0.27 0.18 1.44 1.45 0.81 1.84 0.00 0.70 0.00 0.70 1.43 1.70 0.79 1.91 1.18 1.70 -0.55 1.70 1.57 -0.31 2.62 -0.31 0.00 0.46 2.13 0.46 0.33 -0.31 3.15 1.72 -0.66 3.35 1.01 3.35 6.16 7.87 -2.52 -1.23 12.13 7.87 9.57 7.87 3.08 2.48 3.08 2.48 0.00 0.20 3.56 0.20 2.91 2.48 7.92 9.81 2.56 5.54 3.06 5.54 9.82 11.34 7.83 8.82 3.18 2.21 3.61 2.21 -0.00 0.15 3.60 0.15 2.61 2.21 8.65 10.53 4.80 7.16 5.29 7.16 9.50 11.78 8.93 9.70 3.94 3.19 4.27 3.19 -0.00 0.13 4.71 0.13 3.51 3.19 11.84 13.59 12.53 13.50 5.21 4.48 5.41 4.48 -0.00 0.51 6.73 0.51 4.88 4.48 4.99 4.48 -0.00 1.23 6.31 6.43 4.95 4.12 0.62 3.21 5.67 1.21 4.55 4.19 5.72 6.98 5.52 7.17 4.41 6.13 10.25 12.71 6.21 6.84 9.53 8.21 9.10 9.82 12/31/87 12/31/87 2/29/04 2/29/04 12/31/87 12/31/87 6/30/03 6/30/03 9/30/04 9/30/04 4/30/08 4/30/08 5/31/12 5/31/12 6/30/11 6/30/11 9/30/10 9/30/10 4/30/08 4/30/08 12/31/15 12/31/15 6/30/15 6/30/15 22 City of Clearwater Employees Pension Fund Executive Summary Table June 30, 2017 Net of Fee Return Name Value $(000) Calendar Years YTD 2016 2015 2014 2013 2012 Total Fund Policy Index Domestic Equity Comp S&P 500 Large Cap Equity Comp R1000 Eagle Capital Management Russell 1000 Value Manning and Napier Russell 1000 Value NTGI-QM R1000V R1000V Voya Investment Mgmt R1000G Mid Cap Equity Comp R Mid Cap Artisan Partners R Mid Cap G Wedge Capital Mgmt R Mid Cap V Small Cap Equity Comp R2000 Atlanta Capital Mgmt Russell 2000 Riverbridge Partners R2000G Systematic Financial Mgt R2000V International EQ Comp MSCI ACWI ex US (Net) Eaton Vance Mgmt MSCI Emg Mkts Thompson, Siegel & Walmsley MSCI EAFE (Net) WCM Investment Management MSCI ACWI ex US (Net) Fixed Income Comp BC Agg 962,861 390,348 256,477 44,307 39,205 44,192 128,772 80,906 42,468 38,437 52,965 13,033 27,588 12,344 190,161 36,447 76,993 76,721 256,986 8.31 7.50 11.01 9.34 11.10 9.27 10.50 4.66 8.69 4.66 4.73 4.66 14.36 14.00 12.36 7.99 15.33 11.40 9.37 5.18 8.68 4.99 4.31 4.99 17.38 9.97 -2.56 0.54 16.60 14.10 14.11 18.60 13.17 13.81 21.50 14.10 2.31 2.27 6.63 7.32 9.61 11.96 8.88 12.05 10.16 17.34 13.85 17.34 17.03 17.34 4.26 7.08 6.73 13.80 -0.63 7.33 14.46 20.00 18.26 21.31 18.02 21.31 13.29 11.32 28.72 31.74 2.78 4.50 12.76 11.60 -0.19 1.00 -1.00 4.50 5.01 2.65 1.42 0.22 1.48 1.38 3.35 0.92 2.35 -3.83 -0.09 -3.83 -3.66 -3.83 7.07 5.67 -1.30 -2.44 3.38 -0.20 -5.72 -4.78 -1.70 -4.41 4.97 -4.41 -3.15 -1.38 -6.39 -7.47 -9.91 -4.29 -16.09 -14.60 0.30 0.55 8.32 9.91 11.31 13.69 13.45 13.25 13.39 13.45 10.46 13.45 13.54 13.45 14.42 13.05 13.38 13.21 6.96 11.91 19.82 14.74 0.39 4.89 3.50 4.89 0.20 5.60 -2.60 4.22 -5.56 -4.48 -4.41 -1.82 6.18 5.97 17.83 14.62 35.15 32.41 32.23 33.11 32.94 32.54 31.57 33.49 37.36 34.76 39.21 35.76 34.92 33.45 42.51 38.82 42.43 37.88 43.50 43.29 40.72 34.50 10.23 23.29 1.22 -2.27 -0.75 -2.02 13.93 13.17 18.37 15.98 17.02 16.42 18.09 17.50 18.95 15.26 22.00 17.26 20.82 15.80 23.16 18.48 17.61 16.34 12.53 18.05 17.83 14.59 23.50 18.05 17.61 17.90 18.55 18.62 6.53 4.22 23 City of Clearwater Employees Pension Fund Executive Summary Table June 30, 2017 Net of Fee Return Name Value $(000) Calendar Years YTD 2016 2015 2014 2013 2012 Dodge & Cox BC Agg In House Account 3-month T-Bill Security Lending Income Account 3-month T-Bill Western Asset Management Co. BC Agg Real Estate Comp Policy Index Hancock NCREIF Timberland Index Molpus Woodlands Group NCREIF Timberland Index Multi Employer Property Trust NCREIF ODCE Security Capital Wilshire RESI U.S. Real Estate Investment Fund NCREIF ODCE Fund Index USAA NCREIF ODCE Fund Index 127,421 1,266 533 127,766 125,367 8,326 11,915 45,267 37,587 11,375 10,896 2.41 2.27 0.00 0.30 0.42 0.30 2.37 2.27 1.68 2.78 -0.14 1.47 0.32 1.47 2.73 3.50 0.74 2.42 3.53 3.50 1.65 3.50 5.55 2.65 0.00 0.27 1.84 0.27 3.66 2.65 6.35 8.06 -1.27 2.59 0.48 2.59 8.02 8.76 5.71 7.62 10.72 8.76 12.34 8.76 -0.12 0.55 0.03 0.03 3.41 0.03 0.73 0.55 6.35 8.33 4.51 4.97 2.64 4.97 12.00 15.01 4.70 4.81 6.01 5.97 -0.02 0.03 7.12 0.03 6.65 5.97 21.77 25.22 4.58 10.50 7.02 10.50 12.21 12.49 33.13 31.53 0.65 -2.02 0.00 0.05 2.56 0.05 -2.46 -2.02 6.29 6.02 8.91 9.68 15.16 9.68 11.83 13.94 1.60 2.15 7.85 4.22 -0.00 0.07 6.93 0.07 5.07 4.22 11.69 15.41 0.77 7.75 4.70 10.94 16.22 17.55 24 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Total Fund Public Sponsors Periods Ending 6/17 High 1st Qt Median 3rd Qt Low T Total Fund Net Ret Rank 1 Policy Index Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 3.81 3.22 2.85 2.50 1.57 3.41 19 3.04 37 15.10 13.40 12.41 10.92 6.07 11.85 61 10.44 78 8.03 7.10 6.40 5.55 3.67 7.39 14 7.10 25 6.90 6.07 5.42 4.51 2.78 6.25 20 5.91 29 9.65 8.80 8.11 7.23 4.87 8.98 20 8.47 38 10.52 9.76 8.93 7.97 4.87 9.75 26 9.03 44 8.86 8.23 7.65 6.84 4.61 8.29 24 8.12 31 10.57 10.05 9.39 8.18 5.63 10.50 6 10.08 22 11.09 10.43 9.94 8.64 5.77 11.55 1 10.94 6 7.52 7.12 6.65 5.97 4.27 8.17 1 7.22 18 6.61 5.97 5.57 5.13 4.04 6.72 3 5.86 32 0% 2% 4% 6% 8% 10% 12% 14% 16% T1 T 1 T1 T1 T1 T 1 T1 T1 T 1 T 1 T 1 25 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Total Fund Public Sponsors Years Ending December High 1st Qt Median 3rd Qt Low T Total Fund Net Ret Rank 1 Policy Index Net Ret Rank 6/30/17 YTD 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 9.25 7.87 7.13 6.45 4.32 8.31 17 7.50 34 10.25 8.97 7.92 6.87 3.90 6.63 79 7.32 65 3.55 1.36 0.09 -1.25 -3.07 1.42 22 0.22 47 9.32 7.30 6.46 5.28 3.33 8.32 12 9.91 2 21.61 19.17 16.46 13.29 5.12 17.83 37 14.62 67 15.00 13.38 12.33 10.64 6.28 13.93 17 13.17 28 5.39 2.17 0.96 -0.36 -2.83 -0.36 75 1.81 32 16.20 13.97 12.62 11.01 6.06 17.73 2 13.96 25 27.83 22.06 19.16 15.35 4.37 30.28 2 26.00 7 -1.30 -20.32 -24.63 -27.15 -30.50 -27.10 74 -27.73 79 11.11 9.10 7.83 6.50 4.61 7.20 62 6.69 71 -35% -30% -25% -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% T1 T1 T1 T1 T 1 T1 T1 T 1 T 1 T1 T1 26 City of Clearwater Employees Pension Fund Performance Summary Total Fund June 30, 2017 -1.00.01.02.03.04.05.06.07.08.09.010.011.012.013.0 Qtr YTD 1 Year 3 Year 5 Year Incept 12/31/87 Total Fund Policy Index Net of Fee Returns Cur Qtr YTD 1 Year 3 Yrs 5 Yrs Incept Incept Date Cur Assets Total Fund Policy Index Rank Voya Investment Mgmt R1000G Rank NTGI-QM R1000V R1000V Rank Eagle Capital Management Russell 1000 Value Rank Manning and Napier Russell 1000 Value Rank Artisan Partners R Mid Cap G Rank Wedge Capital Mgmt R Mid Cap V Rank 3.41 3.04 19 4.54 4.67 57 1.38 1.34 78 3.75 1.34 15 2.99 1.34 32 6.81 4.21 19 3.24 1.37 1 8.31 7.50 17 14.36 14.00 45 4.73 4.66 75 10.50 4.66 5 8.69 4.66 20 15.33 11.40 13 9.37 5.18 1 11.85 10.44 61 20.09 20.42 64 15.36 15.53 58 23.41 15.53 6 15.99 15.53 49 17.20 17.05 75 19.68 15.93 35 6.25 5.91 20 11.31 11.11 22 7.38 7.36 63 10.19 7.36 8 8.24 7.36 40 7.18 7.83 67 9.29 7.46 13 9.75 9.03 26 15.36 15.30 57 14.12 13.94 41 13.70 14.20 82 16.06 15.14 8 9.19 9.27 11.74 10.13 5.62 5.56 72 14.41 12.28 11.99 12.28 9.91 8.10 9.41 7.48 12/31/87 12/31/87 6/30/07 1/31/13 1/31/13 7/31/01 2/28/07 $962,861,043 $128,772,225 $44,191,896 $44,307,388 $39,205,063 $42,468,384 $38,437,302 27 City of Clearwater Employees Pension Fund Performance Summary Total Fund June 30, 2017 Net of Fee Returns Cur Qtr YTD 1 Year 3 Yrs 5 Yrs Incept Incept Date Cur Assets Atlanta Capital Mgmt Russell 2000 Rank Systematic Financial Mgt R2000V Rank Riverbridge Partners R2000G Rank Eaton Vance Mgmt MSCI Emg Mkts Rank WCM Investment Management MSCI ACWI ex US (Net) Rank Thompson, Siegel & Walmsley MSCI EAFE (Net) Rank Dodge & Cox BC Agg Rank Western Asset Management Co. BC Agg Rank Security Lending Income Account 3-month T-Bill In House Account 3-month T-Bill 3.22 2.46 13 -0.88 0.67 81 8.79 4.39 3 3.85 6.38 74 9.34 5.78 6 5.92 6.12 57 1.30 1.45 63 1.44 1.45 56 0.27 0.18 0.00 0.18 4.31 4.99 35 -2.56 0.54 99 17.38 9.97 3 14.11 18.60 78 21.50 14.10 6 13.17 13.81 70 2.41 2.27 56 2.37 2.27 60 0.42 0.30 0.00 0.30 14.15 24.60 98 22.85 24.86 37 28.26 24.40 11 17.69 24.17 83 17.14 20.45 74 20.32 20.26 52 2.62 -0.31 34 0.33 -0.31 63 2.13 0.46 0.00 0.46 10.47 7.36 18 3.21 7.02 99 10.09 7.64 25 -1.16 1.44 91 3.08 2.48 38 2.91 2.48 46 3.56 0.20 0.00 0.20 15.27 13.94 56 12.22 13.38 95 14.16 13.98 58 3.25 4.33 95 3.61 2.21 33 2.61 2.21 52 3.60 0.15 -0.00 0.15 12.51 9.34 8.66 9.14 15.52 13.71 0.69 0.97 8.80 4.31 2.80 3.01 4.95 4.12 4.55 4.19 5.67 1.21 0.62 3.21 8/31/03 8/31/03 9/30/10 4/30/08 7/31/15 7/31/15 2/29/04 9/30/04 6/30/03 12/31/87 $13,033,467 $12,343,929 $27,587,981 $36,446,616 $76,720,978 $76,992,986 $127,420,967 $127,765,914 $533,053 $1,266,008 28 City of Clearwater Employees Pension Fund Performance Summary Total Fund June 30, 2017 Net of Fee Returns Cur Qtr YTD 1 Year 3 Yrs 5 Yrs Incept Incept Date Cur Assets Multi Employer Property Trust NCREIF ODCE Rank Security Capital Wilshire RESI Rank Molpus Woodlands Group NCREIF Timberland Index Rank Hancock NCREIF Timberland Index Rank USAA NCREIF ODCE Fund Index Rank U.S. Real Estate Investment Fund NCREIF ODCE Fund Index Rank 1.43 1.70 63 0.79 1.91 74 0.00 0.70 81 0.00 0.70 81 -0.55 1.70 84 1.18 1.70 68 2.73 3.50 58 0.74 2.42 80 0.32 1.47 82 -0.14 1.47 84 1.65 3.50 74 3.53 3.50 49 6.16 7.87 44 -2.52 -1.23 87 1.01 3.35 63 -0.66 3.35 72 9.57 7.87 22 12.13 7.87 14 9.82 11.34 45 7.83 8.82 65 3.06 5.54 80 2.56 5.54 83 9.50 11.78 57 8.93 9.70 67 5.29 7.16 84 4.80 7.16 85 10.25 12.71 6.21 6.84 4.41 6.13 5.52 7.17 9.10 9.82 55 9.53 8.21 9/30/10 4/30/08 6/30/11 5/31/12 6/30/15 12/31/15 $45,267,169 $37,586,948 $11,915,495 $8,325,723 $10,896,412 $11,375,139 29 30 City of Clearwater Employees Pension Fund Domestic Equity Comp as of 6/30/17 Microsoft Corp Apple Inc Amazon Com Inc Pepsico Inc Alphabet Inc Cl-A Unitedhealth Group I Johnson & Johnson Home Depot Inc Boston Scientific Co Aon Plc GICS Sector % Port Information Technology Information Technology Consumer Discretionary Consumer Staples Information Technology Health Care Health Care Consumer Discretionary Health Care Financials 3.15 2.27 1.93 1.81 1.76 1.64 1.30 1.27 1.18 1.11 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 2.81 3.91 13.54 16.57 6.63 13.97 13.68 26.70 1.24 0.96 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 12/31/87 Domestic Equity Comp S&P 500 Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 12/31/87 Domestic Equity Comp S&P 500 Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 4.10 3.09 374,449 543 15,356 390,348 11.01 9.34 363,349 -12,457 39,456 390,348 19.49 17.90 406,722 -83,007 66,633 390,348 9.34 9.61 450,915 -162,977 102,409 390,348 14.85 14.63 310,927 -182,185 261,606 390,348 8.14 7.18 334,428 -191,834 247,754 390,348 11.27 10.48 32,236 -191,834 549,946 390,348 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 31 City of Clearwater Employees Pension Fund Domestic Equity Comp as of 6/30/17 Cash & Equiv $8,492 2.18% Domestic Equity $381,856 97.82% Periods from 12/87 to 6/17 Alpha Beta R-Squared 0.08 1.09 0.93 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 E 1 T Annualized Standard Deviation% E Domestic Equity Comp 1 S&P 500 T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 11.27 10.48 3.32 16.86 15.02 1.31 0.47 0.48 0.00 0.20 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 32 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Equity Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low E Domestic Equity Comp Net Ret Rank 1 S&P 500 Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 9.48 4.37 3.05 1.67 -0.89 4.10 28 3.09 44 28.05 22.22 18.51 16.00 7.95 19.49 42 17.90 61 13.24 10.72 9.34 7.08 0.17 9.41 48 10.73 24 12.59 9.70 8.51 6.79 1.47 9.34 35 9.61 28 15.62 13.61 12.44 10.98 5.64 12.96 40 13.19 31 17.22 15.71 14.61 13.21 9.82 14.85 40 14.63 48 14.66 13.12 12.48 11.10 7.21 12.63 45 13.05 29 18.02 16.04 15.35 14.27 11.81 15.72 31 15.41 45 18.90 16.70 15.38 14.67 10.23 16.20 30 15.29 57 13.69 11.10 9.92 9.40 5.29 10.59 34 9.71 67 10.89 8.95 7.66 6.74 2.47 8.14 40 7.18 66 -5% 0% 5% 10% 15% 20% 25% 30% E1 E 1 E 1 E1 E1 E1 E1 E1 E1 E1 E1 33 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low E Domestic Equity Comp Net Ret Rank 1 S&P 500 Net Ret Rank 6/30/17 YTD 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 18.75 11.02 8.92 5.01 -0.24 11.01 25 9.34 38 28.16 17.30 11.99 7.02 -1.13 9.61 66 11.96 50 8.15 1.68 -0.65 -3.96 -12.43 1.48 26 1.38 29 15.92 12.97 9.09 4.44 -5.17 11.31 37 13.69 14 45.15 37.78 33.13 28.47 0.04 35.15 37 32.41 57 22.64 17.93 15.90 12.32 2.35 18.37 21 15.98 48 8.11 2.19 -0.15 -4.09 -11.63 -0.21 50 2.12 27 32.86 25.21 17.11 13.93 5.75 22.53 32 15.05 66 54.26 37.17 29.15 24.33 9.52 32.14 40 26.45 66 -17.84 -33.51 -37.00 -40.93 -49.16 -37.76 57 -36.99 49 22.34 10.63 5.45 0.41 -7.56 7.18 36 5.52 47 -60% -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% E1 E1 E1 E1 E1 E1 E1 E 1 E 1 E1 E1 34 City of Clearwater Employees Pension Fund Risk Measure Summary Domestic Equity Comp Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 1.09 0.75 2.64 6.63 19.49 19.49 3.32 1.06 0.10 0.88 5.72 17.88 2.09 0.67 0 4 3.09 6.07 17.90 17.90 2.58 6.76 3 9 0.99 1.08 0.50 -6.95 6.63 -2.07 19.49 7.67 1.04 -0.14 0.90 1.19 8.78 2.52 -0.09 1 11 -6.44 7.04 -0.61 17.90 6.97 1.35 3 17 1.00 0.87 0.50 -6.95 11.42 -2.07 35.15 8.17 1.00 0.06 0.89 1.80 14.67 2.76 0.07 2 18 -6.44 10.61 -0.61 32.41 7.69 1.88 35 83 1.07 1.05 0.53 -23.59 22.08 -37.76 55.86 16.86 1.09 0.08 0.93 0.47 7.32 4.50 0.20 30 88 -21.93 21.32 -38.07 49.75 15.02 0.48 35 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Equity Portfolios Annualized Rate of Return0.0 1.8 3.6 5.4 7.2 9.0 10.8 12.6 14.4 16.2 18.0 1.0 2.5 4.0 5.5 7.0 8.5 10.0 11.5 13.0 14.5 16.0 ES MedianRiskMedian Return Historical Standard Deviation of Return 3 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank E Domestic Equity Comp S Standard & Poors 500 Median 9.34 35 7.67 34 9.61 28 6.97 15 8.51 9.03 Annualized Rate of Return3.0 4.2 5.4 6.6 7.8 9.0 10.2 11.4 12.6 13.8 15.0 10.0 10.9 11.7 12.6 13.5 14.4 15.3 16.2 17.1 18.0 18.9 ES MedianRiskMedian Return Historical Standard Deviation of Return 5 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank E Domestic Equity Comp S Standard & Poors 500 Median 14.85 40 8.17 32 14.63 48 7.69 14 14.61 9.27 36 City of Clearwater Employees Pension Fund Large Cap Equity Comp as of 6/30/17 Microsoft Corp Apple Inc Amazon Com Inc Pepsico Inc Alphabet Inc Cl-A Unitedhealth Group I Johnson & Johnson Home Depot Inc Aon Plc Berkshire Hathaway I GICS Sector % Port Information Technology Information Technology Consumer Discretionary Consumer Staples Information Technology Health Care Health Care Consumer Discretionary Financials Financials 5.07 3.66 3.12 2.92 2.83 2.64 2.09 2.05 1.79 1.71 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 1.47 3.55 11.37 17.83 8.89 13.42 11.46 30.02 2.00 0.00 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 3/31/88 Large Cap Equity Comp R1000 Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 3/31/88 Large Cap Equity Comp R1000 Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 3.61 3.06 247,269 281 8,927 256,477 11.10 9.27 235,980 -5,479 25,975 256,477 19.14 18.03 251,340 -37,524 42,661 256,477 10.00 9.26 270,594 -84,056 69,939 256,477 14.98 14.67 182,327 -87,248 161,397 256,477 7.53 7.29 172,406 -48,884 132,954 256,477 10.53 10.47 18,032 -48,884 287,328 256,477 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 37 City of Clearwater Employees Pension Fund Large Cap Equity Comp as of 6/30/17 Cash & Equiv $2,879 1.12% Domestic Equity $253,597 98.88% Periods from 3/88 to 6/17 Alpha Beta R-Squared 0.05 0.98 0.96 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 L1 T Annualized Standard Deviation% L Large Cap Equity Comp 1 R1000 T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 10.53 10.47 3.30 15.47 15.44 1.31 0.47 0.46 0.00 0.00 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 38 City of Clearwater Employees Pension Fund Large Neutral Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low L Large Cap Equity Comp Net Ret Rank 1 R1000 Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 5.23 3.18 3.07 2.67 1.22 3.61 14 3.06 55 27.14 20.09 18.07 17.83 13.07 19.14 30 18.03 52 12.39 10.73 10.30 9.15 7.24 10.37 46 10.22 56 10.97 9.67 9.32 8.62 6.22 10.00 11 9.26 56 14.49 13.30 13.13 12.51 10.01 13.50 17 13.09 55 16.60 15.12 14.68 14.55 12.15 14.98 30 14.67 52 14.08 13.13 12.94 12.72 10.42 12.73 73 12.89 61 16.48 15.61 15.43 15.25 12.90 15.28 72 15.43 51 16.93 15.51 15.36 15.17 13.20 15.44 31 15.41 38 11.45 10.11 9.82 9.70 8.19 9.59 79 9.73 69 9.23 7.53 7.25 6.70 6.18 7.53 25 7.29 41 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% 24% 26% 28% L1 L 1 L1 L1 L1 L1 L1 L1 L1 L1 L1 39 City of Clearwater Employees Pension Fund Large Neutral Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low L Large Cap Equity Comp Net Ret Rank 1 R1000 Net Ret Rank 6/30/17 YTD 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 12.12 9.45 9.30 8.41 5.89 11.10 10 9.27 54 20.74 12.70 11.96 10.89 8.34 8.88 91 12.05 38 3.52 1.45 0.97 -0.28 -5.89 3.35 5 0.92 52 16.29 13.74 13.32 12.03 7.50 13.45 47 13.25 52 39.75 34.02 32.96 32.35 28.79 32.23 80 33.11 42 22.02 17.02 16.26 15.92 10.00 17.02 25 16.42 40 5.80 2.22 1.71 0.67 -3.96 -0.90 84 1.51 57 18.27 16.18 15.13 14.08 11.52 16.87 17 16.10 27 43.11 30.18 26.95 25.80 20.95 24.59 85 28.42 38 -28.61 -35.92 -36.89 -37.68 -43.15 -35.23 19 -37.60 73 12.91 6.39 5.57 4.47 -0.54 7.76 14 5.77 40 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% L1 L1 L1 L1 L1 L1 L1 L1 L 1 L1 L1 40 City of Clearwater Employees Pension Fund Risk Measure Summary Large Cap Equity Comp Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 1.06 0.75 2.63 7.23 19.14 19.14 3.95 1.13 -0.29 0.91 4.72 16.49 2.05 0.49 0 4 3.06 6.03 18.03 18.03 2.53 6.94 2 10 1.04 0.92 0.67 -6.25 7.43 0.56 19.14 7.33 1.01 0.15 0.94 1.33 9.66 1.79 0.39 1 11 -6.83 6.50 -0.61 18.03 7.05 1.28 2 18 1.01 0.92 0.55 -6.25 10.65 0.56 32.23 7.91 1.00 0.07 0.96 1.87 14.81 1.55 0.18 1 19 -6.83 10.96 -0.61 33.11 7.76 1.87 34 83 0.99 0.98 0.52 -20.96 20.12 -37.57 49.31 15.47 0.98 0.05 0.96 0.47 7.37 2.94 0.00 29 88 -22.48 21.88 -38.26 51.57 15.44 0.46 41 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Large Neutral Portfolios Annualized Rate of Return4.5 5.05 5.6 6.15 6.7 7.25 7.8 8.35 8.9 9.45 10.0 5.0 5.9 6.8 7.7 8.6 9.5 10.4 11.2 12.1 13.0 13.9 L 1 MedianRiskMedian Return Historical Standard Deviation of Return 3 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank L Large Cap Equity Comp 1 R1000 Median 10.00 11 7.33 56 9.26 56 7.05 40 9.32 7.24 Annualized Rate of Return5.0 5.55 6.1 6.65 7.2 7.75 8.3 8.85 9.4 9.95 10.5 11.0 12.0 13.0 14.0 15.0 16.0 17.0 18.0 19.0 L1Median RiskMedian Return Historical Standard Deviation of Return 5 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank L Large Cap Equity Comp 1 R1000 Median 14.98 30 7.91 54 14.67 52 7.76 39 14.68 7.87 42 City of Clearwater Employees Pension Fund Voya Investment Mgmt as of 6/30/17 Apple Inc Microsoft Corp Alphabet Inc Cl-A Amazon Com Inc Unitedhealth Group I Pepsico Inc Mastercard Inc Home Depot Inc Facebook Inc Celgene Corp GICS Sector % Port Information Technology Information Technology Information Technology Consumer Discretionary Health Care Consumer Staples Information Technology Consumer Discretionary Information Technology Health Care 6.04 5.83 4.16 3.42 2.89 2.86 2.61 2.52 2.29 2.21 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 0.62 3.64 12.60 18.54 7.80 13.80 3.82 36.49 2.68 0.00 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 12/31/87 Voya Investment Mgmt R1000G Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 12/31/87 Voya Investment Mgmt R1000G Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 4.54 4.67 123,054 128 5,590 128,772 14.36 14.00 117,870 -5,750 16,652 128,772 20.09 20.42 124,709 -18,514 22,577 128,772 11.31 11.11 134,334 -45,276 39,714 128,772 15.36 15.30 98,112 -53,283 83,943 128,772 9.61 8.91 58,137 -34,899 105,534 128,772 11.74 10.13 17,469 -34,899 146,202 128,772 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 43 City of Clearwater Employees Pension Fund Voya Investment Mgmt as of 6/30/17 Cash & Equiv $1,813 1.41% Domestic Equity $126,959 98.59% Periods from 12/87 to 6/17 Alpha Beta R-Squared 0.59 0.85 0.93 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 i 1 T Annualized Standard Deviation% i Voya Investment Mgmt 1 R1000G T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 11.74 10.13 3.32 15.56 17.58 1.31 0.54 0.39 0.00 0.21 Asset Allocation ($000) Risk/Return Analysis 44 City of Clearwater Employees Pension Fund Large Growth Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low i Voya Investment Mgmt Net Ret Rank 1 R1000G Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 8.89 7.11 4.69 3.67 0.56 4.54 57 4.67 52 31.98 25.17 21.52 18.03 13.54 20.09 64 20.42 59 16.06 11.20 9.58 8.10 4.68 10.66 36 11.38 22 14.05 11.17 10.00 8.22 4.21 11.31 22 11.11 25 17.52 15.44 14.39 13.06 9.79 14.87 38 14.87 38 18.56 16.57 15.65 14.45 11.83 15.36 57 15.30 57 16.31 14.05 13.30 12.31 9.44 13.91 35 13.65 42 18.75 17.11 16.23 15.33 12.33 16.71 35 16.48 40 19.03 16.89 15.75 14.93 11.98 16.49 35 16.12 45 13.13 11.55 10.20 9.31 5.29 10.89 40 10.70 44 11.57 9.99 8.63 8.13 2.38 9.61 30 8.91 41 0% 5% 10% 15% 20% 25% 30% 35% i1 i1 i1 i1 i1 i1 i1 i1 i1 i1 i1 45 City of Clearwater Employees Pension Fund Large Growth Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low i Voya Investment Mgmt Net Ret Rank 1 R1000G Net Ret Rank 6/30/17 YTD 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 22.63 18.22 14.00 10.49 7.98 14.36 45 14.00 50 12.11 7.64 4.94 0.84 -6.82 4.26 56 7.08 31 11.37 7.59 4.95 2.27 -4.89 7.07 31 5.67 44 17.39 13.64 11.77 9.12 6.38 14.42 16 13.05 38 44.93 38.06 35.46 33.00 28.63 31.57 85 33.49 69 23.91 19.39 16.88 14.46 10.92 18.95 32 15.26 69 6.72 3.01 0.47 -3.46 -9.21 3.04 24 2.63 30 27.41 20.40 17.03 14.61 10.48 17.10 49 16.72 57 58.87 42.29 35.32 28.88 21.89 24.43 86 37.21 42 -28.68 -36.20 -38.18 -41.52 -48.48 -33.18 9 -38.43 53 24.51 19.60 14.51 11.80 4.28 17.10 32 11.82 73 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% i1 i1 i1 i1 i1 i1 i1 i1 i 1 i 1 i 1 46 City of Clearwater Employees Pension Fund June 30, 2017 Performance Comparison Total Returns of Large Growth Portfolios High 1st Qt Median 3rd Qt Low i Voya Investment Mgmt Net Ret Rank 1 R1000G Net Ret Rank Sep 14 Jun 17 Jun 14 Mar 17 Mar 14 Dec 16 Dec 13 Sep 16 Sep 13 Jun 16 14.12 11.19 10.16 8.83 6.03 11.31 24 11.11 28 12.40 11.35 10.32 8.55 6.29 11.80 14 11.27 27 10.36 8.82 7.86 6.23 3.96 8.50 38 8.55 35 13.26 11.92 10.65 9.14 7.24 12.06 24 11.83 30 14.95 13.08 11.88 10.36 8.97 13.19 20 13.07 25 3% 4% 5% 6% 7% 8% 9% 10% 11% 12% 13% 14% 15% 16% i 1 i 1 i 1 i 1 i 1 Voya Investment Mgmt Value Added Analysis - Net of Fee 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 -2.0% -1.5% -1.0% -0.5% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 1.7 -0.1 -0.4 -0.9 0.2 -0.3 -1.1 0.8 1.0 0.6 0.5 -0.2 -0.1 1.2 -1.9 -0.2 0.5 -1.1 0.4 -0.1 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R1000G 47 City of Clearwater Employees Pension Fund Risk Measure Summary Voya Investment Mgmt Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 1 3 0.98 0.50 -0.06 9.39 20.09 20.09 7.73 1.11 -0.56 0.98 2.54 17.71 1.47 -0.16 0 4 1.01 8.91 20.42 20.42 6.46 3.09 4 8 1.02 1.02 0.50 -5.39 9.39 1.42 20.09 8.50 1.11 -0.23 0.97 1.30 9.99 1.75 0.14 1 11 -5.29 8.91 2.52 20.42 7.53 1.44 6 14 1.01 1.03 0.45 -5.39 10.10 1.42 31.57 8.81 1.07 -0.23 0.97 1.72 14.18 1.76 0.06 2 18 -5.29 10.44 2.52 33.49 8.06 1.88 35 83 0.96 0.80 0.53 -18.51 23.26 -33.74 44.38 15.56 0.85 0.59 0.93 0.54 9.90 4.98 0.21 34 84 -22.79 26.75 -45.64 49.75 17.58 0.39 48 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Large Growth Portfolios Annualized Rate of Return0.0 1.8 3.6 5.4 7.2 9.0 10.8 12.6 14.4 16.2 18.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 i1 MedianRiskMedian Return Historical Standard Deviation of Return 3 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank i Voya Investment Mgmt 1 R1000G Median 11.31 22 8.50 36 11.11 25 7.53 15 10.00 9.29 Annualized Rate of Return3.0 4.3 5.6 6.9 8.2 9.5 10.8 12.1 13.4 14.7 16.0 11.0 11.9 12.7 13.6 14.5 15.4 16.3 17.2 18.1 19.0 19.9 i1 MedianRiskMedian Return Historical Standard Deviation of Return 5 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank i Voya Investment Mgmt 1 R1000G Median 15.36 57 8.81 36 15.30 57 8.06 19 15.65 9.40 49 City of Clearwater Employees Pension Fund Equity Summary Statistics Voya Investment Mgmt Period Ending 6/17 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R1000G 60 126,959,156 168,776,804 35,284,844 1.23 26.27 26.65 1.00 5.56 59.89 10.11 557 181,283,901 10,066,988 1.43 27.63 25.01 1.03 5.96 62.27 10.19 Ten Largest Holdings Apple Inc Microsoft Corp Alphabet Inc Cl-A Amazon Com Inc Unitedhealth Group I Pepsico Inc Mastercard Inc Home Depot Inc Facebook Inc Celgene Corp Market Value % of Portfolio Quarterly Ret 7,664,024 7,403,427 5,276,864 4,340,512 3,662,972 3,634,470 3,305,990 3,199,157 2,900,024 2,809,088 6.04 5.83 4.16 3.42 2.89 2.86 2.61 2.52 2.29 2.21 0.66 5.25 9.66 9.19 13.52 3.96 8.20 5.08 6.29 4.37 Ten Best Performers Transdigm Group Inc McDonalds Corp Electronic Arts Delta Air Lines Inc Berry Plastics Group Zoetis Inc Coach Inc Unitedhealth Group I Ingersoll-Rand Plc Crown Holdings Inc Quarterly Ret 22.12 18.90 18.10 17.42 17.38 17.31 15.38 13.52 12.89 12.67 Ten Worst Performers O Reilly Automotive Diamondback Energy I Dollar Tree Inc Burlington Stores In Vmware Inc Texas Instrs Inc Sysco Corp Skyworks Solutions I Vantiv Inc Dish Network Corp Quarterly Ret -18.94 -14.37 -10.88 -5.45 -5.11 -3.92 -2.44 -1.80 -1.22 -1.15 50 City of Clearwater Employees Pension Fund Equity Contribution to Return Voya Investment Mgmt Period Ending 6/17 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R1000G 60 126,959,156 168,776,804 35,284,844 1.23 26.27 26.65 1.00 5.56 59.89 10.11 557 181,283,901 10,066,988 1.43 27.63 25.01 1.03 5.96 62.27 10.19 Ten Best Contributors Alphabet Inc Cl-A Unitedhealth Group I Delta Air Lines Inc Amazon Com Inc McDonalds Corp Microsoft Corp Zoetis Inc Boston Scientific Co Mastercard Inc Transdigm Group Inc Market Value % of Portfolio Quarterly Ret 5,276,864 3,662,972 2,473,384 4,340,512 2,104,112 7,403,427 1,951,870 2,469,048 3,305,990 1,161,518 4.16 2.89 1.95 3.42 1.66 5.83 1.54 1.95 2.61 0.92 9.66 13.52 17.42 9.19 18.90 5.25 17.31 11.46 8.20 22.12 Ten Worst Contributors O Reilly Automotive Dollar Tree Inc Burlington Stores In Diamondback Energy I Vmware Inc Texas Instrs Inc Sysco Corp Dish Network Corp Biogen Idec Inc Skyworks Solutions I Market Value % of Portfolio Quarterly Ret 2,059,218 1,780,792 2,064,992 782,416 1,734,524 1,688,229 1,881,839 1,456,973 2,214,569 908,647 1.62 1.40 1.63 0.62 1.37 1.33 1.48 1.15 1.75 0.72 -18.94 -10.88 -5.45 -14.37 -5.11 -3.92 -2.44 -1.15 -0.75 -1.80 51 City of Clearwater Employees Pension Fund Equity Sector Attribution Analysis Voya Investment Mgmt Quarter Ending 6/17 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 0.72 3.50 10.55 21.44 9.87 15.44 4.32 32.12 2.05 0.00 100.00 0.50 3.54 10.70 20.91 9.13 15.92 2.83 32.66 1.02 0.03 100.00 -12.86 8.34 9.36 0.46 1.19 8.39 11.29 5.10 9.96 5.03 -8.03 5.67 5.29 3.11 2.04 8.06 7.03 5.45 -7.13 -0.29 4.75 -0.04 0.09 0.43 -0.57 -0.08 0.05 0.18 -0.11 0.35 0.00 0.31 -0.03 -0.00 -0.00 -0.01 -0.02 -0.02 0.03 -0.00 -0.12 0.00 -0.16 -0.06 0.09 0.43 -0.58 -0.10 0.04 0.22 -0.11 0.23 0.00 0.15 Index - R1000G Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect -0.35% [ Actual Return 4.67% ] - [ Buy Hold Return 5.03% ] 52 City of Clearwater Employees Pension Fund Equity Sector Attribution Chart Voya Investment Mgmt Quarter Ending 6/17 % Allocation Energy 0.72 0.50 Materials 3.50 3.54 Industrials 10.55 10.70 Con. Discretionary 21.44 20.91 Consumer Staples 9.87 9.13 Health Care 15.44 15.91 Financials 4.32 2.83 Infomation Tech.32.12 32.66 Telecom. Services 2.05 1.02 Utilities 0.00 0.03 Voya Investment Mgmt R1000G % Return -12.86 -8.03 8.34 5.67 9.36 5.29 0.46 3.11 1.19 2.04 8.39 8.06 11.29 7.03 5.10 5.45 9.96 -7.13 -0.29 % Variance -0.06 0.09 0.43 -0.58 -0.10 0.04 0.22 -0.11 0.23 0.00 53 City of Clearwater Employees Pension Fund NTGI-QM R1000V as of 6/30/17 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 6/30/07 NTGI-QM R1000V R1000V Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 6/30/07 NTGI-QM R1000V R1000V Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 1.38 1.34 43,585 4 603 44,192 4.73 4.66 42,187 9 1,996 44,192 15.36 15.53 42,156 -3,983 6,019 44,192 7.38 7.36 48,200 -12,971 8,963 44,192 14.12 13.94 57,648 -48,281 34,825 44,192 5.62 5.56 26,197 -38,782 56,777 44,192 5.62 5.56 26,197 -38,782 56,777 44,192 Portfolio Performance (%) 54 City of Clearwater Employees Pension Fund NTGI-QM R1000V as of 6/30/17 Domestic Equity $44,192 100.00% Periods from 6/07 to 6/17 Alpha Beta R-Squared 0.02 1.00 1.00 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 n1 T Annualized Standard Deviation% n NTGI-QM R1000V 1 R1000V T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 5.62 5.56 0.58 17.54 17.60 0.60 0.29 0.28 0.00 0.08 Asset Allocation ($000) Risk/Return Analysis 55 City of Clearwater Employees Pension Fund Large Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low n NTGI-QM R1000V Net Ret Rank 1 R1000V Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 4.52 3.19 2.37 1.43 -0.02 1.38 78 1.34 81 25.06 18.60 15.98 12.60 7.01 15.36 58 15.53 56 12.17 10.87 9.29 7.71 4.32 8.94 59 9.01 59 10.35 8.73 7.86 6.52 1.55 7.38 63 7.36 63 13.43 12.34 11.47 10.29 5.85 11.28 56 11.26 56 16.48 15.75 13.79 12.37 10.99 14.12 41 13.94 46 13.82 13.04 12.26 11.18 9.16 11.97 60 12.04 60 16.36 15.28 14.72 13.73 12.50 14.27 63 14.31 62 16.42 15.53 14.87 13.74 11.80 14.66 55 14.63 58 11.77 10.35 9.77 8.73 5.48 8.73 77 8.69 77 10.87 7.48 6.43 5.56 3.03 5.62 72 5.56 75 -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% 24% 26% n1 n1 n1 n1 n1 n1 n1 n1 n1 n1 n1 56 City of Clearwater Employees Pension Fund Large Value Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low n NTGI-QM R1000V Net Ret Rank 1 R1000V Net Ret Rank 6/30/17 YTD 2016 2015 2014 2013 2012 2011 2010 2009 2008 10.67 8.52 6.09 4.73 2.67 4.73 75 4.66 77 21.29 17.07 14.85 11.95 9.49 17.03 25 17.34 19 1.76 -0.23 -1.88 -4.13 -9.96 -3.66 66 -3.83 70 15.55 13.75 12.13 10.57 5.63 13.54 29 13.45 32 41.31 37.61 33.25 29.44 24.08 32.94 52 32.54 56 20.61 17.95 16.52 14.30 11.02 18.09 23 17.50 33 13.12 3.44 0.83 -2.83 -7.81 -0.77 64 0.39 57 20.53 17.68 15.65 13.55 10.54 15.75 48 15.51 53 41.06 31.12 24.39 20.06 10.37 20.35 71 19.69 78 -24.50 -34.33 -36.33 -38.30 -45.27 -36.86 61 -36.85 61 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% n1 n1 n1 n1 n1 n1 n1 n1 n1 n1 57 City of Clearwater Employees Pension Fund June 30, 2017 Performance Comparison Total Returns of Large Value Portfolios High 1st Qt Median 3rd Qt Low n NTGI-QM R1000V Net Ret Rank 1 R1000V Net Ret Rank Sep 14 Jun 17 Jun 14 Mar 17 Mar 14 Dec 16 Dec 13 Sep 16 Sep 13 Jun 16 10.35 8.74 7.95 6.72 4.75 7.38 67 7.36 67 10.50 9.56 8.87 7.49 6.04 8.68 58 8.67 59 9.92 8.96 8.20 7.31 5.53 8.58 39 8.59 39 11.20 10.32 9.46 8.43 6.63 9.71 41 9.70 41 12.22 10.68 9.90 8.64 7.20 9.95 48 9.87 53 4% 5% 6% 7% 8% 9% 10% 11% 12% 13% n 1 n 1 n 1 n 1 n 1 NTGI-QM R1000V Value Added Analysis - Net of Fee 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 -0.4% -0.2% 0.0% 0.2% 0.4% 0.6% 0.8% 1.0% 1.2% 0.4 0.0 0.3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.0 -0.2 0.0 0.0 0.0 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R1000V 58 City of Clearwater Employees Pension Fund Risk Measure Summary NTGI-QM R1000V Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 0.99 0.50 1.38 6.66 15.36 15.36 4.39 0.99 -0.00 1.00 3.39 15.02 0.23 -0.66 0 4 1.34 6.68 15.53 15.53 4.42 3.40 3 9 1.00 0.99 0.75 -8.37 6.66 -4.27 18.95 8.02 1.00 0.01 1.00 0.89 7.18 0.15 0.09 3 9 -8.40 6.68 -4.42 19.22 8.06 0.88 3 17 1.01 0.99 0.80 -8.37 12.60 -4.27 32.94 8.62 1.01 0.01 1.00 1.62 13.82 0.27 0.65 3 17 -8.40 12.31 -4.42 32.54 8.54 1.61 14 26 1.00 1.00 0.83 -22.13 18.29 -42.31 54.33 17.54 1.00 0.02 1.00 0.29 5.07 0.52 0.08 14 26 -22.17 18.24 -42.42 53.57 17.60 0.28 59 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Large Value Portfolios Annualized Rate of Return3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 n1MedianRisk Median Return Historical Standard Deviation of Return 3 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank n NTGI-QM R1000V 1 R1000V Median 7.38 63 8.02 55 7.36 63 8.06 57 7.86 7.89 Annualized Rate of Return5.0 5.7 6.4 7.1 7.8 8.5 9.2 9.9 10.6 11.3 12.0 9.0 9.9 10.7 11.6 12.5 13.4 14.3 15.2 16.1 17.0 17.9 n1MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank n NTGI-QM R1000V 1 R1000V Median 14.12 41 8.62 58 13.94 46 8.54 56 13.79 8.45 60 City of Clearwater Employees Pension Fund Eagle Capital Management as of 6/30/17 Berkshire Hathaway I Oracle Corp Microsoft Corp Citigroup Inc Alphabet Inc Cl-C Aon Plc Amazon Com Inc Twenty First Centy F Unitedhealth Group I Ecolab Inc GICS Sector % Port Financials Information Technology Information Technology Financials Information Technology Financials Consumer Discretionary Consumer Discretionary Health Care Materials 8.15 7.47 7.31 6.79 5.64 5.63 4.97 4.65 4.24 4.23 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 2.59 4.23 0.00 22.67 5.46 7.10 34.82 23.12 0.00 0.00 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 1/31/13 Eagle Capital Management Russell 1000 Value Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 1/31/13 Eagle Capital Management Russell 1000 Value Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 3.75 1.34 42,624 86 1,597 44,307 10.50 4.66 39,941 168 4,198 44,307 23.41 15.53 40,560 -4,681 8,429 44,307 10.19 7.36 45,018 -12,529 11,818 44,307 14.41 12.28 33,239 -12,531 23,599 44,307 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 61 City of Clearwater Employees Pension Fund Eagle Capital Management as of 6/30/17 Cash & Equiv $369 0.83% Domestic Equity $43,938 99.17% Periods from 1/13 to 6/17 Alpha Beta R-Squared 1.05 0.71 0.64 Annualized Return% -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 E 1 T Annualized Standard Deviation% E Eagle Capital Management 1 Russell 1000 Value T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 14.41 12.28 0.18 10.57 10.09 0.07 1.35 1.20 0.00 0.04 Asset Allocation ($000) Risk/Return Analysis 62 City of Clearwater Employees Pension Fund Large Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low E Eagle Capital Management Net Ret Rank 1 Russell 1000 Value Net Ret Rank Last Qtr Last 2 Qtrs Last 3 Qtrs 6/17 YTD Last Year 4.52 3.19 2.37 1.43 -0.02 3.75 15 1.34 81 10.67 8.52 6.09 4.73 2.67 10.50 5 4.66 77 17.71 14.59 12.84 10.55 7.40 17.97 4 11.64 64 10.67 8.52 6.09 4.73 2.67 10.50 5 4.66 77 25.06 18.60 15.98 12.60 7.01 23.41 6 15.53 56 -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% 24% 26% E 1 E 1 E 1 E 1 E 1 63 City of Clearwater Employees Pension Fund Large Value Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low E Eagle Capital Management Net Ret Rank 1 Russell 1000 Value Net Ret Rank 6/30/17 YTD 10.67 8.52 6.09 4.73 2.67 10.50 5 4.66 77 2% 3% 4% 5% 6% 7% 8% 9% 10% 11% E 1 64 City of Clearwater Employees Pension Fund June 30, 2017 Performance Comparison Total Returns of Large Value Portfolios High 1st Qt Median 3rd Qt Low E Eagle Capital Management Net Ret Rank 1 Russell 1000 Value Net Ret Rank Sep 14 Jun 17 Jun 14 Mar 17 Mar 14 Dec 16 Dec 13 Sep 16 Sep 13 Jun 16 10.35 8.74 7.95 6.72 4.75 10.19 8 7.36 67 10.50 9.56 8.87 7.49 6.04 10.21 9 8.67 59 9.92 8.96 8.20 7.31 5.53 8.53 41 8.59 39 11.20 10.32 9.46 8.43 6.63 9.68 41 9.70 41 12.22 10.68 9.90 8.64 7.20 10.33 40 9.87 53 4% 5% 6% 7% 8% 9% 10% 11% 12% 13% E 1 E 1 E 1 E 1 E 1 Eagle Capital Management Value Added Analysis - Net of Fee 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 -7.0% -6.0% -5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% -6.6 1.0 2.4 0.1 -1.3 -1.2 2.0 0.5 2.0 1.6 1.6 1.1 -4.8 -2.5 1.1 0.1 3.1 2.4 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. Russell 1000 Value 65 City of Clearwater Employees Pension Fund Risk Measure Summary Eagle Capital Management Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 1.51 1.00 3.75 6.75 23.41 23.41 2.93 0.96 1.84 0.75 7.83 23.78 2.79 2.51 0 4 1.34 6.68 15.53 15.53 4.42 3.40 2 10 1.08 0.44 0.83 -6.93 6.79 -2.18 23.41 8.36 0.89 0.87 0.72 1.19 11.23 4.56 0.57 3 9 -8.40 6.68 -4.42 19.22 8.06 0.88 2 15 1.06 0.44 0.76 -6.93 10.17 -2.18 24.38 8.06 0.90 0.83 0.76 1.68 15.12 4.14 0.50 3 14 -8.40 10.01 -4.42 23.82 7.87 1.42 66 City of Clearwater Employees Pension Fund Equity Summary Statistics Eagle Capital Management Period Ending 6/17 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio Russell 1000 Value 29 43,937,943 217,938,477 68,256,154 1.12 25.69 19.31 1.09 1.19 80.96 6.06 719 114,494,104 8,624,486 2.44 22.31 19.49 0.99 1.71 69.41 0.85 Ten Largest Holdings Berkshire Hathaway I Oracle Corp Microsoft Corp Citigroup Inc Alphabet Inc Cl-C Aon Plc Amazon Com Inc Twenty First Centy F Unitedhealth Group I Ecolab Inc Market Value % of Portfolio Quarterly Ret 3,577,941 3,279,156 3,212,138 2,982,848 2,476,289 2,472,870 2,182,840 2,044,265 1,863,471 1,858,500 8.15 7.47 7.31 6.79 5.64 5.63 4.97 4.65 4.24 4.23 1.61 12.88 5.25 12.10 9.54 12.35 9.19 -12.30 13.52 6.20 Ten Best Performers Ilg Inc Thermo Fisher Scient Unitedhealth Group I Oracle Corp Aon Plc Citigroup Inc Alphabet Inc Cl-A Alphabet Inc Cl-C Amazon Com Inc Fidelity Natl Inform Quarterly Ret 31.88 13.68 13.52 12.88 12.35 12.10 9.66 9.54 9.19 7.62 Ten Worst Performers Anadarko Pete Corp Noble Energy Inc Twenty First Centy F Liberty Global Plc Liberty Global Plc Goldman Sachs Group Berkley W R Corp Dish Network Corp General Motors Corp. Wells Fargo & Co New Quarterly Ret -26.80 -17.32 -12.30 -11.02 -7.07 -3.07 -1.15 -1.15 -0.12 0.24 67 City of Clearwater Employees Pension Fund Equity Contribution to Return Eagle Capital Management Period Ending 6/17 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio Russell 1000 Value 29 43,937,943 217,938,477 68,256,154 1.12 25.69 19.31 1.09 1.19 80.96 6.06 719 114,494,104 8,624,486 2.44 22.31 19.49 0.99 1.71 69.41 0.85 Ten Best Contributors Oracle Corp Citigroup Inc Aon Plc Unitedhealth Group I Alphabet Inc Cl-C Amazon Com Inc Thermo Fisher Scient Microsoft Corp Marriott Intl Inc Ne Ecolab Inc Market Value % of Portfolio Quarterly Ret 3,279,156 2,982,848 2,472,870 1,863,471 2,476,289 2,182,840 1,256,184 3,212,138 1,685,710 1,858,500 7.47 6.79 5.63 4.24 5.64 4.97 2.86 7.31 3.84 4.23 12.88 12.10 12.35 13.52 9.54 9.19 13.68 5.25 6.85 6.20 Ten Worst Contributors Twenty First Centy F Liberty Global Plc Noble Energy Inc Anadarko Pete Corp Goldman Sachs Group Dish Network Corp Liberty Global Plc Berkley W R Corp General Motors Corp. Wells Fargo & Co New Market Value % of Portfolio Quarterly Ret 2,044,265 1,764,788 775,420 362,720 1,153,880 1,484,274 211,766 620,801 444,484 1,331,225 4.65 4.02 1.77 0.83 2.63 3.38 0.48 1.41 1.01 3.03 -12.30 -11.02 -17.32 -26.80 -3.07 -1.15 -7.07 -1.15 -0.12 0.24 68 City of Clearwater Employees Pension Fund Equity Sector Attribution Analysis Eagle Capital Management Quarter Ending 6/17 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 3.51 4.28 0.00 23.74 6.40 6.72 32.55 22.79 0.00 0.00 100.00 12.20 2.92 10.05 4.47 8.47 10.84 26.59 9.92 3.60 6.26 100.00 -20.59 6.20 -2.18 2.51 13.59 5.60 9.08 3.99 -7.09 0.16 3.36 2.79 0.70 6.02 3.75 0.47 -7.10 2.16 1.24 -0.47 0.26 0.00 -1.18 0.12 0.51 0.60 1.96 0.00 0.00 1.79 0.72 -0.01 -0.21 0.30 0.01 -0.20 0.15 -0.10 0.30 -0.06 0.90 0.25 0.24 -0.21 -0.88 0.13 0.31 0.75 1.86 0.30 -0.06 2.70 Index - Russell 1000 Value Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect 0.03% [ Actual Return 4.02% ] - [ Buy Hold Return 3.99% ] 69 City of Clearwater Employees Pension Fund Equity Sector Attribution Chart Eagle Capital Management Quarter Ending 6/17 % Allocation Energy 3.51 12.20 Materials 4.28 2.92 Industrials 0.00 10.05 Con. Discretionary 23.74 4.47 Consumer Staples 6.40 8.47 Health Care 6.72 10.84 Financials 32.55 26.59 Infomation Tech.22.79 9.92 Telecom. Services 0.00 3.60 Utilities 0.00 6.26 Eagle Capital Management Russell 1000 Value % Return -20.59 -7.09 6.20 0.16 3.36 -2.18 2.79 2.51 0.70 13.59 6.02 5.60 3.75 9.08 0.47 -7.10 2.16 % Variance 0.25 0.24 -0.21 -0.88 0.13 0.31 0.75 1.86 0.30 -0.06 70 City of Clearwater Employees Pension Fund Manning and Napier as of 6/30/17 Johnson & Johnson J P Morgan Chase & C Wells Fargo & Co New Home Depot Inc Wal Mart Stores Inc Pfizer Inc Pepsico Inc Taiwan Semiconductor Merck & Co Inc New 3m Co GICS Sector % Port Health Care Financials Financials Consumer Discretionary Consumer Staples Health Care Consumer Staples Information Technology Health Care Industrials 4.24 3.74 3.32 2.82 2.79 2.70 2.49 2.47 2.45 2.29 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 2.99 2.46 20.28 9.95 16.40 19.38 9.98 16.53 2.04 0.00 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 1/31/13 Manning and Napier Russell 1000 Value Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 1/31/13 Manning and Napier Russell 1000 Value Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 2.99 1.34 38,006 63 1,136 39,205 8.69 4.66 35,983 94 3,128 39,205 15.99 15.53 43,915 -10,342 5,632 39,205 8.24 7.36 43,042 -13,276 9,439 39,205 11.99 12.28 33,104 -13,277 19,378 39,205 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 71 City of Clearwater Employees Pension Fund Manning and Napier as of 6/30/17 Cash & Equiv $697 1.78% Domestic Equity $38,508 98.22% Periods from 1/13 to 6/17 Alpha Beta R-Squared 0.79 0.62 0.72 Annualized Return% -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 M 1 T Annualized Standard Deviation% M Manning and Napier 1 Russell 1000 Value T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 11.99 12.28 0.18 9.13 10.09 0.07 1.29 1.20 0.00 -0.41 Asset Allocation ($000) Risk/Return Analysis 72 City of Clearwater Employees Pension Fund Large Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low M Manning and Napier Net Ret Rank 1 Russell 1000 Value Net Ret Rank Last Qtr Last 2 Qtrs Last 3 Qtrs 6/17 YTD Last Year 4.52 3.19 2.37 1.43 -0.02 2.99 32 1.34 81 10.67 8.52 6.09 4.73 2.67 8.69 20 4.66 77 17.71 14.59 12.84 10.55 7.40 11.67 64 11.64 64 10.67 8.52 6.09 4.73 2.67 8.69 20 4.66 77 25.06 18.60 15.98 12.60 7.01 15.99 49 15.53 56 -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% 24% 26% M 1 M 1 M 1 M 1 M 1 73 City of Clearwater Employees Pension Fund Large Value Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low M Manning and Napier Net Ret Rank 1 Russell 1000 Value Net Ret Rank 6/30/17 YTD 10.67 8.52 6.09 4.73 2.67 8.69 20 4.66 77 2% 3% 4% 5% 6% 7% 8% 9% 10% 11% M 1 74 City of Clearwater Employees Pension Fund Risk Measure Summary Manning and Napier Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 1.03 0.75 2.74 5.54 15.99 15.99 2.53 0.41 2.20 0.25 6.12 37.99 5.59 0.04 0 4 1.34 6.68 15.53 15.53 4.42 3.40 2 10 0.92 0.53 0.67 -6.33 6.40 -4.66 17.91 6.56 0.71 0.71 0.75 1.22 11.34 4.08 0.16 3 9 -8.40 6.68 -4.42 19.22 8.06 0.88 2 15 0.90 0.53 0.59 -6.33 8.57 -4.66 21.56 6.51 0.74 0.64 0.80 1.69 14.82 3.59 -0.09 3 14 -8.40 10.01 -4.42 23.82 7.87 1.42 75 City of Clearwater Employees Pension Fund June 30, 2017 Performance Comparison Total Returns of Large Value Portfolios High 1st Qt Median 3rd Qt Low M Manning and Napier Net Ret Rank 1 Russell 1000 Value Net Ret Rank Sep 14 Jun 17 Jun 14 Mar 17 Mar 14 Dec 16 Dec 13 Sep 16 Sep 13 Jun 16 10.35 8.74 7.95 6.72 4.75 8.24 42 7.36 67 10.50 9.56 8.87 7.49 6.04 9.16 36 8.67 59 9.92 8.96 8.20 7.31 5.53 7.91 57 8.59 39 11.20 10.32 9.46 8.43 6.63 9.91 33 9.70 41 12.22 10.68 9.90 8.64 7.20 9.95 48 9.87 53 4% 5% 6% 7% 8% 9% 10% 11% 12% 13% M 1 M 1 M 1 M 1 M 1 Manning and Napier Value Added Analysis - Net of Fee 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 -12.0% -10.0% -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% -6.5 -1.3 0.0 -1.3 -1.0 0.5 1.2 -3.3 1.3 -0.4 2.3 0.7 1.3 -0.9 0.4 -3.7 2.2 1.6 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. Russell 1000 Value 76 City of Clearwater Employees Pension Fund Equity Summary Statistics Manning and Napier Period Ending 6/17 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio Russell 1000 Value 86 38,508,292 118,300,168 32,977,787 2.78 18.90 19.78 0.96 3.63 60.54 5.02 719 114,494,104 8,624,486 2.44 22.31 19.49 0.99 1.71 69.41 0.85 Ten Largest Holdings Johnson & Johnson J P Morgan Chase & C Wells Fargo & Co New Home Depot Inc Wal Mart Stores Inc Pfizer Inc Pepsico Inc Taiwan Semiconductor Merck & Co Inc New 3m Co Market Value % of Portfolio Quarterly Ret 1,630,210 1,436,351 1,275,261 1,082,851 1,073,521 1,038,569 957,528 950,842 940,841 881,685 4.24 3.74 3.32 2.82 2.79 2.70 2.49 2.47 2.45 2.29 6.91 4.65 0.24 5.08 5.69 -0.86 3.96 9.19 1.61 9.47 Ten Best Performers Coca-Cola Femsa S A McDonalds Corp Best Buy Inc Philips Elec(Kon) Boeing Co Smith & Nephew Plc Whirlpool Corp Abbvie Inc Hasbro Bradley Inc Corning Inc Quarterly Ret 19.54 18.90 17.33 13.85 12.68 12.67 12.52 12.39 12.34 11.89 Ten Worst Performers Grainger W W Inc Fastenal Co Intl Business McHn C H Robinson Worldwi Harley Davidson Inc Honda Motor Ltd Archer Daniels Midla Smucker J M Co Campbell Soup Co Gap Inc Quarterly Ret -21.91 -14.88 -10.80 -10.54 -10.09 -9.48 -9.44 -9.19 -8.33 -7.63 77 City of Clearwater Employees Pension Fund Equity Contribution to Return Manning and Napier Period Ending 6/17 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio Russell 1000 Value 86 38,508,292 118,300,168 32,977,787 2.78 18.90 19.78 0.96 3.63 60.54 5.02 719 114,494,104 8,624,486 2.44 22.31 19.49 0.99 1.71 69.41 0.85 Ten Best Contributors McDonalds Corp Johnson & Johnson Unilever Plc Boeing Co Abbvie Inc Taiwan Semiconductor 3m Co Medtronic Plc J P Morgan Chase & C Wal Mart Stores Inc Market Value % of Portfolio Quarterly Ret 695,040 1,630,210 874,525 720,799 713,643 950,842 881,685 681,423 1,436,351 1,073,521 1.81 4.24 2.27 1.87 1.86 2.47 2.29 1.77 3.74 2.79 18.90 6.91 10.49 12.68 12.39 9.19 9.47 10.17 4.65 5.69 Ten Worst Contributors Intl Business McHn Cisco Sys Inc Intel Corp Honda Motor Ltd Grainger W W Inc Fastenal Co China Pete & Chem Co Archer Daniels Midla Texas Instrs Inc Lyondellbasell Indus Market Value % of Portfolio Quarterly Ret 803,916 824,192 822,008 381,433 131,245 153,879 589,421 215,176 514,739 306,083 2.09 2.14 2.14 0.99 0.34 0.40 1.53 0.56 1.34 0.80 -10.80 -6.59 -5.77 -9.48 -21.91 -14.88 -3.57 -9.44 -3.92 -6.42 78 City of Clearwater Employees Pension Fund Equity Sector Attribution Analysis Manning and Napier Quarter Ending 6/17 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 3.17 4.01 20.84 7.69 16.56 15.46 10.91 18.75 2.62 0.00 100.00 12.20 2.92 10.05 4.47 8.47 10.84 26.59 9.92 3.60 6.26 100.00 -5.59 3.43 7.20 -0.42 1.44 5.32 2.98 -0.33 3.83 2.85 -7.09 0.16 3.36 2.79 0.70 6.02 3.75 0.47 -7.10 2.16 1.24 0.05 0.13 0.80 -0.25 0.12 -0.11 -0.08 -0.15 0.29 0.00 0.80 0.75 -0.01 0.23 0.05 -0.04 0.22 -0.39 -0.07 0.08 -0.06 0.76 0.80 0.12 1.03 -0.20 0.08 0.11 -0.48 -0.22 0.37 -0.06 1.56 Index - Russell 1000 Value Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect 0.36% [ Actual Return 3.21% ] - [ Buy Hold Return 2.85% ] 79 City of Clearwater Employees Pension Fund Equity Sector Attribution Chart Manning and Napier Quarter Ending 6/17 % Allocation Energy 3.17 12.20 Materials 4.01 2.92 Industrials 20.84 10.05 Con. Discretionary 7.69 4.47 Consumer Staples 16.56 8.47 Health Care 15.46 10.84 Financials 10.91 26.59 Infomation Tech.18.75 9.92 Telecom. Services 2.62 3.60 Utilities 0.00 6.26 Manning and Napier Russell 1000 Value % Return -5.59 -7.09 3.43 0.16 7.20 3.36 -0.42 2.79 1.44 0.70 5.32 6.02 2.98 3.75 -0.33 0.47 3.83 -7.10 2.16 % Variance 0.80 0.12 1.03 -0.20 0.08 0.11 -0.48 -0.22 0.37 -0.06 80 City of Clearwater Employees Pension Fund Mid Cap Equity Comp as of 6/30/17 Ihs Markit Ltd Global Pmts Inc S&P Global Inc Lkq Corp Delphi Automotive Pl Transdigm Group Inc Boston Scientific Co Eqt Corp Universal Health Svc Regeneron Pharmaceut GICS Sector % Port Industrials Information Technology Financials Consumer Discretionary Consumer Discretionary Industrials Health Care Energy Health Care Health Care 2.84 2.36 2.27 2.22 2.11 2.01 1.97 1.97 1.96 1.86 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 7.20 5.64 15.48 15.63 1.22 15.45 19.17 16.31 0.00 3.90 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 3/31/88 Mid Cap Equity Comp R Mid Cap Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 3/31/88 Mid Cap Equity Comp R Mid Cap Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 5.09 2.70 76,853 144 3,909 80,906 12.36 7.99 75,957 -4,214 9,164 80,906 18.53 16.48 102,218 -34,941 13,628 80,906 8.29 7.69 110,978 -50,606 20,534 80,906 14.98 14.72 80,702 -64,617 64,821 80,906 9.19 7.67 92,247 -73,625 62,284 80,906 12.51 11.70 15,585 -73,625 138,946 80,906 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 81 City of Clearwater Employees Pension Fund Mid Cap Equity Comp as of 6/30/17 Cash & Equiv $4,338 5.36% Domestic Equity $76,568 94.64% Periods from 3/88 to 6/17 Alpha Beta R-Squared 0.04 1.14 0.83 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 M 1 T Annualized Standard Deviation% M Mid Cap Equity Comp 1 R Mid Cap T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 12.51 11.70 3.30 21.77 17.31 1.31 0.42 0.49 0.00 0.12 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 82 City of Clearwater Employees Pension Fund Midcap Neutral Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low M Mid Cap Equity Comp Net Ret Rank 1 R Mid Cap Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 4.01 3.28 2.20 1.24 -1.06 5.09 1 2.70 46 24.41 21.83 20.37 18.05 10.63 18.53 69 16.48 87 11.44 10.60 9.18 8.10 4.66 6.90 79 8.23 72 10.60 9.67 8.25 6.55 3.67 8.29 47 7.69 56 13.91 12.53 12.26 10.86 9.21 12.61 22 12.19 56 16.69 15.87 14.72 13.95 12.11 14.98 32 14.72 50 14.07 12.87 11.98 11.42 9.90 12.66 39 11.81 60 16.77 16.31 15.62 14.46 13.04 16.42 13 15.28 57 18.90 18.23 16.83 15.12 14.16 17.58 37 16.47 58 14.16 12.23 11.20 10.39 9.36 11.62 42 10.00 89 9.20 9.11 8.27 7.85 7.47 9.19 7 7.67 81 -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% 24% 26% M 1 M 1 M 1 M1 M1 M1 M1 M 1 M 1 M 1 M 1 83 City of Clearwater Employees Pension Fund Midcap Neutral Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low M Mid Cap Equity Comp Net Ret Rank 1 R Mid Cap Net Ret Rank 6/30/17 YTD 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 10.91 8.20 6.03 5.05 2.04 12.36 2 7.99 36 24.48 20.73 17.87 15.13 5.53 6.73 92 13.80 81 3.35 -1.75 -4.87 -9.09 -10.50 -1.30 20 -2.44 40 20.03 14.45 9.87 5.49 2.67 13.38 25 13.21 25 49.42 40.92 36.54 33.64 24.89 37.36 42 34.76 66 23.73 19.63 17.97 16.83 11.91 22.00 13 17.26 72 9.52 2.50 -0.48 -1.83 -4.69 -0.10 37 -1.56 55 43.18 28.36 26.70 23.30 19.30 28.03 28 25.49 59 62.84 39.29 37.27 33.05 28.44 45.33 9 40.47 21 -27.10 -33.96 -36.20 -37.35 -39.64 -41.79 100 -41.46 100 11.40 9.14 8.19 6.10 -17.23 10.26 13 5.59 76 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% M 1 M 1 M1 M1 M1 M 1 M1 M1 M 1 M1 M 1 84 City of Clearwater Employees Pension Fund Risk Measure Summary Mid Cap Equity Comp Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 1.12 0.75 0.34 6.92 18.53 18.53 5.64 1.18 -0.20 0.61 3.20 15.30 4.69 0.39 0 4 2.70 5.15 16.48 16.48 2.26 7.06 3 9 0.96 0.76 0.67 -7.57 8.26 -6.64 18.53 8.76 1.00 0.17 0.79 0.92 8.09 4.06 0.14 3 9 -8.01 5.94 -4.04 17.03 7.81 0.96 3 17 0.98 0.76 0.55 -7.57 12.83 -6.64 37.36 9.30 1.01 0.04 0.84 1.59 14.66 3.79 0.06 3 17 -8.01 12.95 -4.04 34.76 8.41 1.73 34 83 1.13 1.15 0.56 -26.78 49.24 -41.79 77.74 21.77 1.14 0.04 0.83 0.42 8.09 9.41 0.12 35 82 -27.28 20.80 -41.46 67.72 17.31 0.49 85 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Midcap Neutral Portfolios Annualized Rate of Return7.0 7.55 8.1 8.65 9.2 9.75 10.3 10.85 11.4 11.95 12.5 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 M 1 MedianRiskMedian Return Historical Standard Deviation of Return 3 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank M Mid Cap Equity Comp 1 R Mid Cap Median 8.29 47 8.76 12 7.69 56 7.81 1 8.25 9.70 Annualized Rate of Return6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 11.0 11.7 12.5 13.2 14.0 14.7 15.5 16.2 17.0 17.7 18.5 M1 MedianRiskMedian Return Historical Standard Deviation of Return 5 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank M Mid Cap Equity Comp 1 R Mid Cap Median 14.98 32 9.30 44 14.72 50 8.41 5 14.72 9.74 86 City of Clearwater Employees Pension Fund Artisan Partners as of 6/30/17 Ihs Markit Ltd Global Pmts Inc S&P Global Inc Lkq Corp Boston Scientific Co Regeneron Pharmaceut Cigna Corp Waste Connections In Veeva Sys Inc Becton Dickinson GICS Sector % Port Industrials Information Technology Financials Consumer Discretionary Health Care Health Care Health Care Industrials Health Care Health Care 5.37 4.45 4.28 4.20 3.73 3.51 2.84 2.32 2.27 2.20 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 4.20 1.99 18.80 17.90 2.31 19.33 13.80 21.68 0.00 0.00 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 7/31/01 Artisan Partners R Mid Cap G Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 7/31/01 Artisan Partners R Mid Cap G Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 6.81 4.21 39,681 84 2,703 42,468 15.33 11.40 36,678 163 5,627 42,468 17.20 17.05 49,637 -13,685 6,517 42,468 7.18 7.83 52,974 -19,498 8,992 42,468 13.70 14.20 40,076 -27,505 29,897 42,468 10.02 7.87 24,919 -32,510 50,060 42,468 9.91 8.10 29,914 -32,510 45,065 42,468 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 87 City of Clearwater Employees Pension Fund Artisan Partners as of 6/30/17 Cash & Equiv $1,961 4.62% Domestic Equity $40,508 95.38% Periods from 7/01 to 6/17 Alpha Beta R-Squared 0.47 0.94 0.92 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 r 1 T Annualized Standard Deviation% r Artisan Partners 1 R Mid Cap G T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 9.91 8.10 1.37 18.29 17.92 0.49 0.47 0.38 0.00 0.21 Asset Allocation ($000) Risk/Return Analysis 88 City of Clearwater Employees Pension Fund Midcap Growth Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low r Artisan Partners Net Ret Rank 1 R Mid Cap G Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 7.04 6.22 4.26 3.49 0.03 6.81 19 4.21 53 28.84 24.40 20.94 17.23 14.41 17.20 75 17.05 77 15.41 11.65 8.78 4.44 1.86 5.67 68 7.02 65 13.61 10.98 9.35 5.86 4.00 7.18 67 7.83 63 15.84 14.71 13.32 11.37 9.80 11.83 66 12.12 61 17.79 16.63 15.69 14.16 11.56 13.70 82 14.20 73 15.08 13.22 12.54 11.63 6.33 11.56 76 11.13 80 19.67 16.90 16.06 15.30 10.76 16.38 36 15.24 75 20.22 17.79 16.89 15.76 11.74 16.96 45 15.98 72 14.73 12.60 10.95 10.07 5.96 11.94 25 9.59 83 11.57 10.21 9.22 8.54 5.09 10.02 33 7.87 81 -5% 0% 5% 10% 15% 20% 25% 30% r 1 r1 r 1 r1 r1 r1 r1 r1 r1 r 1 r 1 89 City of Clearwater Employees Pension Fund Midcap Growth Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low r Artisan Partners Net Ret Rank 1 R Mid Cap G Net Ret Rank 6/30/17 YTD 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 16.85 13.44 11.46 9.12 4.35 15.33 13 11.40 57 20.76 13.81 8.36 4.00 2.22 -0.63 99 7.33 54 9.77 1.51 -1.14 -2.61 -6.44 3.38 13 -0.20 39 13.79 10.51 8.91 6.10 3.17 6.96 67 11.91 14 43.46 39.53 37.97 34.40 30.88 39.21 28 35.76 67 22.65 20.16 17.14 15.78 10.47 20.82 18 15.80 73 9.45 2.60 -0.41 -4.56 -9.81 0.07 43 -1.66 63 38.12 31.63 27.77 26.45 19.71 33.15 12 26.39 75 51.99 44.53 41.56 38.11 30.82 51.38 5 46.30 14 -32.14 -35.11 -38.94 -40.25 -44.66 -42.87 85 -44.32 91 25.75 22.03 12.92 5.77 1.06 22.31 22 11.41 53 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% r 1 r 1 r1 r 1 r1 r 1 r1 r 1 r 1 r1 r 1 90 City of Clearwater Employees Pension Fund June 30, 2017 Performance Comparison Total Returns of Midcap Growth Portfolios High 1st Qt Median 3rd Qt Low r Artisan Partners Net Ret Rank 1 R Mid Cap G Net Ret Rank Sep 14 Jun 17 Jun 14 Mar 17 Mar 14 Dec 16 Dec 13 Sep 16 Sep 13 Jun 16 13.41 10.98 9.58 6.42 4.77 7.18 71 7.83 65 12.12 10.18 7.53 5.76 4.57 4.90 88 7.88 46 9.78 9.19 6.93 4.35 3.06 3.19 93 6.23 57 11.87 10.58 9.28 6.74 5.43 6.73 75 8.90 50 14.35 11.76 10.76 7.97 7.00 10.09 54 10.52 52 2% 3% 4% 5% 6% 7% 8% 9% 10% 11% 12% 13% 14% 15% r 1 r 1 r 1 r 1 r 1 Artisan Partners Value Added Analysis - Net of Fee 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 -7.0% -6.0% -5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 0.5 0.0 -2.2 0.6 6.2 -1.8 0.7 -4.1 -1.1 0.0 -1.2 3.1 1.0 0.7 -6.1 1.9 1.2 -4.4 1.0 2.5 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R Mid Cap G 91 City of Clearwater Employees Pension Fund Risk Measure Summary Artisan Partners Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 1 3 1.01 0.75 -3.98 7.97 17.20 17.20 10.99 1.55 -2.05 0.83 1.52 10.75 6.22 0.05 0 4 0.46 6.89 17.05 17.05 5.33 3.11 4 8 0.85 0.72 0.67 -7.04 7.97 -6.20 17.20 10.30 1.05 -0.21 0.72 0.67 6.61 5.51 -0.11 3 9 -7.99 6.89 -4.75 17.05 8.27 0.92 4 16 0.93 0.72 0.65 -7.04 16.16 -6.20 39.21 10.69 1.05 -0.24 0.71 1.27 12.88 5.80 -0.07 3 17 -7.99 11.52 -4.75 35.76 8.54 1.64 18 45 1.00 0.89 0.49 -27.54 26.70 -42.87 58.59 19.20 0.94 0.47 0.92 0.53 10.77 5.44 0.21 18 45 -27.36 27.06 -44.32 62.98 19.58 0.44 92 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Midcap Growth Portfolios Annualized Rate of Return6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 2.0 3.5 5.0 6.5 8.0 9.5 11.0 12.5 14.0 15.5 17.0 r1MedianRisk Median Return Historical Standard Deviation of Return 3 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank r Artisan Partners 1 R Mid Cap G Median 7.18 67 10.30 67 7.83 63 8.27 20 9.35 9.86 Annualized Rate of Return5.0 5.9 6.8 7.7 8.6 9.5 10.4 11.3 12.2 13.1 14.0 11.0 11.9 12.7 13.6 14.5 15.4 16.3 17.2 18.1 19.0 19.9 r 1 MedianRiskMedian Return Historical Standard Deviation of Return 5 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank r Artisan Partners 1 R Mid Cap G Median 13.70 82 10.69 81 14.20 73 8.54 17 15.69 9.43 93 City of Clearwater Employees Pension Fund Equity Summary Statistics Artisan Partners Period Ending 6/17 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R Mid Cap G 61 40,507,751 19,701,811 12,425,915 0.57 42.73 27.70 1.02 3.87 58.46 7.07 426 13,712,755 7,826,038 1.05 35.13 24.83 1.07 5.38 67.48 8.40 Ten Largest Holdings Ihs Markit Ltd Global Pmts Inc S&P Global Inc Lkq Corp Boston Scientific Co Regeneron Pharmaceut Cigna Corp Waste Connections In Veeva Sys Inc Becton Dickinson Market Value % of Portfolio Quarterly Ret 2,174,255 1,803,781 1,733,631 1,701,505 1,508,827 1,421,359 1,151,643 938,728 919,466 891,458 5.37 4.45 4.28 4.20 3.73 3.51 2.84 2.32 2.27 2.20 4.98 11.96 11.99 12.57 11.46 26.74 14.27 9.75 19.56 6.76 Ten Best Performers Regeneron Pharmaceut Edwards Lifesciences Athenahealth Inc Tableau Software Inc Guidewire Software I Veeva Sys Inc Expedia Inc Del Electronic Arts Atlassian Corp Plc Wabtec Corp Quarterly Ret 26.74 25.69 24.72 23.65 21.98 19.56 18.29 18.10 17.46 17.45 Ten Worst Performers Advance Auto Parts Seattle Genetics Inc Helmerich & Payne In Diamondback Energy I Dexcom Inc Middleby Corp Cbs Corp Chipotle Mexican Gri Svb Finl Group Concho Res Inc Quarterly Ret -21.32 -17.69 -17.36 -14.37 -13.67 -10.95 -7.77 -6.60 -5.54 -5.31 94 City of Clearwater Employees Pension Fund Equity Contribution to Return Artisan Partners Period Ending 6/17 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R Mid Cap G 61 40,507,751 19,701,811 12,425,915 0.57 42.73 27.70 1.02 3.87 58.46 7.07 426 13,712,755 7,826,038 1.05 35.13 24.83 1.07 5.38 67.48 8.40 Ten Best Contributors Regeneron Pharmaceut Global Pmts Inc Lkq Corp S&P Global Inc Veeva Sys Inc Boston Scientific Co Guidewire Software I Cigna Corp Edwards Lifesciences Newell Rubbermaid In Market Value % of Portfolio Quarterly Ret 1,421,359 1,803,781 1,701,505 1,733,631 919,466 1,508,827 749,008 1,151,643 507,368 888,162 3.51 4.45 4.20 4.28 2.27 3.73 1.85 2.84 1.25 2.19 26.74 11.96 12.57 11.99 19.56 11.46 21.98 14.27 25.69 14.17 Ten Worst Contributors Advance Auto Parts Dexcom Inc Diamondback Energy I Helmerich & Payne In Middleby Corp Concho Res Inc Cbs Corp Svb Finl Group Chipotle Mexican Gri Seattle Genetics Inc Market Value % of Portfolio Quarterly Ret 382,532 553,453 499,467 322,562 437,922 880,606 569,173 564,110 231,768 44,755 0.94 1.37 1.23 0.80 1.08 2.17 1.41 1.39 0.57 0.11 -21.32 -13.67 -14.37 -17.36 -10.95 -5.31 -7.77 -5.54 -6.60 -17.69 95 City of Clearwater Employees Pension Fund Equity Sector Attribution Analysis Artisan Partners Quarter Ending 6/17 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 4.31 1.68 20.53 18.43 2.16 20.34 11.45 21.10 0.00 0.00 100.00 1.30 5.15 14.84 22.98 7.06 15.56 5.34 22.26 0.19 0.00 100.00 -12.32 0.60 3.34 5.18 5.75 10.91 8.65 12.88 7.17 -8.81 6.32 1.10 -0.40 -1.97 11.24 6.00 8.44 -6.08 0.00 4.08 -0.15 -0.10 0.46 1.03 0.17 -0.07 0.30 0.94 0.00 0.00 2.58 -0.39 -0.08 -0.17 0.20 0.30 0.34 0.12 -0.05 0.02 -0.00 0.29 -0.54 -0.17 0.29 1.23 0.46 0.28 0.42 0.88 0.02 0.00 2.87 Index - R Mid Cap G Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect 0.13% [ Actual Return 7.30% ] - [ Buy Hold Return 7.17% ] 96 City of Clearwater Employees Pension Fund Equity Sector Attribution Chart Artisan Partners Quarter Ending 6/17 % Allocation Energy 4.31 1.30 Materials 1.68 5.15 Industrials 20.53 14.84 Con. Discretionary 18.43 22.98 Consumer Staples 2.16 7.06 Health Care 20.34 15.56 Financials 11.45 5.34 Infomation Tech.21.10 22.26 Telecom. Services 0.00 0.19 Utilities 0.00 0.00 Artisan Partners R Mid Cap G % Return -12.32 -8.81 0.60 6.32 3.34 1.10 5.18 -0.40 5.75 -1.97 10.91 11.24 8.65 6.00 12.88 8.44 -6.08 % Variance -0.54 -0.17 0.29 1.23 0.46 0.28 0.42 0.88 0.02 0.00 97 City of Clearwater Employees Pension Fund Wedge Capital Mgmt as of 6/30/17 Transdigm Group Inc Eqt Corp Universal Health Svc Zimmer Hldgs Inc Ally Finl Inc Great Plains Energy Murphy Oil Corp Wyndham Worldwide Co Fidelity National Fi Mednax Inc GICS Sector % Port Industrials Energy Health Care Health Care Financials Utilities Energy Consumer Discretionary Financials Health Care 4.28 4.18 4.17 3.92 3.47 3.38 3.29 3.24 3.05 2.99 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 10.57 9.76 11.75 13.08 0.00 11.08 25.20 10.27 0.00 8.29 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 2/28/07 Wedge Capital Mgmt R Mid Cap V Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 2/28/07 Wedge Capital Mgmt R Mid Cap V Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 3.24 1.37 37,172 59 1,206 38,437 9.37 5.18 39,278 -4,378 3,537 38,437 19.68 15.93 52,582 -21,256 7,112 38,437 9.29 7.46 58,004 -31,108 11,541 38,437 16.06 15.14 40,626 -37,113 34,923 38,437 9.09 7.23 32,228 -41,115 47,324 38,437 9.41 7.48 30,365 -41,115 49,187 38,437 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 98 City of Clearwater Employees Pension Fund Wedge Capital Mgmt as of 6/30/17 Cash & Equiv $2,377 6.18% Domestic Equity $36,060 93.82% Periods from 2/07 to 6/17 Alpha Beta R-Squared 0.48 0.99 0.96 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 w 1 T Annualized Standard Deviation% w Wedge Capital Mgmt 1 R Mid Cap V T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 9.41 7.48 0.72 18.02 17.91 0.43 0.48 0.38 0.00 0.44 Asset Allocation ($000) Risk/Return Analysis 99 City of Clearwater Employees Pension Fund Midcap Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low w Wedge Capital Mgmt Net Ret Rank 1 R Mid Cap V Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 3.12 1.85 1.47 0.71 -6.84 3.24 1 1.37 50 22.44 21.43 15.96 12.76 -1.59 19.68 35 15.93 50 15.04 14.62 9.76 7.72 -6.38 8.02 71 9.40 60 9.96 9.23 8.95 7.38 -8.07 9.29 13 7.46 70 14.03 13.05 11.69 9.11 -0.13 13.14 25 12.21 39 16.60 14.12 12.88 9.82 7.06 16.06 8 15.14 12 13.22 12.25 11.03 9.72 6.92 13.57 1 12.39 15 16.33 15.29 18.04 16.91 12.21 10.34 9.09 7.23 -10% -5% 0% 5% 10% 15% 20% 25% w 1 w 1 w 1 w 1 w1 w1 w1 w1 w1 w 1 w 1 100 City of Clearwater Employees Pension Fund Midcap Value Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low w Wedge Capital Mgmt Net Ret Rank 1 R Mid Cap V Net Ret Rank 6/30/17 YTD 2016 2015 2014 2013 2012 2011 2010 2009 9.31 6.77 3.90 3.11 1.53 9.37 1 5.18 32 32.10 31.00 22.19 16.92 13.50 14.46 83 20.00 57 2.87 -2.28 -3.22 -11.29 -31.45 -5.72 64 -4.78 64 13.17 12.03 9.00 7.88 6.27 19.82 1 14.74 1 46.27 44.14 34.05 31.22 26.69 34.92 46 33.45 58 32.17 18.21 16.03 12.41 11.55 23.16 12 18.48 25 8.95 6.35 -1.12 -5.17 -7.49 -0.33 45 -1.38 52 34.93 28.13 19.86 19.43 16.95 23.30 40 24.76 37 61.66 57.20 38.68 29.76 22.89 38.51 51 34.20 56 -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% w 1 w 1 w 1 w 1 w 1 w 1 w 1 w 1 w 1 101 City of Clearwater Employees Pension Fund June 30, 2017 Performance Comparison Total Returns of Midcap Value Portfolios High 1st Qt Median 3rd Qt Low w Wedge Capital Mgmt Net Ret Rank 1 R Mid Cap V Net Ret Rank Sep 14 Jun 17 Jun 14 Mar 17 Mar 14 Dec 16 Dec 13 Sep 16 Sep 13 Jun 16 9.96 9.25 9.09 8.08 6.97 9.29 20 7.46 87 11.42 10.98 10.26 9.39 6.62 9.73 71 8.94 87 12.52 11.51 10.91 8.67 2.88 8.94 61 9.45 55 14.32 11.36 10.23 9.19 4.88 10.28 42 10.49 35 13.78 12.21 11.31 10.12 6.76 11.04 58 10.99 58 2% 3% 4% 5% 6% 7% 8% 9% 10% 11% 12% 13% 14% 15% w 1 w 1 w 1 w 1 w 1 Wedge Capital Mgmt Value Added Analysis - Net of Fee 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% -0.2 0.5 2.0 -1.7 0.7 0.1 -1.5 -1.1 2.7 4.3 0.4 0.3 -0.1 -1.6 -2.5 -1.5 0.0 -0.7 2.1 1.9 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R Mid Cap V 102 City of Clearwater Employees Pension Fund Risk Measure Summary Wedge Capital Mgmt Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 1.24 0.75 3.24 5.93 19.68 19.68 2.20 0.87 1.30 0.73 8.71 22.10 2.86 1.15 0 4 1.37 5.52 15.93 15.93 3.53 4.38 3 9 1.07 0.79 0.58 -8.10 10.66 -7.12 19.68 9.08 0.98 0.48 0.80 1.00 9.23 4.12 0.42 3 9 -8.04 6.05 -4.78 20.00 8.29 0.87 4 16 1.01 0.79 0.55 -8.10 16.49 -7.12 34.92 9.88 1.03 0.12 0.87 1.61 15.43 3.58 0.23 3 17 -8.04 14.21 -4.78 33.45 8.96 1.67 14 27 1.03 0.91 0.63 -26.40 25.65 -39.75 73.15 19.71 0.99 0.48 0.96 0.44 8.77 4.03 0.44 13 28 -27.19 23.62 -42.51 72.41 19.51 0.35 103 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Midcap Value Portfolios Annualized Rate of Return4.0 5.4 6.8 8.2 9.6 11.0 12.4 13.8 15.2 16.6 18.0 0.0 1.8 3.6 5.3 7.2 9.0 10.8 12.6 14.4 16.2 18.0 w 1 MedianRiskMedian Return Historical Standard Deviation of Return 3 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank w Wedge Capital Mgmt 1 R Mid Cap V Median 9.29 13 9.08 43 7.46 70 8.29 39 8.95 10.94 Annualized Rate of Return5.5 6.15 6.8 7.45 8.1 8.75 9.4 10.05 10.7 11.35 12.0 4.0 5.8 7.6 9.4 11.2 13.0 14.8 16.6 18.4 20.1 21.9 w 1MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank w Wedge Capital Mgmt 1 R Mid Cap V Median 16.06 8 9.88 69 15.14 12 8.96 61 12.88 8.62 104 City of Clearwater Employees Pension Fund Equity Summary Statistics Wedge Capital Mgmt Period Ending 6/17 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R Mid Cap V 44 36,060,147 10,639,293 8,337,271 1.85 21.83 17.57 1.09 1.97 75.36 4.42 590 13,312,522 6,839,792 2.19 29.09 19.81 0.99 1.83 75.27 3.68 Ten Largest Holdings Transdigm Group Inc Eqt Corp Universal Health Svc Zimmer Hldgs Inc Ally Finl Inc Great Plains Energy Murphy Oil Corp Wyndham Worldwide Co Fidelity National Fi Mednax Inc Market Value % of Portfolio Quarterly Ret 1,539,281 1,505,763 1,501,584 1,412,400 1,249,820 1,215,120 1,185,054 1,164,756 1,098,335 1,074,586 4.28 4.18 4.17 3.92 3.47 3.38 3.29 3.24 3.05 2.99 22.12 -4.06 -1.82 5.35 3.21 1.16 -9.52 19.83 15.80 -12.99 Ten Best Performers Packaging Corp Amer Transdigm Group Inc Wyndham Worldwide Co Owens Ill Inc Dana Holding Corp Fidelity National Fi Cit Group Inc Convergys Corp Royal Caribbean Crui Dxc Technology Co Quarterly Ret 22.30 22.12 19.83 17.37 15.97 15.80 13.80 12.90 11.82 11.44 Ten Worst Performers Weatherford Intl Plc Technipfmc Ltd Mednax Inc Murphy Oil Corp Cbl & Assoc Pptys In TCF Bkg & Svgs Fa Mi Eqt Corp Signature Bk New Yor Universal Health Svc UGI Corp New Quarterly Ret -41.80 -16.31 -12.99 -9.52 -8.87 -5.91 -4.06 -3.28 -1.82 -1.51 105 City of Clearwater Employees Pension Fund Equity Contribution to Return Wedge Capital Mgmt Period Ending 6/17 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R Mid Cap V 44 36,060,147 10,639,293 8,337,271 1.85 21.83 17.57 1.09 1.97 75.36 4.42 590 13,312,522 6,839,792 2.19 29.09 19.81 0.99 1.83 75.27 3.68 Ten Best Contributors Transdigm Group Inc Packaging Corp Amer Wyndham Worldwide Co Fidelity National Fi Owens Ill Inc Dana Holding Corp Marvell Technology G Cit Group Inc Zimmer Hldgs Inc Delphi Automotive Pl Market Value % of Portfolio Quarterly Ret 1,539,281 1,058,205 1,164,756 1,098,335 820,456 756,987 1,025,892 637,970 1,412,400 788,850 4.28 2.94 3.24 3.05 2.28 2.10 2.85 1.77 3.92 2.19 22.12 22.30 19.83 15.80 17.37 15.97 8.65 13.80 5.35 9.26 Ten Worst Contributors Weatherford Intl Plc Mednax Inc Murphy Oil Corp Eqt Corp Technipfmc Ltd Universal Health Svc Cbl & Assoc Pptys In TCF Bkg & Svgs Fa Mi UGI Corp New Signature Bk New Yor Market Value % of Portfolio Quarterly Ret 887,004 1,074,586 1,185,054 1,505,763 225,760 1,501,584 269,760 344,224 704,366 288,208 2.46 2.99 3.29 4.18 0.63 4.17 0.75 0.96 1.96 0.80 -41.80 -12.99 -9.52 -4.06 -16.31 -1.82 -8.87 -5.91 -1.51 -3.28 106 City of Clearwater Employees Pension Fund Equity Sector Attribution Analysis Wedge Capital Mgmt Quarter Ending 6/17 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 11.63 9.41 12.23 13.34 0.00 10.54 27.05 7.46 0.00 8.34 100.00 9.62 6.12 12.94 8.51 3.26 4.13 19.83 9.14 1.18 11.25 100.00 -15.46 12.66 8.40 11.44 -2.64 5.12 9.34 1.13 3.84 -12.15 -0.00 3.13 4.32 0.02 8.29 3.22 2.89 -0.65 1.77 1.04 -0.39 1.19 0.64 0.95 0.00 -1.15 0.51 0.48 0.00 -0.05 2.19 -0.26 -0.03 -0.01 0.16 0.03 0.46 0.16 -0.03 0.02 -0.02 0.47 -0.65 1.16 0.63 1.11 0.03 -0.69 0.67 0.45 0.02 -0.07 2.66 Index - R Mid Cap V Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect -0.28% [ Actual Return 3.56% ] - [ Buy Hold Return 3.84% ] 107 City of Clearwater Employees Pension Fund Equity Sector Attribution Chart Wedge Capital Mgmt Quarter Ending 6/17 % Allocation Energy 11.63 9.62 Materials 9.41 6.12 Industrials 12.23 12.94 Con. Discretionary 13.34 8.51 Consumer Staples 0.00 3.26 Health Care 10.54 4.13 Financials 27.05 19.83 Infomation Tech.7.46 9.14 Telecom. Services 0.00 1.18 Utilities 8.34 11.25 Wedge Capital Mgmt R Mid Cap V % Return -15.46 -12.15 12.66 8.40 3.13 11.44 4.32 0.02 -2.64 8.29 5.12 3.22 9.34 2.89 -0.65 1.13 1.77 % Variance -0.65 1.16 0.63 1.11 0.03 -0.69 0.67 0.45 0.02 -0.07 108 City of Clearwater Employees Pension Fund Small Cap Equity Comp as of 6/30/17 National Instrs Corp Grand Canyon Ed Inc Pegasystems Inc Bio Techne Corp Chemed Corp New Proto Labs Inc Health Care Group In Athenahealth Inc Dorman Products Inc Knight Transn Inc GICS Sector % Port Information Technology Consumer Discretionary Information Technology Health Care Health Care Industrials Industrials Health Care Consumer Discretionary Industrials 2.79 2.25 1.81 1.60 1.58 1.57 1.53 1.48 1.45 1.44 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 1.75 2.78 19.49 12.84 5.47 13.99 14.58 28.62 0.00 0.47 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 26.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 8/31/03 Small Cap Equity Comp R2000 Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 8/31/03 Small Cap Equity Comp R2000 Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 5.01 2.46 50,327 118 2,520 52,965 8.68 4.99 51,413 -2,764 4,317 52,965 22.85 24.60 53,163 -10,541 10,344 52,965 8.54 7.36 69,342 -28,314 11,937 52,965 14.04 13.70 47,898 -30,320 35,388 52,965 8.15 6.92 69,785 -69,326 52,506 52,965 10.07 9.30 29,988 -69,326 92,303 52,965 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 109 City of Clearwater Employees Pension Fund Small Cap Equity Comp as of 6/30/17 Cash & Equiv $1,275 2.41% Domestic Equity $51,690 97.59% Periods from 8/03 to 6/17 Alpha Beta R-Squared 0.38 0.90 0.95 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 S 1 T Annualized Standard Deviation% S Small Cap Equity Comp 1 R2000 T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 10.07 9.30 1.29 17.47 18.46 0.51 0.50 0.43 0.00 0.12 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 110 City of Clearwater Employees Pension Fund Small Neutral Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low S Small Cap Equity Comp Net Ret Rank 1 R2000 Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 10.54 2.30 1.27 0.08 -1.41 5.01 7 2.46 21 30.94 26.00 23.94 21.48 15.64 22.85 58 24.60 42 13.36 11.87 9.90 8.00 1.96 9.86 50 7.80 83 12.07 9.88 8.08 7.18 1.38 8.54 36 7.36 65 14.92 13.58 12.09 11.41 8.69 11.43 73 11.22 79 18.03 16.34 15.38 13.84 12.40 14.04 71 13.70 78 14.65 12.95 12.15 11.19 9.49 12.26 45 10.91 82 17.94 16.02 15.45 14.80 13.58 16.09 20 14.35 84 19.39 17.48 16.65 15.50 14.75 16.39 58 15.22 84 14.47 12.98 11.44 10.34 9.07 11.38 51 9.85 88 10.35 9.30 8.61 7.91 6.56 8.15 67 6.92 87 -5% 0% 5% 10% 15% 20% 25% 30% 35% S 1 S 1 S 1 S1 S1 S1 S1 S 1 S1 S 1 S1 111 City of Clearwater Employees Pension Fund Small Neutral Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low S Small Cap Equity Comp Net Ret Rank 1 R2000 Net Ret Rank 6/30/17 YTD 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 8.28 5.87 3.14 1.06 -2.31 8.68 4 4.99 34 36.55 28.26 25.79 23.53 16.93 18.26 91 21.31 84 1.60 -1.95 -3.68 -6.58 -16.71 -1.70 21 -4.41 60 10.28 8.23 5.42 1.51 -3.67 0.39 83 4.89 60 48.95 42.94 41.34 37.40 32.18 42.51 35 38.82 68 24.20 21.38 17.70 15.00 11.11 17.61 51 16.34 63 3.41 -0.32 -3.11 -5.63 -9.91 2.07 11 -4.17 60 35.59 31.17 29.95 23.59 20.47 29.27 52 26.85 62 48.66 37.58 33.62 27.78 22.82 33.51 55 27.19 76 -22.88 -30.16 -33.71 -36.46 -40.84 -38.63 89 -33.80 55 11.68 2.37 -2.28 -5.44 -10.76 3.27 19 -1.55 43 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% S1 S1 S1 S 1 S1 S1 S 1 S1 S 1 S 1 S 1 112 City of Clearwater Employees Pension Fund Risk Measure Summary Small Cap Equity Comp Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 0.93 0.50 3.50 6.33 22.85 22.85 2.69 0.58 1.94 0.77 8.32 38.73 5.24 -0.34 0 4 2.46 9.05 24.60 24.60 7.48 3.22 2 10 0.94 0.76 0.58 -8.82 9.12 -5.01 22.85 10.70 0.80 0.59 0.95 0.78 10.35 3.59 0.22 3 9 -11.92 9.73 -9.76 26.22 12.99 0.55 3 17 0.95 0.76 0.55 -8.82 11.91 -5.01 42.51 10.62 0.87 0.48 0.93 1.31 15.93 3.31 0.04 3 17 -11.92 12.39 -9.76 38.82 11.75 1.15 15 40 0.96 0.87 0.60 -25.65 20.74 -38.63 57.55 17.25 0.90 0.38 0.95 0.53 10.09 4.19 0.12 16 39 -26.12 20.68 -37.50 62.77 18.65 0.44 113 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Small Neutral Portfolios Annualized Rate of Return9.0 9.7 10.4 11.1 11.8 12.5 13.2 13.9 14.6 15.3 16.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 S 1MedianRisk Median Return Historical Standard Deviation of Return 3 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank S Small Cap Equity Comp 1 R2000 Median 8.54 36 10.70 9 7.36 65 12.99 64 8.08 12.40 Annualized Rate of Return7.0 7.9 8.8 9.7 10.6 11.5 12.4 13.3 14.2 15.1 16.0 11.0 11.9 12.7 13.6 14.5 15.4 16.3 17.2 18.1 19.0 19.9 S 1MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank S Small Cap Equity Comp 1 R2000 Median 14.04 71 10.62 28 13.70 78 11.75 58 15.38 11.48 114 City of Clearwater Employees Pension Fund Riverbridge Partners as of 6/30/17 National Instrs Corp Grand Canyon Ed Inc Pegasystems Inc Chemed Corp New Proto Labs Inc Health Care Group In Athenahealth Inc Ellie Mae Inc Ultimate Software Gr Costar Group Inc GICS Sector % Port Information Technology Consumer Discretionary Information Technology Health Care Industrials Industrials Health Care Information Technology Information Technology Information Technology 4.62 4.31 3.46 3.03 3.01 2.92 2.84 2.64 2.60 2.57 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 0.00 0.00 18.51 13.43 5.45 19.87 4.20 38.54 0.00 0.00 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 9/30/10 Riverbridge Partners R2000G Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 9/30/10 Riverbridge Partners R2000G Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 8.79 4.39 25,302 62 2,224 27,588 17.38 9.97 23,399 118 4,071 27,588 28.26 24.40 21,317 222 6,049 27,588 10.09 7.64 33,487 -12,687 6,788 27,588 14.16 13.98 23,050 -12,690 17,228 27,588 15.52 13.71 16,876 -12,691 23,403 27,588 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 115 City of Clearwater Employees Pension Fund Riverbridge Partners as of 6/30/17 Cash & Equiv $609 2.21% Domestic Equity $26,979 97.79% Periods from 9/10 to 6/17 Alpha Beta R-Squared 1.00 0.80 0.90 Annualized Return% -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 R 1 T Annualized Standard Deviation% R Riverbridge Partners 1 R2000G T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 15.52 13.71 0.16 14.37 16.52 0.06 1.07 0.82 0.00 0.18 Asset Allocation ($000) Risk/Return Analysis 116 City of Clearwater Employees Pension Fund Small Growth Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low R Riverbridge Partners Net Ret Rank 1 R2000G Net Ret Rank Last Qtr Last 2 Qtrs Last 3 Qtrs 6/17 YTD Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years 7.77 4.50 3.58 2.46 0.09 8.79 3 4.39 28 16.96 10.91 8.00 5.34 2.05 17.38 3 9.97 29 18.82 15.93 14.03 11.23 4.82 19.39 4 13.90 52 16.96 10.91 8.00 5.34 2.05 17.38 3 9.97 29 29.82 25.98 22.06 19.05 11.51 28.26 11 24.40 33 12.20 9.75 6.07 3.19 -0.61 11.60 10 5.37 62 12.79 10.17 7.93 5.38 2.61 10.09 25 7.64 52 15.89 13.61 11.78 9.59 7.76 11.99 46 11.68 51 19.11 15.63 14.55 13.22 10.07 14.16 58 13.98 60 15.32 13.53 11.80 9.79 7.65 12.95 33 11.01 60 -5% 0% 5% 10% 15% 20% 25% 30% 35% R 1 R 1 R 1 R 1 R 1 R 1 R 1 R1 R1 R 1 117 City of Clearwater Employees Pension Fund Small Growth Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low R Riverbridge Partners Net Ret Rank 1 R2000G Net Ret Rank 6/30/17 YTD 2016 2015 2014 2013 2012 2011 16.96 10.91 8.00 5.34 2.05 17.38 3 9.97 29 26.84 19.26 15.44 9.00 1.85 13.29 56 11.32 64 4.97 1.03 -2.00 -4.02 -7.30 -3.15 62 -1.38 40 9.72 7.06 4.88 2.60 -5.11 0.20 82 5.60 38 52.44 45.90 42.19 38.44 31.42 43.50 42 43.29 43 22.18 17.99 15.27 12.53 9.58 17.83 26 14.59 58 10.13 4.27 0.65 -2.95 -9.68 4.27 25 -2.92 74 -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% 55% R 1 R 1 R 1 R 1 R 1 R 1 R 1 118 City of Clearwater Employees Pension Fund June 30, 2017 Performance Comparison Total Returns of Small Growth Portfolios High 1st Qt Median 3rd Qt Low R Riverbridge Partners Net Ret Rank 1 R2000G Net Ret Rank Sep 14 Jun 17 Jun 14 Mar 17 Mar 14 Dec 16 Dec 13 Sep 16 Sep 13 Jun 16 12.45 9.78 7.93 5.69 3.55 10.09 24 7.64 52 10.60 8.69 7.19 5.16 3.37 6.20 65 6.72 57 9.28 7.57 6.03 3.21 1.71 3.21 75 5.05 63 10.51 8.53 7.08 5.41 3.99 5.22 77 6.59 57 12.72 9.95 8.48 7.39 5.64 7.04 82 7.74 71 1% 2% 3% 4% 5% 6% 7% 8% 9% 10% 11% 12% 13% R 1 R 1 R 1 R 1 R 1 Riverbridge Partners Value Added Analysis - Net of Fee 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 -12.0% -10.0% -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% -1.4 0.8 -0.9 1.1 0.3 -0.4 -1.4 -4.0 -0.4 0.7 -4.1 -0.8 5.0 -1.7 1.9 3.3 -1.6 -1.8 2.4 4.2 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R2000G 119 City of Clearwater Employees Pension Fund Risk Measure Summary Riverbridge Partners Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 1.16 0.50 1.71 8.79 28.26 28.26 6.42 0.91 1.35 0.57 4.32 30.68 6.30 0.51 0 4 3.57 9.22 24.40 24.40 5.00 4.78 3 9 1.01 0.77 0.50 -8.67 10.78 -7.97 28.26 12.29 0.83 0.88 0.83 0.80 11.91 5.64 0.35 3 9 -13.06 10.06 -11.84 24.40 13.52 0.55 5 15 0.93 0.77 0.45 -8.67 13.10 -7.97 43.50 11.90 0.87 0.46 0.85 1.17 16.05 4.92 -0.01 3 17 -13.06 13.20 -11.84 43.29 12.59 1.10 6 21 0.91 0.64 0.44 -15.89 16.39 -7.97 43.50 14.58 0.80 1.00 0.90 1.05 19.14 5.78 0.18 6 21 -22.26 17.11 -11.84 43.29 17.25 0.79 120 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Small Growth Portfolios 3 Years Ending 6/30/17 Annualized Rate of Return6.0 7.2 8.4 9.6 10.8 12.0 13.2 14.4 15.6 16.8 18.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 R 1MedianRisk Median Return Historical Standard Deviation of Return Annualized Net of Fee Return Standard Deviation Value Rank Value Rank R Riverbridge Partners 1 R2000G Median 10.09 25 12.29 55 7.64 52 13.52 76 7.93 12.23 121 City of Clearwater Employees Pension Fund Equity Summary Statistics Riverbridge Partners Period Ending 6/17 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R2000G 54 26,978,513 2,960,240 2,042,188 0.50 57.53 35.89 1.12 3.98 13.74 6.70 1,171 2,231,130 930,735 0.69 100.79 19.42 1.17 4.10 42.89 8.21 Ten Largest Holdings National Instrs Corp Grand Canyon Ed Inc Pegasystems Inc Chemed Corp New Proto Labs Inc Health Care Group In Athenahealth Inc Ellie Mae Inc Ultimate Software Gr Costar Group Inc Market Value % of Portfolio Quarterly Ret 1,245,694 1,162,036 933,658 816,075 812,716 788,243 765,014 711,447 701,810 694,322 4.62 4.31 3.46 3.03 3.01 2.92 2.84 2.64 2.60 2.57 24.25 9.50 33.14 12.10 31.60 9.12 24.72 9.61 7.61 27.21 Ten Best Performers Freshpet Inc Novadaq Technologies Teladoc Inc Pegasystems Inc Proto Labs Inc Costar Group Inc Athenahealth Inc National Instrs Corp Alarm Com Hldgs Inc Veeva Sys Inc Quarterly Ret 50.91 50.45 38.80 33.14 31.60 27.21 24.72 24.25 22.41 19.56 Ten Worst Performers Cheesecake Factory I Financial Engines In United Nat Foods Inc Digi Intl Inc Ritchie Bros Auction Gentex Corp Diplomat Pharmacy In Wageworks Inc U S Physical Therapy Verint Sys Inc Quarterly Ret -20.29 -15.81 -15.11 -14.71 -12.17 -10.67 -7.21 -7.05 -6.93 -6.17 122 City of Clearwater Employees Pension Fund Equity Contribution to Return Riverbridge Partners Period Ending 6/17 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio Russell 2000 Growth 54 26,978,513 2,960,240 2,042,188 0.50 57.53 35.89 1.12 3.98 13.74 6.70 1,171 2,231,130 930,735 0.69 100.79 19.42 1.17 4.10 42.89 8.21 Ten Best Contributors Pegasystems Inc National Instrs Corp Proto Labs Inc Freshpet Inc Athenahealth Inc Costar Group Inc Novadaq Technologies Teladoc Inc Grand Canyon Ed Inc Alarm Com Hldgs Inc Market Value % of Portfolio Quarterly Ret 933,658 1,245,694 812,716 453,562 765,014 694,322 298,544 308,136 1,162,036 459,538 3.46 4.62 3.01 1.68 2.84 2.57 1.11 1.14 4.31 1.70 33.14 24.25 31.60 50.91 24.72 27.21 50.45 38.80 9.50 22.41 Ten Worst Contributors United Nat Foods Inc Ritchie Bros Auction Financial Engines In Cheesecake Factory I Gentex Corp Digi Intl Inc Wageworks Inc Verint Sys Inc U S Physical Therapy Diplomat Pharmacy In Market Value % of Portfolio Quarterly Ret 531,233 634,321 447,581 323,932 566,824 192,952 367,181 370,167 307,738 138,276 1.97 2.35 1.66 1.20 2.10 0.72 1.36 1.37 1.14 0.51 -15.11 -12.17 -15.81 -20.29 -10.67 -14.71 -7.05 -6.17 -6.93 -7.21 123 City of Clearwater Employees Pension Fund Equity Sector Attribution Analysis Riverbridge Partners Quarter Ending 6/17 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 0.00 0.00 18.13 15.19 4.73 20.14 4.59 37.21 0.00 0.00 100.00 1.26 5.48 15.80 14.79 3.03 21.89 5.68 25.05 0.77 0.82 100.00 6.40 2.21 7.89 12.63 0.16 12.30 9.00 -21.25 1.74 0.62 2.16 -1.22 9.54 -0.92 5.49 26.77 5.38 3.87 0.00 0.00 1.05 0.01 0.43 0.62 0.05 2.53 0.00 0.00 4.69 0.32 0.12 -0.08 -0.01 -0.09 -0.10 0.05 0.20 -0.18 -0.01 0.22 0.32 0.12 0.97 0.00 0.34 0.52 0.10 2.73 -0.18 -0.01 4.92 Index - R2000G Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect 0.43% [ Actual Return 9.43% ] - [ Buy Hold Return 9.00% ] 124 City of Clearwater Employees Pension Fund Equity Sector Attribution Chart Riverbridge Partners Quarter Ending 6/17 % Allocation Energy 0.00 1.26 Materials 0.00 5.48 Industrials 18.13 15.80 Con. Discretionary 15.19 14.79 Consumer Staples 4.73 3.03 Health Care 20.14 21.89 Financials 4.59 5.68 Infomation Tech.37.21 25.05 Telecom. Services 0.00 0.77 Utilities 0.00 0.82 Riverbridge Partners R2000G % Return -21.25 1.74 6.40 0.62 2.21 2.16 7.89 -1.22 12.63 9.54 0.16 -0.92 12.30 5.49 26.77 5.38 % Variance 0.32 0.12 0.97 0.00 0.34 0.52 0.10 2.73 -0.18 -0.01 125 City of Clearwater Employees Pension Fund Atlanta Capital Mgmt as of 6/30/17 Manhattan Assocs Inc Blackbaud Inc Corelogic Inc Aptargroup Inc Choice Hotels Intl I Wex Inc Morningstar Inc Fair Isaac Corp Caseys Gen Stores Exponet Inc GICS Sector % Port Information Technology Information Technology Information Technology Materials Consumer Discretionary Information Technology Financials Information Technology Consumer Staples Industrials 3.83 3.36 3.29 3.08 2.87 2.84 2.74 2.71 2.64 2.47 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 1.18 4.86 25.18 15.28 7.63 7.25 17.61 21.01 0.00 0.00 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 26.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 8/31/03 Atlanta Capital Mgmt Russell 2000 Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 8/31/03 Atlanta Capital Mgmt Russell 2000 Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 3.22 2.46 12,602 26 405 13,033 4.31 4.99 15,409 -2,944 568 13,033 14.15 24.60 17,996 -6,884 1,921 13,033 10.47 7.36 17,266 -8,816 4,583 13,033 15.27 13.94 13,363 -10,818 10,488 13,033 11.83 6.18 18,131 -20,819 15,722 13,033 12.51 9.34 14,990 -20,819 18,863 13,033 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 126 City of Clearwater Employees Pension Fund Atlanta Capital Mgmt as of 6/30/17 Cash & Equiv $518 3.98% Domestic Equity $12,515 96.02% Periods from 8/03 to 6/17 Alpha Beta R-Squared 1.24 0.73 0.90 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 t 1 T Annualized Standard Deviation% t Atlanta Capital Mgmt 1 Russell 2000 T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 12.51 9.34 1.29 15.42 18.42 0.51 0.73 0.44 0.00 0.31 Asset Allocation ($000) Risk/Return Analysis 127 City of Clearwater Employees Pension Fund Small Neutral Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low t Atlanta Capital Mgmt Net Ret Rank 1 Russell 2000 Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 10.54 2.30 1.27 0.08 -1.41 3.22 13 2.46 21 30.94 26.00 23.94 21.48 15.64 14.15 98 24.60 42 13.36 11.87 9.90 8.00 1.96 9.27 55 7.80 83 12.07 9.88 8.08 7.18 1.38 10.47 18 7.36 65 14.92 13.58 12.09 11.41 8.69 13.04 30 11.22 79 18.03 16.34 15.38 13.84 12.40 15.27 56 13.94 74 14.65 12.95 12.15 11.19 9.49 13.18 18 11.22 73 17.94 16.02 15.45 14.80 13.58 17.04 9 13.89 87 19.39 17.48 16.65 15.50 14.75 17.32 27 15.24 84 14.47 12.98 11.44 10.34 9.07 14.05 5 9.82 88 10.35 9.30 8.61 7.91 6.56 11.83 1 6.18 95 -5% 0% 5% 10% 15% 20% 25% 30% 35% t1 t 1 t 1 t 1 t 1 t1 t 1 t 1 t 1 t 1 t 1 128 City of Clearwater Employees Pension Fund Small Neutral Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low t Atlanta Capital Mgmt Net Ret Rank 1 Russell 2000 Net Ret Rank 6/30/17 YTD 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 8.28 5.87 3.14 1.06 -2.31 4.31 35 4.99 34 36.55 28.26 25.79 23.53 16.93 18.02 92 21.31 84 1.60 -1.95 -3.68 -6.58 -16.71 4.97 1 -4.41 60 10.28 8.23 5.42 1.51 -3.67 3.50 69 4.89 60 48.95 42.94 41.34 37.40 32.18 42.43 35 37.88 72 24.20 21.38 17.70 15.00 11.11 12.53 93 18.05 45 3.41 -0.32 -3.11 -5.63 -9.91 10.20 1 -5.50 71 35.59 31.17 29.95 23.59 20.47 25.98 66 24.51 72 48.66 37.58 33.62 27.78 22.82 26.83 76 20.57 95 -22.88 -30.16 -33.71 -36.46 -40.84 -19.52 1 -28.92 12 11.68 2.37 -2.28 -5.44 -10.76 6.91 13 -9.77 88 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% t1 t1 t 1 t1 t 1 t 1 t 1 t1 t 1 t 1 t 1 129 City of Clearwater Employees Pension Fund June 30, 2017 Performance Comparison Total Returns of Small Cap Neutral Portfolios High 1st Qt Median 3rd Qt Low t Atlanta Capital Mgmt Net Ret Rank 1 Russell 2000 Net Ret Rank Sep 14 Jun 17 Jun 14 Mar 17 Mar 14 Dec 16 Dec 13 Sep 16 Sep 13 Jun 16 12.07 9.91 8.18 7.25 5.76 10.47 18 7.36 68 11.93 10.01 8.64 7.62 4.77 9.37 34 7.22 82 12.39 9.66 8.67 7.03 5.46 8.64 53 6.74 84 11.18 9.53 8.05 7.04 5.76 9.89 21 6.71 85 11.57 10.10 8.74 7.82 6.62 12.67 1 7.08 91 4% 5% 6% 7% 8% 9% 10% 11% 12% 13% t 1 t 1 t 1 t 1 t 1 Atlanta Capital Mgmt Value Added Analysis - Net of Fee 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0% 18.0% -1.4 -0.7 0.2 1.2 0.0 1.8 -2.1 -1.8 2.3 0.3 2.3 1.0 5.2 1.1 5.4 0.1 -6.2 -1.7 -1.4 0.7 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. Russell 2000 130 City of Clearwater Employees Pension Fund Risk Measure Summary Atlanta Capital Mgmt Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 0.58 0.25 1.06 7.00 14.15 14.15 5.13 0.47 0.67 0.52 2.66 29.35 6.36 -1.43 0 4 2.46 9.05 24.60 24.60 7.48 3.22 2 10 0.90 0.45 0.75 -7.38 10.08 2.12 18.02 9.82 0.67 1.27 0.78 1.04 15.19 6.29 0.38 3 9 -11.92 9.73 -9.76 26.22 12.99 0.55 3 17 0.91 0.45 0.65 -7.38 11.87 2.12 42.43 9.99 0.78 1.03 0.80 1.51 19.48 5.20 0.17 3 17 -11.92 11.63 -9.76 37.88 11.63 1.18 14 41 0.89 0.57 0.62 -16.60 18.00 -24.55 52.53 14.43 0.73 1.24 0.90 0.80 15.86 6.85 0.31 15 40 -24.89 22.70 -38.89 65.05 18.82 0.44 131 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Small Neutral Portfolios Annualized Rate of Return9.0 9.7 10.4 11.1 11.8 12.5 13.2 13.9 14.6 15.3 16.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 t 1MedianRisk Median Return Historical Standard Deviation of Return 3 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank t Atlanta Capital Mgmt 1 Russell 2000 Median 10.47 18 9.82 1 7.36 65 12.99 64 8.08 12.40 Annualized Rate of Return7.0 7.9 8.8 9.7 10.6 11.5 12.4 13.3 14.2 15.1 16.0 11.0 11.9 12.7 13.6 14.5 15.4 16.3 17.2 18.1 19.0 19.9 t 1MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank t Atlanta Capital Mgmt 1 Russell 2000 Median 15.27 56 9.99 3 13.94 74 11.63 53 15.38 11.48 132 City of Clearwater Employees Pension Fund Equity Summary Statistics Atlanta Capital Mgmt Period Ending 6/17 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio Russell 2000 56 12,515,257 3,275,437 2,898,725 0.93 28.65 28.30 0.97 3.54 47.25 7.49 2,008 2,042,853 792,019 1.29 55.41 18.06 1.13 2.14 49.24 4.87 Ten Largest Holdings Manhattan Assocs Inc Blackbaud Inc Corelogic Inc Aptargroup Inc Choice Hotels Intl I Wex Inc Morningstar Inc Fair Isaac Corp Caseys Gen Stores Exponet Inc Market Value % of Portfolio Quarterly Ret 479,399 420,604 411,242 384,790 359,158 355,561 342,424 338,487 329,577 308,349 3.83 3.36 3.29 3.08 2.87 2.84 2.74 2.71 2.64 2.47 -7.67 12.01 6.53 13.27 2.98 0.74 -0.03 8.11 -4.38 -1.76 Ten Best Performers Integra Lifesciences Universal Health Rlt National Instrs Corp Knight Transn Inc Graco Inc Bio Techne Corp Raven Inds Inc Artisan Partners Ass Bio Rad Labs Inc Aptargroup Inc Quarterly Ret 29.39 24.38 24.25 18.39 16.53 15.93 15.15 13.62 13.53 13.27 Ten Worst Performers Hibbett Sports Inc Monro Muffler Brake Dril-Quip Inc RLI Corp Manhattan Assocs Inc Prosperity Bancshare Balchem Corp Pinnacle Finl Partne Kirby Expl Co. Lancaster Colony Cor Quarterly Ret -29.66 -19.57 -10.54 -8.65 -7.67 -7.38 -5.71 -5.29 -5.24 -4.41 133 City of Clearwater Employees Pension Fund Equity Contribution to Return Atlanta Capital Mgmt Period Ending 6/17 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio Russell 2000 56 12,515,257 3,275,437 2,898,725 0.93 28.65 28.30 0.97 3.54 47.25 7.49 2,008 2,042,853 792,019 1.29 55.41 18.06 1.13 2.14 49.24 4.87 Ten Best Contributors Integra Lifesciences Knight Transn Inc Aptargroup Inc Blackbaud Inc Bio Techne Corp National Instrs Corp Universal Health Rlt Graco Inc Forward Air Corp Bio Rad Labs Inc Market Value % of Portfolio Quarterly Ret 235,265 298,697 384,790 420,604 307,028 193,498 159,955 189,382 249,670 227,215 1.88 2.39 3.08 3.36 2.45 1.55 1.28 1.51 2.00 1.82 29.39 18.39 13.27 12.01 15.93 24.25 24.38 16.53 12.34 13.53 Ten Worst Contributors Manhattan Assocs Inc Monro Muffler Brake Hibbett Sports Inc Dril-Quip Inc Prosperity Bancshare Kirby Expl Co. Caseys Gen Stores RLI Corp Pinnacle Finl Partne Balchem Corp Market Value % of Portfolio Quarterly Ret 479,399 154,893 69,056 146,986 206,403 286,519 329,577 143,378 185,009 118,741 3.83 1.24 0.55 1.18 1.65 2.29 2.64 1.15 1.48 0.95 -7.67 -19.57 -29.66 -10.54 -7.38 -5.24 -4.38 -8.65 -5.29 -5.71 134 City of Clearwater Employees Pension Fund Equity Sector Attribution Analysis Atlanta Capital Mgmt Quarter Ending 6/17 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 1.36 4.64 24.60 15.81 7.65 8.12 17.66 20.16 0.00 0.00 100.00 3.45 5.15 14.26 12.21 2.90 13.05 19.33 17.49 0.69 3.64 100.00 -10.54 8.60 5.63 -2.20 -2.72 15.02 1.71 4.64 3.54 -19.57 0.02 2.29 2.69 -4.19 8.87 0.84 3.81 15.52 2.84 2.06 0.12 0.40 0.82 -0.77 0.11 0.50 0.15 0.17 0.00 0.00 1.50 0.45 0.01 0.02 0.02 -0.30 -0.34 0.02 0.05 -0.09 -0.03 -0.18 0.57 0.41 0.85 -0.75 -0.18 0.16 0.17 0.21 -0.09 -0.03 1.32 Index - Russell 2000 Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect 0.02% [ Actual Return 3.56% ] - [ Buy Hold Return 3.54% ] 135 City of Clearwater Employees Pension Fund Equity Sector Attribution Chart Atlanta Capital Mgmt Quarter Ending 6/17 % Allocation Energy 1.36 3.45 Materials 4.64 5.15 Industrials 24.60 14.26 Con. Discretionary 15.81 12.21 Consumer Staples 7.65 2.90 Health Care 8.12 13.05 Financials 17.66 19.33 Infomation Tech.20.16 17.49 Telecom. Services 0.00 0.69 Utilities 0.00 3.64 Atlanta Capital Mgmt Russell 2000 % Return -10.54 -19.57 8.60 0.02 5.63 2.29 -2.20 2.69 -2.72 -4.19 15.02 8.87 1.71 0.84 4.64 3.81 15.52 2.84 % Variance 0.57 0.41 0.85 -0.75 -0.18 0.16 0.17 0.21 -0.09 -0.03 136 City of Clearwater Employees Pension Fund Systematic Financial Mgt as of 6/30/17 First Merchants Corp United Cmnty Bks Bla Kbr Inc Iberiabank Corp Carolina Finl Corp N Adtalem Global Ed In Cathay Bancorp Inc Hancock Hldg Co Skywest Inc Tivity Health Inc GICS Sector % Port Financials Financials Industrials Financials Financials Consumer Discretionary Financials Financials Industrials Health Care 3.28 2.13 2.00 1.83 1.74 1.65 1.61 1.44 1.43 1.40 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 6.22 6.78 15.84 9.02 3.32 7.90 34.45 14.45 0.00 2.01 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 8/31/03 Systematic Financial Mgt R2000V Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 8/31/03 Systematic Financial Mgt R2000V Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value -0.88 0.67 12,422 31 -109 12,344 -2.56 0.54 12,605 62 -323 12,344 22.85 24.86 13,850 -3,879 2,373 12,344 3.21 7.02 18,589 -6,811 566 12,344 12.22 13.38 11,484 -6,812 7,672 12,344 5.70 5.92 19,609 -12,813 5,548 12,344 8.66 9.14 15,001 -12,813 10,156 12,344 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 137 City of Clearwater Employees Pension Fund Systematic Financial Mgt as of 6/30/17 Cash & Equiv $147 1.19% Domestic Equity $12,197 98.81% Periods from 8/03 to 6/17 Alpha Beta R-Squared -0.07 1.05 0.86 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 s1 T Annualized Standard Deviation% s Systematic Financial Mgt 1 R2000V T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 8.66 9.14 1.29 20.10 18.39 0.51 0.37 0.43 0.00 -0.02 Asset Allocation ($000) Risk/Return Analysis 138 City of Clearwater Employees Pension Fund Small Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low s Systematic Financial Mgt Net Ret Rank 1 R2000V Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 1.57 0.45 0.06 -0.87 -1.59 -0.88 81 0.67 15 28.05 24.09 20.27 19.56 15.69 22.85 37 24.86 21 11.97 11.06 9.49 7.92 7.19 6.55 99 10.29 37 10.15 8.66 8.23 7.53 4.72 3.21 99 7.02 78 14.35 13.15 11.57 11.25 9.50 8.31 99 10.71 79 17.07 15.51 14.39 13.97 12.28 12.22 95 13.38 87 14.26 12.45 12.00 10.65 8.66 9.76 89 10.77 70 17.32 15.65 15.00 14.15 11.84 13.48 78 13.50 78 18.21 16.64 16.03 14.26 13.40 15.51 59 14.88 69 12.22 11.86 11.71 10.46 8.55 8.74 95 9.53 93 5.70 5.92 -5% 0% 5% 10% 15% 20% 25% 30% s 1 s 1 s 1 s 1 s 1 s1 s1 s1 s1 s1 s1 139 City of Clearwater Employees Pension Fund Small Value Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low s Systematic Financial Mgt Net Ret Rank 1 R2000V Net Ret Rank 6/30/17 YTD 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2.79 2.00 0.68 -1.65 -2.13 -2.56 99 0.54 53 35.83 30.74 27.62 22.14 19.10 28.72 35 31.74 15 0.87 -0.84 -5.13 -11.27 -13.26 -6.39 55 -7.47 59 14.05 9.12 7.44 3.10 0.79 -2.60 99 4.22 67 42.46 40.06 36.97 33.89 28.54 40.72 17 34.50 63 21.66 18.70 16.63 15.32 11.80 23.50 1 18.05 41 2.62 0.57 -1.26 -8.12 -11.18 -9.91 85 -5.50 65 31.41 27.09 25.13 21.15 19.55 35.50 1 24.51 56 55.19 32.60 27.12 24.72 19.53 35.72 15 20.57 92 -22.78 -25.28 -29.56 -31.45 -35.88 -40.71 100 -28.92 48 6.56 3.88 0.40 -7.08 -12.50 0.49 50 -9.77 81 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% s1 s1 s1 s 1 s 1 s 1 s 1 s 1 s 1 s 1 s 1 140 City of Clearwater Employees Pension Fund June 30, 2017 Performance Comparison Total Returns of Small Value Portfolios High 1st Qt Median 3rd Qt Low s Systematic Financial Mgt Net Ret Rank 1 R2000V Net Ret Rank Sep 14 Jun 17 Jun 14 Mar 17 Mar 14 Dec 16 Dec 13 Sep 16 Sep 13 Jun 16 10.15 8.66 8.24 7.68 5.95 3.21 100 7.02 85 11.19 9.95 9.13 8.55 6.50 3.40 100 7.62 81 12.62 10.39 10.05 8.15 5.93 5.48 96 8.31 72 11.97 10.11 9.02 7.12 5.69 4.09 100 6.77 78 12.61 10.78 9.71 7.18 6.01 3.86 100 6.35 85 3% 4% 5% 6% 7% 8% 9% 10% 11% 12% 13% s 1 s 1 s 1 s 1 s 1 Systematic Financial Mgt Value Added Analysis - Net of Fee 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 1.4 0.0 -0.3 2.5 1.1 1.2 2.5 -2.6 -2.4 -4.1 2.6 0.1 -0.1 -1.3 -0.2 -3.5 0.6 0.9 -1.6 -1.5 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R2000V 141 City of Clearwater Employees Pension Fund Risk Measure Summary Systematic Financial Mgt Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 2 2 1.00 13.04 0.50 -1.69 15.14 22.85 22.85 16.38 1.15 -1.22 0.99 1.36 19.43 2.80 -0.51 1 3 -0.13 14.07 24.86 24.86 13.63 1.79 5 7 0.82 1.16 0.33 -10.84 15.14 -9.20 28.72 14.71 1.00 -0.90 0.92 0.20 2.96 4.00 -0.90 4 8 -10.73 14.07 -7.72 31.74 14.07 0.48 6 14 0.99 1.16 0.50 -10.84 15.14 -9.20 40.72 13.27 1.04 -0.37 0.91 0.91 11.58 4.06 -0.25 4 16 -10.73 14.07 -7.72 34.50 12.14 1.09 20 35 1.00 1.03 0.53 -27.29 25.37 -40.88 74.73 21.42 1.05 -0.07 0.86 0.36 7.32 7.99 -0.02 16 39 -24.89 22.70 -38.89 65.05 18.92 0.42 142 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Small Value Portfolios Annualized Rate of Return9.5 10.2 10.9 11.6 12.3 13.0 13.7 14.4 15.1 15.8 16.5 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 s 1MedianRisk Median Return Historical Standard Deviation of Return 3 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank s Systematic Financial Mgt 1 R2000V Median 3.21 99 14.71 96 7.02 78 14.07 92 8.23 12.95 Annualized Rate of Return9.0 9.5 10.0 10.5 11.0 11.5 12.0 12.5 13.0 13.5 14.0 10.0 10.9 11.7 12.6 13.5 14.4 15.3 16.2 17.1 18.0 18.9 s 1MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank s Systematic Financial Mgt 1 R2000V Median 12.22 95 13.27 100 13.38 87 12.14 84 14.39 11.60 143 City of Clearwater Employees Pension Fund Equity Summary Statistics Systematic Financial Mgt Period Ending 6/17 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R2000V 124 12,196,568 2,021,392 1,555,717 1.12 39.82 18.82 1.20 1.44 49.57 0.02 1,397 1,849,571 680,261 1.90 37.73 17.73 1.08 1.44 55.25 1.58 Ten Largest Holdings First Merchants Corp United Cmnty Bks Bla Kbr Inc Iberiabank Corp Carolina Finl Corp N Adtalem Global Ed In Cathay Bancorp Inc Hancock Hldg Co Skywest Inc Tivity Health Inc Market Value % of Portfolio Quarterly Ret 399,594 258,957 244,129 223,310 211,534 201,325 196,202 175,175 173,921 170,957 3.28 2.13 2.00 1.83 1.74 1.65 1.61 1.44 1.43 1.40 2.55 0.72 1.81 3.50 7.86 7.05 1.31 8.12 2.72 36.94 Ten Best Performers At Home Group Inc Molina Healthcare In Lantheus Hldgs Inc Tivity Health Inc Bankrate Inc Del Triton Intl Ltd Hudson Technologies Craft Brewers Allian Lhc Group Inc Cutera Inc Quarterly Ret 53.63 51.71 41.20 36.94 33.16 31.77 28.03 26.22 25.96 25.12 Ten Worst Performers Aegean Marine Petrol Carbo Ceramics Inc Fairmount Santrol Hl Whiting Pete Corp Ne Jones Energy Inc Independence Contrac Laredo Pete Hldgs In Wpx Energy Inc Precision Drilling C Resolute Energy Corp Quarterly Ret -51.29 -47.47 -46.79 -41.75 -37.25 -29.40 -27.95 -27.86 -27.75 -26.31 144 City of Clearwater Employees Pension Fund Equity Contribution to Return Systematic Financial Mgt Period Ending 6/17 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R2000V 124 12,196,568 2,021,392 1,555,717 1.12 39.82 18.82 1.20 1.44 49.57 0.02 1,397 1,849,571 680,261 1.90 37.73 17.73 1.08 1.44 55.25 1.58 Ten Best Contributors At Home Group Inc Tivity Health Inc Molina Healthcare In Hudson Technologies Lantheus Hldgs Inc Bankrate Inc Del Nova Measuring Instr Nomad Hldgs Ltd Coresite Rlty Corp Dupont Fabros Techno Market Value % of Portfolio Quarterly Ret 120,759 170,957 90,626 130,595 85,514 96,889 154,851 107,377 145,460 90,211 0.99 1.40 0.74 1.07 0.70 0.80 1.27 0.88 1.19 0.74 53.63 36.94 51.71 28.03 41.20 33.16 18.83 23.23 15.95 24.34 Ten Worst Contributors Precision Drilling C Aegean Marine Petrol Central Garden & Pet Jones Energy Inc Timkensteel Corp Wpx Energy Inc Fairmount Santrol Hl Whiting Pete Corp Ne Childrens Pl Retail Ak Stl Hldg Corp Market Value % of Portfolio Quarterly Ret 136,281 57,242 141,995 50,386 98,983 65,447 38,513 40,251 102,100 168,192 1.12 0.47 1.17 0.41 0.81 0.54 0.32 0.33 0.84 1.38 -27.75 -51.29 -13.54 -37.25 -18.72 -27.86 -46.79 -41.75 -14.33 -8.62 145 City of Clearwater Employees Pension Fund Equity Sector Attribution Analysis Systematic Financial Mgt Quarter Ending 6/17 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 8.12 8.02 15.99 9.04 2.21 5.78 33.55 15.59 0.00 1.70 100.00 5.51 4.83 12.80 9.78 2.78 4.71 32.19 10.37 0.62 6.31 100.00 -33.36 -3.05 1.07 2.99 3.52 15.67 0.55 5.56 -2.94 -0.53 -19.20 -1.86 4.26 3.43 -7.26 5.97 1.13 -0.15 2.28 2.53 0.34 -1.15 -0.10 -0.51 -0.04 0.24 0.56 -0.19 0.89 0.00 -0.09 -0.39 -0.51 -0.07 0.13 -0.02 0.04 0.06 0.01 -0.03 -0.01 -0.10 -0.50 -1.66 -0.17 -0.38 -0.06 0.28 0.62 -0.18 0.86 -0.01 -0.19 -0.90 Index - R2000V Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect -0.13% [ Actual Return -0.65% ] - [ Buy Hold Return -0.53% ] 146 City of Clearwater Employees Pension Fund Equity Sector Attribution Chart Systematic Financial Mgt Quarter Ending 6/17 % Allocation Energy 8.12 5.51 Materials 8.02 4.83 Industrials 15.99 12.80 Con. Discretionary 9.04 9.78 Consumer Staples 2.21 2.78 Health Care 5.78 4.71 Financials 33.55 32.19 Infomation Tech.15.59 10.37 Telecom. Services 0.00 0.62 Utilities 1.70 6.31 Systematic Financial Mgt R2000V % Return -33.36 -19.20 -3.05 -1.86 1.07 4.26 2.99 3.43 3.52 -7.26 15.67 5.97 0.55 1.13 5.56 -0.15 2.28 -2.94 2.53 % Variance -1.66 -0.17 -0.38 -0.06 0.28 0.62 -0.18 0.86 -0.01 -0.19 147 148 City of Clearwater Employees Pension Fund International EQ Comp as of 6/30/17 Csl Ltd Reckitt Benckiser Pl Chubb Limited Tencent Hldgs Ltd Nestle S A Experian Plc Compass Group Plc Taiwan Semiconductor Canadian Pac Railway Accenture Plc Irelan GICS Sector % Port Health Care Consumer Staples Financials Information Technology Consumer Staples Industrials Consumer Discretionary Information Technology Industrials Information Technology 2.57 2.41 2.39 2.27 2.23 2.22 2.04 2.03 2.03 1.90 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 2.82 6.48 17.28 16.57 10.99 12.34 17.46 11.34 2.54 2.20 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 5/31/01 International EQ Comp MSCI ACWI ex US (Net) Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 5/31/01 International EQ Comp MSCI ACWI ex US (Net) Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 6.86 5.78 177,667 304 12,189 190,161 16.60 14.10 165,383 -2,476 27,254 190,161 18.40 20.45 111,385 49,936 28,839 190,161 -1.43 1.21 127,635 57,800 4,726 190,161 5.11 8.91 95,335 57,739 37,086 190,161 0.83 1.38 75,007 48,050 67,104 190,161 4.79 5.33 20,000 48,050 122,111 190,161 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 149 City of Clearwater Employees Pension Fund International EQ Comp as of 6/30/17 Cash & Equiv $8,227 4.33% Intl Equity $181,934 95.67% Periods from 5/01 to 6/17 Alpha Beta R-Squared -0.13 1.03 0.94 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 I 1 T Annualized Standard Deviation% I International EQ Comp 1 MSCI ACWI ex US (N T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 4.79 5.33 1.39 17.33 16.91 0.50 0.20 0.23 0.00 -0.10 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 150 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of International Equity Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low I International EQ Comp Net Ret Rank 1 MSCI ACWI ex US (Net) Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 9.68 7.45 6.25 4.79 1.00 6.86 35 5.78 62 30.37 24.18 20.52 17.09 8.70 18.40 67 20.45 51 11.07 7.69 5.33 3.98 1.30 3.53 78 3.98 75 9.02 5.17 3.09 1.37 -0.79 -1.43 96 1.21 77 12.84 9.70 7.56 6.09 3.86 3.70 95 6.50 66 15.22 11.77 9.58 7.59 4.25 5.11 90 8.91 62 11.93 8.08 5.82 4.22 0.84 1.62 92 4.84 69 14.54 11.26 9.00 7.52 4.31 5.46 90 8.22 68 15.33 11.45 9.53 8.07 6.14 6.78 91 7.98 78 10.00 6.53 4.47 3.16 1.60 1.84 93 2.75 81 7.61 5.11 3.40 1.97 0.41 0.83 93 1.38 87 -5% 0% 5% 10% 15% 20% 25% 30% 35% I1 I 1 I1 I 1 I 1 I 1 I 1 I 1 I1 I1 I1 151 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of International Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low I International EQ Comp Net Ret Rank 1 MSCI ACWI ex US (Net) Net Ret Rank 6/30/17 YTD 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 22.08 17.78 14.72 12.56 5.74 16.60 32 14.10 61 17.09 8.22 4.27 0.69 -4.27 2.78 58 4.50 48 10.68 2.29 -1.36 -6.23 -16.58 -9.91 82 -4.29 66 10.58 1.55 -2.50 -4.91 -9.32 -5.56 79 -4.48 70 34.07 25.99 19.74 12.10 -5.02 10.23 76 23.29 34 26.62 21.19 18.55 15.66 6.76 17.61 59 17.90 55 0.67 -8.68 -12.40 -15.59 -22.18 -15.04 71 -11.73 43 26.86 18.67 13.24 9.00 3.29 18.37 25 8.21 78 78.78 45.72 35.69 27.64 12.41 57.93 14 32.46 60 -24.03 -39.35 -43.25 -47.83 -56.00 -47.94 75 -43.06 47 41.45 18.96 12.51 8.17 0.32 11.02 60 11.63 54 -60% -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% I1 I1 I 1 I1 I 1 I1 I1 I 1 I 1 I1 I1 152 City of Clearwater Employees Pension Fund Risk Measure Summary International EQ Comp Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 1 3 1.05 3.09 0.50 -3.88 9.11 18.40 18.40 11.45 1.22 -1.43 0.94 1.56 14.68 3.76 -0.43 1 3 -1.25 7.86 20.45 20.45 8.28 2.41 5 7 0.83 1.13 0.42 -12.78 9.11 -18.63 18.40 12.37 1.00 -0.64 0.88 -0.13 -1.66 4.20 -0.62 6 6 -12.17 7.86 -10.57 20.45 11.64 0.08 6 14 0.84 1.27 0.40 -12.78 9.11 -18.63 20.73 11.43 0.96 -0.81 0.87 0.43 5.12 4.09 -0.88 7 13 -12.17 11.61 -10.57 24.29 11.02 0.79 22 42 0.99 1.03 0.47 -26.42 31.05 -47.94 71.81 20.28 1.03 -0.12 0.94 0.18 3.55 4.82 -0.10 23 41 -20.50 25.85 -46.20 58.14 19.23 0.22 153 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of International Equity Portfolios Annualized Rate of Return4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 I 1Median RiskMedian Return Historical Standard Deviation of Return 3 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank I International EQ Comp 1 MSCI ACWI ex US (Net) Median -1.43 96 12.37 64 1.21 77 11.64 53 3.09 11.58 Annualized Rate of Return5.0 6.2 7.4 8.6 9.8 11.0 12.2 13.4 14.6 15.8 17.0 0.0 1.8 3.6 5.3 7.2 9.0 10.8 12.6 14.4 16.2 18.0 I 1Median RiskMedian Return Historical Standard Deviation of Return 5 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank I International EQ Comp 1 MSCI ACWI ex US (Net) Median 5.11 90 11.43 60 8.91 62 11.02 54 9.58 10.87 154 City of Clearwater Employees Pension Fund WCM Investment Management as of 6/30/17 Csl Ltd Reckitt Benckiser Pl Chubb Limited Tencent Hldgs Ltd Nestle S A Experian Plc Compass Group Plc Taiwan Semiconductor Canadian Pac Railway Accenture Plc Irelan GICS Sector % Port Health Care Consumer Staples Financials Information Technology Consumer Staples Industrials Consumer Discretionary Information Technology Industrials Information Technology 5.14 4.84 4.79 4.56 4.48 4.46 4.08 4.07 4.06 3.82 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 2.68 5.54 18.49 19.31 11.95 14.80 12.20 15.03 0.00 0.00 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 7/31/15 WCM Investment Management MSCI ACWI ex US (Net) Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 7/31/15 WCM Investment Management MSCI ACWI ex US (Net) Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 9.34 5.78 70,066 113 6,542 76,721 21.50 14.10 65,638 -2,756 13,838 76,721 17.14 20.45 39,429 26,436 10,855 76,721 8.80 4.31 16,316 48,564 11,841 76,721 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 155 City of Clearwater Employees Pension Fund WCM Investment Management as of 6/30/17 Cash & Equiv $4,084 5.32% Intl Equity $72,637 94.68% Periods from 6/15 to 6/17 Alpha Beta R-Squared N/A N/A N/A Annualized Return% -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 w 1 T Annualized Standard Deviation% w WCM Investment Managemen 1 MSCI ACWI ex US (N T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 8.80 4.31 0.36 12.69 13.65 0.08 0.67 0.29 0.00 0.57 Asset Allocation ($000) Risk/Return Analysis (Number of returns < 12) 156 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of International Equity Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low w WCM Investment Management Net Ret Rank 1 MSCI ACWI ex US (Net) Net Ret Rank Last Qtr Last Year Last 2 Years 9.68 7.45 6.25 4.79 1.00 9.34 6 5.78 62 30.37 24.18 20.52 17.09 8.70 17.14 74 20.45 51 11.07 7.69 5.33 3.98 1.30 8.42 19 3.98 75 0% 5% 10% 15% 20% 25% 30% 35% w 1 w 1 w 1 157 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of International Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low w WCM Investment Management Net Ret Rank 1 MSCI ACWI ex US (Net) Net Ret Rank 6/30/17 YTD 2016 22.08 17.78 14.72 12.56 5.74 21.50 6 14.10 61 17.09 8.22 4.27 0.69 -4.27 -1.00 84 4.50 48 -6% -4% -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% 24% w 1 w 1 158 City of Clearwater Employees Pension Fund Global Equity Summary Statistics WCM Investment Management Period Ending 6/17 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Five Year Dividend Growth Portfolio MSCI ACWI ex US (Net) 30 72,637,322 71,387,856 33,214,083 1.24 36.37 31.49 0.00 5.15 48.50 9.61 9.11 1,864 57,402,630 7,563,406 2.94 19.93 17.99 1.00 1.68 78.05 8.83 9.29 Ten Largest Holdings Csl Ltd Reckitt Benckiser Pl Chubb Limited Tencent Hldgs Ltd Nestle S A Experian Plc Compass Group Plc Taiwan Semiconductor Canadian Pac Railway Accenture Plc Irelan Market Value % of Portfolio Quarterly Ret 3,720,702 3,498,818 3,465,714 3,294,907 3,237,126 3,225,362 2,953,542 2,945,520 2,938,803 2,760,290 5.14 4.84 4.79 4.56 4.48 4.46 4.08 4.07 4.06 3.82 10.88 12.57 7.22 24.86 16.33 2.06 11.84 9.19 9.73 4.25 Ten Best Performers Tencent Hldgs Ltd Icon Plc Yandex N V Dsv As Aia Group Ltd Nestle S A Hdfc Bank Ltd Lvmh Moet Hennessy L Sgs Societe Gen De S Chr Hansen Hldg A/S Quarterly Ret 24.86 22.67 19.65 18.35 16.98 16.33 16.28 15.33 13.84 13.22 Ten Worst Performers Core Laboratories N Sysmex Corp Adidas Salomon Ag Wal Mart De Mexico S Experian Plc Accenture Plc Irelan Hermes Intl Sca Essilor Intl S A Luxottica Group S P Chubb Limited Quarterly Ret -11.91 -1.79 1.63 2.05 2.06 4.25 4.83 5.80 7.14 7.22 159 City of Clearwater Employees Pension Fund Global Performance Attribution Analysis WCM Investment Management Quarter Ending 6/17 Countries/ Currencies Benchmark Active Weight Currency Weight Local Return US $ Return Portfolio Active Weight Currency Weight Local Return US $ Return Return Attribution Market Select Currency Select Security Select Total Australia Austria Belgium Bermuda Brazil Bulgaria Canada Cayman Islands Channel Islands Chile China Colombia Czech Republic Denmark Egypt Finland France Germany Greece Hong Kong Hungary India Indonesia Ireland Isle of Man Israel Italy Japan Jordan Luxembourg 5.50 0.14 0.81 0.10 1.79 0.05 6.83 0.67 0.26 0.29 4.49 0.10 0.04 1.14 0.03 0.67 6.66 6.62 0.08 2.68 0.07 2.08 0.59 0.36 0.04 0.41 1.37 16.32 0.02 0.13 5.50 0.14 0.81 0.10 1.79 0.05 6.83 0.67 0.26 0.29 4.49 0.10 0.04 1.14 0.03 0.67 6.66 6.62 0.08 2.68 0.07 2.08 0.59 0.36 0.04 0.41 1.37 16.32 0.02 0.13 -2.01 14.63 -1.03 5.20 -2.56 8.75 -1.65 10.87 -7.43 -1.09 8.13 7.72 0.47 8.10 4.33 7.15 3.20 0.12 25.74 7.72 12.21 2.60 8.87 -2.31 17.15 6.11 2.81 6.03 -25.11 0.40 -1.25 22.24 5.54 1.32 -6.63 15.97 1.00 10.39 -3.84 -1.48 7.88 2.04 10.87 15.29 3.93 14.26 10.05 6.75 34.08 7.10 19.55 3.07 8.86 3.91 13.86 7.34 9.63 5.15 -22.20 1.08 5.23 0.00 0.00 0.00 3.04 0.00 3.99 7.23 4.76 0.00 0.00 0.00 0.00 9.09 0.00 0.00 8.41 2.47 0.00 2.49 0.00 3.39 0.00 6.17 0.00 0.00 2.09 1.60 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 10.88 -3.83 9.73 17.90 2.06 12.55 9.16 1.63 16.98 16.28 10.78 7.14 -1.79 10.88 -3.83 9.73 17.90 2.06 12.55 9.16 1.63 16.98 16.28 10.78 7.14 -1.79 0.02 -0.02 0.04 -0.00 -0.08 -0.00 0.15 0.48 -0.50 0.01 -0.20 -0.00 0.00 0.36 -0.00 -0.02 -0.01 0.14 -0.02 -0.01 -0.01 -0.01 -0.03 -0.34 -0.01 -0.01 -0.01 -0.36 0.01 0.00 0.09 -0.01 -0.03 0.01 0.12 -0.00 -0.02 0.02 -0.00 0.01 0.12 0.01 -0.00 -0.05 0.00 -0.03 -0.30 -0.28 -0.00 0.08 -0.00 0.04 0.01 -0.01 0.00 0.00 -0.06 0.54 -0.00 0.00 0.67 -0.04 0.45 0.51 0.45 0.41 0.50 0.04 0.23 0.46 0.81 0.09 -0.13 0.78 -0.02 0.00 0.00 0.00 -0.00 0.59 1.00 -0.05 0.02 -0.08 0.00 -0.00 0.71 0.00 -0.06 0.20 -0.10 -0.02 0.30 -0.01 0.49 -0.02 0.45 -0.00 -0.01 0.02 0.05 0.01 0.01 Benchmark : MSCI ACWI ex US (Net) 160 City of Clearwater Employees Pension Fund Global Performance Attribution Analysis WCM Investment Management Quarter Ending 6/17 Countries/ Currencies Benchmark Active Weight Currency Weight Local Return US $ Return Portfolio Active Weight Currency Weight Local Return US $ Return Return Attribution Market Select Currency Select Security Select Total Malaysia Mexico Netherlands New Zealand Norway Papua-New Guinea Peru Philippines Poland Portugal Qatar Russia Scotland Singapore South Africa South Korea Spain Sweden Switzerland Taiwan Thailand Turkey United Arab Emirates United Kingdom United States Zambia 0.57 0.89 2.75 0.12 0.44 0.04 0.07 0.27 0.28 0.11 0.19 0.85 0.03 0.95 1.71 3.54 2.35 1.99 6.11 2.88 0.53 0.24 0.18 11.65 0.89 0.04 100.00 0.57 0.89 2.75 0.12 0.44 0.04 0.07 0.27 0.28 0.11 0.19 0.85 0.03 0.95 1.71 3.54 2.35 1.99 6.11 2.88 0.53 0.24 0.18 11.65 0.89 0.04 100.00 1.97 3.15 1.88 3.18 2.29 -5.54 9.72 7.96 6.72 -2.38 -10.39 -4.40 -8.36 3.32 1.09 12.71 1.24 3.29 4.73 9.36 1.41 16.58 1.51 1.27 26.64 -22.34 3.59 5.12 7.16 8.14 8.08 4.89 -5.02 9.72 7.35 14.02 4.10 -10.86 -10.14 -4.80 4.65 2.62 10.17 7.96 9.33 9.47 9.08 2.59 20.52 1.17 5.21 26.64 -20.25 6.01 0.00 2.81 5.61 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 12.03 4.11 0.00 0.00 0.00 8.77 6.69 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 100.00 2.05 1.15 12.06 9.19 12.23 8.21 9.52 2.05 1.15 12.06 9.19 12.23 8.21 9.52 0.01 -0.01 -0.05 0.00 0.01 0.00 -0.00 -0.01 -0.01 0.01 0.03 0.07 0.00 0.00 0.04 -0.32 0.06 0.01 0.07 0.07 0.01 -0.03 0.00 0.07 1.34 0.01 0.94 -0.00 -0.01 -0.11 -0.00 -0.00 0.00 0.00 0.01 -0.01 -0.00 0.01 0.07 -0.00 0.01 0.02 0.18 -0.10 -0.07 -0.14 0.08 0.01 -0.00 0.00 -0.18 -2.39 0.00 -2.42 -0.03 -0.04 0.88 -0.01 0.96 -1.23 4.99 0.01 -0.05 -0.20 -0.00 0.00 0.00 -0.00 -0.00 -0.02 0.00 0.03 0.14 0.00 0.01 0.06 -0.15 -0.05 -0.07 0.81 0.14 0.02 -0.03 0.01 0.85 -2.29 0.01 3.51 Benchmark : MSCI ACWI ex US (Net) Market Selection [Portfolio Active Weight - Benchmark Active Weight] x [Benchmark Local Return - Benchmark Total Local Return] Currency Selection [Portfolio Currency Weight - Benchmark Currency Weight] x [ (Benchmark US$ Return - Benchmark Local Return) - (Benchmark Total US$ Return - Benchmark Total Local Return) ] Security Selection [Portfolio Active Weight] x [Portfolio Local Return - Benchmark Local Return] 161 City of Clearwater Employees Pension Fund International Equity Sector Attribution Analysis WCM Investment Management Quarter Ending 6/17 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 3.29 5.33 14.96 19.29 14.78 14.77 13.22 14.35 0.00 0.00 100.00 6.80 8.02 11.88 11.33 9.87 8.05 23.33 9.92 4.52 3.17 100.00 -11.91 11.83 9.98 9.17 8.27 9.81 10.33 13.81 9.52 -2.60 1.88 7.03 5.86 7.36 7.23 5.98 13.06 4.22 5.37 5.83 -0.31 0.53 0.44 0.64 0.13 0.38 0.58 0.11 0.00 0.00 2.50 0.30 0.11 0.04 0.00 0.08 0.09 -0.01 0.32 0.07 0.01 1.00 -0.01 0.64 0.48 0.64 0.21 0.47 0.56 0.43 0.07 0.01 3.50 Index - MSCI ACWI ex US (Net) Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect 0.34% [ Actual Return 9.86% ] - [ Buy Hold Return 9.52% ] 162 City of Clearwater Employees Pension Fund Thompson, Siegel & Walmsley as of 6/30/17 Nestle Sa Novartis Ag Koninklijke Philips Sanofi Siemens Ag Hitachi Orix Corporation Veolia Environnement Heineken Holding Eni Spa GICS Sector % Port Consumer Staples Health Care Industrials Health Care Industrials Information Technology Financials Utilities Consumer Staples Energy 2.41 2.27 2.02 1.89 1.87 1.84 1.80 1.80 1.79 1.77 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 2.95 7.41 16.07 13.84 10.03 9.88 22.70 7.67 5.07 4.39 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 7/31/15 Thompson, Siegel & Walmsley MSCI EAFE (Net) Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 7/31/15 Thompson, Siegel & Walmsley MSCI EAFE (Net) Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 5.92 6.12 72,500 196 4,297 76,993 13.17 13.81 67,730 331 8,932 76,993 20.32 20.26 35,134 29,550 12,309 76,993 2.80 3.01 16,165 51,711 9,117 76,993 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 163 City of Clearwater Employees Pension Fund Thompson, Siegel & Walmsley as of 6/30/17 Cash & Equiv $4,143 5.38% Intl Equity $72,850 94.62% Periods from 6/15 to 6/17 Alpha Beta R-Squared N/A N/A N/A Annualized Return% -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 t1 T Annualized Standard Deviation% t Thompson, Siegel & Walms 1 MSCI EAFE (Net) T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 2.80 3.01 0.36 13.74 13.74 0.08 0.18 0.19 0.00 -0.59 Asset Allocation ($000) Risk/Return Analysis (Number of returns < 12) 164 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of International Equity Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low t Thompson, Siegel & Walmsley Net Ret Rank 1 MSCI EAFE (Net) Net Ret Rank Last Qtr Last Year Last 2 Years 9.68 7.45 6.25 4.79 1.00 5.92 57 6.12 52 30.37 24.18 20.52 17.09 8.70 20.32 52 20.26 52 11.07 7.69 5.33 3.98 1.30 2.68 87 3.94 75 0% 5% 10% 15% 20% 25% 30% 35% t 1 t 1 t 1 165 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of International Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low t Thompson, Siegel & Walmsley Net Ret Rank 1 MSCI EAFE (Net) Net Ret Rank 6/30/17 YTD 2016 22.08 17.78 14.72 12.56 5.74 13.17 70 13.81 65 17.09 8.22 4.27 0.69 -4.27 -0.19 80 1.00 73 -6% -4% -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% 24% t 1 t 1 166 City of Clearwater Employees Pension Fund Global Equity Summary Statistics Thompson, Siegel & Walmsley Period Ending 6/17 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Five Year Dividend Growth Portfolio MSCI EAFE (Net) 94 72,850,113 44,306,688 17,821,316 2.87 18.70 18.51 0.98 1.61 76.54 10.64 7.48 927 55,789,056 10,078,065 3.11 20.81 19.38 1.00 1.65 84.55 8.71 7.84 Ten Largest Holdings Nestle Sa Novartis Ag Koninklijke Philips Sanofi Siemens Ag Hitachi Orix Corporation Veolia Environnement Heineken Holding Eni Spa Market Value % of Portfolio Quarterly Ret 1,751,522 1,649,914 1,471,814 1,375,668 1,358,925 1,338,182 1,311,659 1,310,321 1,299,714 1,287,827 2.41 2.27 2.02 1.89 1.87 1.84 1.80 1.80 1.79 1.77 16.95 12.18 12.83 9.00 -0.05 13.48 4.74 17.50 15.98 -6.06 Ten Best Performers Ryanair Hldgs Plc Aena Sa Kuraray Co Azimut Hldg S.P.A A.P. Moller - Maersk Smurfit Kappa Group Ig Group Hldgs Cheung Kong Property Veolia Environnement Deutsche Boerse Ag Quarterly Ret 29.68 25.77 20.87 20.84 20.67 20.26 18.65 18.64 17.50 17.38 Ten Worst Performers Technipfmc Ltd Coca-Cola Amatil Ltd Rexel Coca-Cola Bottlers J Fujifilm Holdings Co Astellas Pharma Imperial Brands Plc Koninklijke Boskalis Eni Spa Fanuc Corporation Quarterly Ret -16.31 -14.23 -10.25 -9.61 -7.85 -7.02 -6.71 -6.19 -6.06 -5.89 167 City of Clearwater Employees Pension Fund Global Performance Attribution Analysis Thompson, Siegel & Walmsley Quarter Ending 6/17 Countries/ Currencies Benchmark Active Weight Currency Weight Local Return US $ Return Portfolio Active Weight Currency Weight Local Return US $ Return Return Attribution Market Select Currency Select Security Select Total Australia Austria Belgium Bermuda Bulgaria Cayman Islands Channel Islands China Denmark Finland France Germany Hong Kong Ireland Isle of Man Israel Italy Japan Jordan Luxembourg Mexico Netherlands New Zealand Norway Papua-New Guinea Portugal Scotland Singapore South Africa Spain 7.61 0.20 1.16 0.00 0.00 0.00 0.37 0.00 1.64 0.96 10.19 9.50 3.50 0.46 0.03 0.67 2.17 23.37 0.00 0.00 0.00 3.46 0.17 0.63 0.00 0.16 0.04 1.33 0.00 3.36 7.61 0.20 1.16 0.00 0.00 0.00 0.37 0.00 1.64 0.96 10.19 9.50 3.50 0.46 0.03 0.67 2.17 23.37 0.00 0.00 0.00 3.46 0.17 0.63 0.00 0.16 0.04 1.33 0.00 3.36 -2.01 14.63 -1.03 -7.43 8.10 7.15 3.16 0.12 7.66 -2.31 7.84 6.11 2.81 6.03 1.88 3.18 2.29 -2.38 -8.36 3.32 1.24 -1.25 22.24 5.54 -3.84 15.29 14.26 10.00 6.75 7.01 3.91 9.44 7.34 9.63 5.15 8.14 8.08 4.89 4.10 -4.80 4.65 7.96 3.87 0.00 1.04 0.00 0.00 0.97 0.00 0.00 1.52 0.00 8.25 11.95 3.44 2.58 0.00 0.78 5.16 24.07 0.00 0.00 0.52 5.99 0.00 0.00 0.00 0.00 0.00 2.16 0.55 2.13 3.87 0.00 1.04 0.00 0.00 0.00 0.00 0.00 1.52 0.00 8.25 11.95 5.64 0.00 0.00 0.00 5.16 24.07 0.00 0.00 0.00 5.99 0.00 0.00 0.00 0.00 0.00 1.37 0.55 2.13 1.46 2.40 19.18 7.77 3.10 -0.61 3.67 13.98 4.55 0.33 4.74 -5.74 3.72 5.14 4.49 11.50 2.02 9.20 18.64 14.94 9.95 5.99 3.20 16.50 4.55 6.99 3.87 -5.74 10.61 5.32 6.93 18.90 0.19 -0.02 0.00 -0.03 0.04 -0.01 -0.04 -0.00 -0.07 -0.00 -0.11 -0.00 0.00 -0.01 0.02 -0.02 -0.03 -0.00 0.00 0.01 0.00 0.00 -0.02 0.02 0.10 -0.01 -0.00 -0.00 -0.00 -0.04 -0.07 0.08 -0.09 -0.01 0.00 0.01 0.10 -0.03 0.07 -0.00 0.01 -0.00 -0.00 -0.00 -0.02 -0.04 0.13 0.04 0.19 -0.00 -0.00 -0.09 -0.14 0.42 -0.01 -0.13 -0.31 -0.03 0.11 0.04 0.02 0.22 0.42 -0.03 0.04 0.16 0.04 -0.02 -0.08 -0.07 -0.08 -0.23 0.29 -0.00 0.01 -0.03 -0.32 -0.05 0.15 -0.00 0.01 0.00 0.00 0.04 -0.01 0.20 Benchmark : MSCI EAFE (Net) 168 City of Clearwater Employees Pension Fund Global Performance Attribution Analysis Thompson, Siegel & Walmsley Quarter Ending 6/17 Countries/ Currencies Benchmark Active Weight Currency Weight Local Return US $ Return Portfolio Active Weight Currency Weight Local Return US $ Return Return Attribution Market Select Currency Select Security Select Total Sweden Switzerland United Kingdom United States 2.88 8.72 17.85 0.00 100.00 2.88 8.72 17.85 0.00 100.00 3.29 4.73 1.27 3.04 9.33 9.47 5.21 6.46 1.79 5.88 16.27 1.11 100.00 1.79 5.88 16.11 4.69 100.00 9.71 8.14 5.90 -16.31 4.25 16.14 13.03 2.50 -16.31 6.42 -0.00 -0.05 0.03 -0.03 -0.12 -0.03 -0.04 -0.01 -0.16 -0.18 0.12 0.20 0.75 -0.18 1.34 0.08 0.11 0.77 -0.37 1.05 Benchmark : MSCI EAFE (Net) Market Selection [Portfolio Active Weight - Benchmark Active Weight] x [Benchmark Local Return - Benchmark Total Local Return] Currency Selection [Portfolio Currency Weight - Benchmark Currency Weight] x [ (Benchmark US$ Return - Benchmark Local Return) - (Benchmark Total US$ Return - Benchmark Total Local Return) ] Security Selection [Portfolio Active Weight] x [Portfolio Local Return - Benchmark Local Return] 169 City of Clearwater Employees Pension Fund International Equity Sector Attribution Analysis Thompson, Siegel & Walmsley Quarter Ending 6/17 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 2.98 6.38 16.82 14.67 10.80 9.08 22.61 7.67 4.03 4.97 100.00 5.00 7.92 14.31 12.24 11.38 10.70 21.27 5.71 4.36 3.40 100.00 -9.86 9.01 5.96 5.09 6.51 7.20 7.61 5.54 12.44 7.38 6.40 -0.47 3.56 7.26 4.99 7.95 7.31 7.45 9.66 5.03 7.26 6.20 -0.28 0.35 -0.22 0.01 -0.16 -0.01 0.04 -0.32 0.30 0.01 -0.28 0.13 0.04 0.03 -0.03 -0.01 -0.02 0.02 0.07 0.00 0.02 0.25 -0.15 0.39 -0.19 -0.01 -0.17 -0.03 0.05 -0.25 0.30 0.02 -0.03 Index - MSCI EAFE (Net) Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect -0.13% [ Actual Return 6.27% ] - [ Buy Hold Return 6.40% ] 170 City of Clearwater Employees Pension Fund Eaton Vance Mgmt as of 6/30/17 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 26.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Eaton Vance Mgmt MSCI Emg Mkts Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Eaton Vance Mgmt MSCI Emg Mkts Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 3.85 6.38 35,097 0 1,350 36,447 14.11 18.60 31,940 0 4,507 36,447 17.69 24.17 36,742 -5,998 5,703 36,447 -1.16 1.44 41,008 -2,998 -1,563 36,447 3.25 4.33 33,734 -2,998 5,711 36,447 0.69 0.97 8,277 4,537 23,632 36,447 Portfolio Performance (%) 171 City of Clearwater Employees Pension Fund Eaton Vance Mgmt as of 6/30/17 Cash & Equiv $0 0.00% Intl Equity $36,447 100.00% Periods from 4/08 to 6/17 Alpha Beta R-Squared -0.12 0.97 0.97 Annualized Return% -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1.0 v 1 T Annualized Standard Deviation% v Eaton Vance Mgmt 1 MSCI Emg Mkts T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 0.69 0.97 0.26 21.64 22.99 0.14 0.02 0.03 0.00 -0.16 Asset Allocation ($000) Risk/Return Analysis 172 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Emerging Markets Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low v Eaton Vance Mgmt Net Ret Rank 1 MSCI Emg Mkts Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years 10.37 7.32 6.11 3.65 -0.65 3.85 74 6.38 43 31.78 26.46 23.34 19.58 4.31 17.69 83 24.17 40 10.49 7.73 5.86 4.26 0.66 3.74 82 4.70 69 6.56 3.61 2.27 0.78 -2.52 -1.16 91 1.44 60 10.99 7.00 5.20 4.28 1.98 2.80 92 4.60 65 13.78 7.14 5.30 4.44 3.25 3.25 95 4.33 79 10.33 3.62 2.38 0.92 -0.43 -0.02 88 0.69 82 14.51 7.03 5.86 4.40 2.92 3.54 85 4.22 78 15.61 9.64 8.07 6.84 5.61 5.94 89 6.45 80 10.29 5.58 4.03 2.72 1.00 1.51 93 1.96 88 -5% 0% 5% 10% 15% 20% 25% 30% 35% v 1 v 1 v1 v 1 v 1 v1 v1 v1 v1 v1 173 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Emerging Markets Portfolios Years Ending December High 1st Qt Median 3rd Qt Low v Eaton Vance Mgmt Net Ret Rank 1 MSCI Emg Mkts Net Ret Rank 6/30/17 YTD 2016 2015 2014 2013 2012 2011 2010 2009 25.16 20.48 18.62 15.07 3.11 14.11 78 18.60 51 23.34 13.97 11.19 6.81 -0.79 12.76 36 11.60 46 2.51 -8.74 -13.85 -16.09 -21.31 -16.09 75 -14.60 57 11.90 2.64 -1.19 -3.79 -8.40 -4.41 80 -1.82 57 27.57 5.19 -0.46 -4.14 -7.49 1.22 40 -2.27 59 29.81 23.28 20.05 16.76 9.63 18.55 64 18.62 63 3.53 -12.69 -17.75 -21.53 -25.62 -19.27 66 -18.17 55 29.89 24.10 20.35 17.57 8.50 23.33 29 19.19 61 92.13 81.23 75.54 68.01 26.55 67.01 75 79.02 32 -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% v 1 v 1 v 1 v 1 v 1 v 1 v 1 v 1 v 1 174 City of Clearwater Employees Pension Fund June 30, 2017 Cumulative Performance Comparison Total Returns of Emerging Markets Portfolios High 1st Qt Median 3rd Qt Low v Eaton Vance Mgmt Return Rank 1 MSCI Emg Mkts Return Rank 6/17 3/17 12/16 9/16 6/16 6.56 3.61 2.27 0.78 -2.52 -1.16 91 1.44 60 7.19 4.07 2.49 1.13 -0.86 -0.50 94 1.55 68 5.59 0.24 -1.46 -2.42 -5.00 -3.29 87 -2.19 68 8.89 2.94 0.73 -0.59 -3.39 -1.79 91 -0.21 70 13.95 2.37 0.10 -1.30 -2.99 -1.73 81 -1.21 73 -6% -4% -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% v 1 v 1 v 1 v 1 v 1 Eaton Vance Mgmt Value Added Analysis - Net of Fee 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 -6.0% -5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% -1.3 -0.1 1.6 1.6 -0.4 0.7 1.3 -0.7 1.1 -4.2 -2.7 0.0 3.1 -2.1 2.2 0.3 -3.5 2.1 -1.4 -2.4 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. MSCI Emg Mkts 175 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Emerging Markets Portfolios Annualized Rate of Return6.0 7.8 9.6 11.4 13.2 15.0 16.8 18.6 20.4 22.2 24.0 -6.0 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 v 1Median RiskMedian Return Historical Standard Deviation of Return 3 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank v Eaton Vance Mgmt 1 MSCI Emg Mkts Median -1.16 91 13.79 20 1.44 60 15.44 54 2.27 15.35 Annualized Rate of Return9.0 9.9 10.8 11.7 12.6 13.5 14.4 15.3 16.2 17.1 18.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 v 1Median RiskMedian Return Historical Standard Deviation of Return 5 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank v Eaton Vance Mgmt 1 MSCI Emg Mkts Median 3.25 95 12.06 16 4.33 79 13.53 49 5.30 13.56 176 City of Clearwater Employees Pension Fund Fixed Income Comp as of 6/30/17 United States Treas United States Treas United States Treas United States Treas United States Treas United States Treas FNMA Cl 30 - Tba Aug United States Treas United States Treas United States Treas Sector % Port Government Government Government Government Government Government Mortgage Government Government Government 4.30 4.02 3.88 2.39 2.33 2.22 2.19 1.60 1.56 1.55 Finance Government Industrials Mortgage Transportation Utilities Municipals Foreign Miscellaneous % Port 14.68 39.02 11.55 26.52 0.66 3.67 1.34 2.28 0.28 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 12/31/87 Fixed Income Comp BC Agg Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 12/31/87 Fixed Income Comp BC Agg Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 1.31 1.45 264,184 -10,638 3,440 256,986 2.31 2.27 249,705 1,387 5,894 256,986 1.57 -0.31 243,359 9,784 3,844 256,986 3.08 2.48 210,470 24,127 22,389 256,986 3.18 2.21 205,650 15,035 36,301 256,986 5.21 4.48 208,746 9,291 38,949 256,986 6.31 6.43 59,224 9,291 188,471 256,986 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Fixed Income Holdings Sector Allocation 177 City of Clearwater Employees Pension Fund Fixed Income Comp as of 6/30/17 Domestic Fixed $272,040 105.86% Other $2 0.00% Domestic Equity $2 0.00% Cash & Equiv $-15,059 -5.86% Periods from 12/87 to 6/17 Alpha Beta R-Squared 0.26 0.62 0.60 Annualized Return% 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 F 1 T Annualized Standard Deviation% F Fixed Income Comp 1 BC Agg T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 6.31 6.43 3.32 3.13 4.03 1.31 0.95 0.77 0.00 -0.07 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 178 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Fixed Income Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low F Fixed Income Comp Net Ret Rank 1 BC Agg Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 4.69 2.07 1.50 0.92 -0.09 1.31 63 1.45 56 12.55 5.07 0.88 -0.07 -1.14 1.57 42 -0.31 82 8.71 5.14 3.30 2.26 0.66 3.64 41 2.79 64 7.01 3.74 2.81 1.98 0.31 3.08 38 2.48 61 7.59 5.00 3.35 2.41 0.70 3.73 39 2.95 62 7.57 4.60 2.72 2.03 0.25 3.18 40 2.21 66 7.75 4.86 3.45 2.60 0.88 3.73 43 3.07 60 8.26 4.99 3.51 2.81 0.86 3.94 39 3.19 60 9.86 5.98 4.40 3.49 0.77 4.90 39 3.96 60 8.71 5.45 4.65 3.72 1.06 5.14 36 4.19 62 8.04 5.68 4.84 4.15 1.23 5.21 39 4.48 63 -2% 0% 2% 4% 6% 8% 10% 12% 14% F1 F 1 F 1 F 1 F 1 F 1 F 1 F 1 F 1 F 1 F 1 179 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Fixed Income Portfolios Years Ending December High 1st Qt Median 3rd Qt Low F Fixed Income Comp Net Ret Rank 1 BC Agg Net Ret Rank 6/30/17 YTD 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 7.16 4.17 2.62 1.73 0.43 2.31 62 2.27 64 15.28 6.61 3.15 2.13 0.22 5.01 32 2.65 57 3.87 1.24 0.57 -1.30 -5.27 0.30 57 0.55 50 16.69 6.24 4.38 2.05 0.07 6.18 26 5.97 30 9.44 1.46 -0.66 -2.03 -8.11 -0.75 51 -2.02 74 16.90 10.36 6.70 4.09 0.71 6.53 51 4.22 72 16.71 7.86 6.14 3.60 -0.20 5.94 53 7.84 26 16.99 10.46 7.38 5.78 0.89 7.37 50 6.54 63 45.48 17.05 10.27 5.77 -1.26 12.37 41 5.93 73 10.09 5.20 1.70 -6.45 -25.82 2.54 45 5.24 24 10.86 7.62 6.57 5.08 2.35 5.94 62 6.96 41 -30% -20% -10% 0% 10% 20% 30% 40% 50% F1 F1 F1 F1 F1 F1 F1 F1 F 1 F1 F1 180 City of Clearwater Employees Pension Fund Risk Measure Summary Fixed Income Comp Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 1 3 1.36 0.70 0.75 -2.09 1.39 1.57 1.57 3.33 0.81 0.43 0.92 0.32 1.34 1.06 1.76 1 3 -2.98 1.45 -0.31 -0.31 3.97 -0.20 3 9 1.00 0.68 0.67 -2.09 3.03 0.30 7.15 3.00 0.84 0.24 0.89 0.95 3.41 1.14 0.50 3 9 -2.98 3.03 -0.31 6.00 3.39 0.66 4 16 1.10 0.63 0.80 -2.13 3.03 -0.75 7.15 2.91 0.89 0.29 0.91 1.03 3.37 0.94 1.00 6 14 -2.98 3.03 -2.02 6.00 3.11 0.66 20 98 0.91 0.41 0.53 -2.54 5.72 -0.75 15.87 3.13 0.62 0.26 0.60 0.95 4.85 2.44 -0.07 25 93 -2.98 7.96 -3.23 18.48 4.03 0.77 181 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Fixed Income Portfolios Annualized Rate of Return0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 F 1Median RiskMedian Return Historical Standard Deviation of Return 3 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank F Fixed Income Comp 1 BC Agg Median 3.08 38 3.00 35 2.48 61 3.39 50 2.81 3.40 Annualized Rate of Return0.0 0.9 1.8 2.7 3.6 4.5 5.4 6.3 7.2 8.1 9.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 F 1 MedianRiskMedian Return Historical Standard Deviation of Return 5 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank F Fixed Income Comp 1 BC Agg Median 3.18 40 2.91 33 2.21 66 3.11 38 2.72 3.28 182 City of Clearwater Employees Pension Fund Dodge & Cox as of 6/30/17 United States Treas United States Treas United States Treas United States Treas Fhlm Pool C91769 United States Treas FNMA Pool #al6120 Verizon Communicatio FNMA Pool Al5667 United States Treas Sector % Port Government Government Government Government Mortgage Government Mortgage Utilities Mortgage Government 8.10 2.51 2.43 2.39 1.98 1.72 1.63 1.18 1.08 1.01 Finance Government Industrials Mortgage Transportation Utilities Municipals Foreign Miscellaneous % Port 19.89 21.88 13.37 32.67 1.30 6.37 2.89 1.05 0.59 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 2/29/04 Dodge & Cox BC Agg Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 2/29/04 Dodge & Cox BC Agg Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 1.30 1.45 125,724 65 1,632 127,421 2.41 2.27 122,312 2,130 2,979 127,421 2.62 -0.31 134,817 -10,742 3,346 127,421 3.08 2.48 120,544 -5,118 11,995 127,421 3.61 2.21 110,595 -5,127 21,953 127,421 5.41 4.48 97,852 -12,547 42,116 127,421 4.95 4.12 75,656 -12,547 64,312 127,421 Portfolio Performance (%) Top Fixed Income Holdings Sector Allocation 183 City of Clearwater Employees Pension Fund Dodge & Cox as of 6/30/17 Cash & Equiv $2,970 2.33% Domestic Fixed $124,451 97.67% Periods from 2/04 to 6/17 Alpha Beta R-Squared 0.35 0.80 0.59 Annualized Return% 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 d 1 T Annualized Standard Deviation% d Dodge & Cox 1 BC Agg T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 4.95 4.12 1.29 3.24 3.25 0.52 1.13 0.87 0.00 0.33 Asset Allocation ($000) Risk/Return Analysis 184 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Fixed Income Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low d Dodge & Cox Net Ret Rank 1 BC Agg Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 4.69 2.07 1.50 0.92 -0.09 1.30 63 1.45 56 12.55 5.07 0.88 -0.07 -1.14 2.62 34 -0.31 82 8.71 5.14 3.30 2.26 0.66 3.71 40 2.79 64 7.01 3.74 2.81 1.98 0.31 3.08 38 2.48 61 7.59 5.00 3.35 2.41 0.70 3.93 34 2.95 62 7.57 4.60 2.72 2.03 0.25 3.61 33 2.21 66 7.75 4.86 3.45 2.60 0.88 4.01 37 3.07 60 8.26 4.99 3.51 2.81 0.86 4.27 33 3.19 60 9.86 5.98 4.40 3.49 0.77 5.28 32 3.96 60 8.71 5.45 4.65 3.72 1.06 5.46 24 4.19 62 8.04 5.68 4.84 4.15 1.23 5.41 31 4.48 63 -2% 0% 2% 4% 6% 8% 10% 12% 14% d1 d 1 d 1 d 1 d 1 d 1 d 1 d 1 d 1 d 1 d 1 185 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Fixed Income Portfolios Years Ending December High 1st Qt Median 3rd Qt Low d Dodge & Cox Net Ret Rank 1 BC Agg Net Ret Rank 6/30/17 YTD 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 7.16 4.17 2.62 1.73 0.43 2.41 56 2.27 64 15.28 6.61 3.15 2.13 0.22 5.55 29 2.65 57 3.87 1.24 0.57 -1.30 -5.27 -0.12 66 0.55 50 16.69 6.24 4.38 2.05 0.07 6.01 29 5.97 30 9.44 1.46 -0.66 -2.03 -8.11 0.65 30 -2.02 74 16.90 10.36 6.70 4.09 0.71 7.85 40 4.22 72 16.71 7.86 6.14 3.60 -0.20 5.10 61 7.84 26 16.99 10.46 7.38 5.78 0.89 7.53 48 6.54 63 45.48 17.05 10.27 5.77 -1.26 14.53 31 5.93 73 10.09 5.20 1.70 -6.45 -25.82 1.37 51 5.24 24 10.86 7.62 6.57 5.08 2.35 5.47 68 6.96 41 -30% -20% -10% 0% 10% 20% 30% 40% 50% d1 d 1 d1 d1 d1 d 1 d1 d1 d 1 d 1 d1 186 City of Clearwater Employees Pension Fund June 30, 2017 Cumulative Performance Comparison Total Returns of Fixed Income Portfolios High 1st Qt Median 3rd Qt Low d Dodge & Cox Return Rank 1 BC Agg Return Rank 6/17 3/17 12/16 9/16 6/16 7.01 3.74 2.81 1.98 0.31 3.08 38 2.48 61 6.84 3.89 2.93 2.06 0.30 3.37 36 2.68 58 7.86 4.22 3.18 2.25 0.40 3.78 32 3.03 55 10.20 4.96 4.05 2.64 0.44 4.67 32 4.03 50 9.30 4.66 3.98 2.52 0.53 4.37 33 4.06 46 0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10% 11% d 1 d 1 d 1 d 1 d 1 Dodge & Cox Value Added Analysis - Net of Fee 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 1.1 0.7 0.8 0.4 0.3 1.2 0.5 0.1 0.1 -0.7 -0.2 0.7 -1.8 0.7 -0.5 0.6 1.2 1.6 0.3 -0.1 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. BC Agg 187 City of Clearwater Employees Pension Fund Risk Measure Summary Dodge & Cox Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 1 3 1.51 0.49 0.75 -1.45 1.68 2.62 2.62 2.86 0.67 0.66 0.82 0.75 3.19 1.57 1.86 1 3 -2.98 1.45 -0.31 -0.31 3.97 -0.20 3 9 0.90 0.46 0.58 -1.45 2.78 -0.12 7.19 2.65 0.66 0.33 0.72 1.07 4.29 1.81 0.30 3 9 -2.98 3.03 -0.31 6.00 3.39 0.66 4 16 1.08 0.33 0.75 -1.89 2.78 -0.12 7.19 2.68 0.75 0.47 0.75 1.28 4.57 1.54 0.88 6 14 -2.98 3.03 -2.02 6.00 3.11 0.66 11 42 1.05 0.52 0.60 -2.88 6.98 -0.26 17.78 3.46 0.80 0.35 0.59 1.05 4.56 2.44 0.33 15 38 -2.98 4.57 -2.02 10.56 3.43 0.81 188 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Fixed Income Portfolios Annualized Rate of Return0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 d 1Median RiskMedian Return Historical Standard Deviation of Return 3 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank d Dodge & Cox 1 BC Agg Median 3.08 38 2.65 31 2.48 61 3.39 50 2.81 3.40 Annualized Rate of Return0.0 0.9 1.8 2.7 3.6 4.5 5.4 6.3 7.2 8.1 9.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 d 1 MedianRiskMedian Return Historical Standard Deviation of Return 5 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank d Dodge & Cox 1 BC Agg Median 3.61 33 2.68 29 2.21 66 3.11 38 2.72 3.28 189 City of Clearwater Employees Pension Fund Fixed Income, Mortgage and Municipals Summary Statistics Dodge & Cox Quarter Ending 6/17 Total Number Of Securities Total Market Value Yield to Maturity Time to Maturity Current Coupon Duration Effective Convexity Effective Duration Effective Maturity Portfolio BC Agg 223 124,451,189 2.72 12.50 3.94 5.49 0.41 4.95 8.01 9,355 2.55 8.27 3.06 6.17 0.16 6.01 8.27 Yield to Maturity 5+ 9.7% 4 - 5 11.1% 3 - 4 18.1% 2 - 3 29.9% 1 - 2 25.2% 0 - 1 6.1% Time to Maturity 10+ 46.0% 7 - 10 13.7% 5 - 7 7.7% 3 - 5 5.2% 1 - 3 13.7% 0 - 1 13.7% Coupon 11+ 0.0% 9 - 11 0.7% 7 - 9 7.3% 5 - 7 23.3% 3 - 5 36.9% 0 - 3 31.8% Quality NR 11.6% B 1.3% BA 3.0% BAA 33.4% A 4.5% AA 2.0% AAA 23.0% GOVT 21.2% Duration 8+ 23.1% 6 - 8 11.5% 4 - 6 14.5% 3 - 4 17.4% 1 - 3 19.4% 0 - 1 14.1% Effective Duration 8+ 22.7% 6 - 8 10.4% 4 - 6 8.6% 3 - 4 7.2% 1 - 3 32.6% 0 - 1 18.6% 190 City of Clearwater Employees Pension Fund Percent Invested by Sector and Quality Dodge & Cox As of 6/30/17 Name Moody’s Quality Ratings Aaa Aa A Baa Ba B Other NR Total Government Treasury Agency Corporate Industrial Utility Finance Yankee Transportation Mortgage GNMA FHLMC FNMA Other Mortgage Municipals Cash Other Total 20.30 20.02 0.28 0.27 --- --- 0.27 --- --- 23.70 --- 7.51 15.60 0.59 --- --- --- 44.26 --- --- --- 1.06 --- --- 1.06 --- 0.16 --- --- --- --- --- 0.78 --- --- 1.99 --- --- --- 2.75 0.58 --- 2.17 --- 1.15 --- --- --- --- --- 0.56 --- --- 4.46 1.58 --- 1.58 30.30 10.99 5.32 13.57 0.43 --- --- --- --- --- --- 1.55 --- --- 33.43 --- --- --- 3.04 1.12 1.05 0.87 --- --- --- --- --- --- --- --- --- --- 3.04 --- --- --- 1.26 0.52 --- 0.74 --- --- --- --- --- --- --- --- --- --- 1.26 --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- 2.01 0.16 --- 1.23 0.62 --- 8.97 0.02 2.93 6.01 --- --- --- 0.59 11.57 21.88 20.02 1.86 40.69 13.37 6.37 19.91 1.05 1.31 32.67 0.02 10.44 21.61 0.59 2.89 --- 0.59 100.00 191 City of Clearwater Employees Pension Fund Fixed Income Sector Attribution Analysis Dodge & Cox Quarter Ending 6/17 Weight Portfolio Index Return Portfolio Index Selection Security Sector Total Finance Government Industrials Mortgage Transportation Utilities Municipals Foreign Miscellaneous 20.42 23.23 14.01 29.80 1.36 6.77 2.70 1.08 0.62 100.00 11.06 39.19 12.66 28.11 0.69 3.48 0.08 4.71 0.01 100.00 2.30 0.17 1.89 0.77 1.25 4.37 4.65 0.89 1.45 1.79 1.19 2.57 1.09 2.91 2.75 1.07 1.55 3.01 1.49 0.11 -0.24 -0.10 -0.10 -0.02 0.11 0.10 -0.01 0.00 -0.15 0.03 0.05 0.01 -0.01 0.01 0.04 -0.01 -0.00 0.01 0.13 0.13 -0.19 -0.08 -0.10 -0.01 0.15 0.09 -0.01 0.01 -0.02 Index - Wilshire GCM Index Security Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect -0.09% [ Actual Return 1.37% ] - [ Buy Hold Return 1.45% ] 192 City of Clearwater Employees Pension Fund Western Asset Management Co. as of 6/30/17 United States Treas United States Treas United States Treas United States Treas United States Treas FNMA Cl 30 - Tba Aug United States Treas United States Treas United States Treas United States Treas Sector % Port Government Government Government Government Government Mortgage Government Government Government Government 8.65 7.80 4.81 4.69 4.47 4.41 3.22 3.14 3.13 3.12 Finance Government Industrials Mortgage Transportation Utilities Municipals Foreign Miscellaneous % Port 10.16 53.90 9.98 21.18 0.10 1.33 0.00 3.35 0.00 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 9/30/04 Western Asset Management Co.BC Agg Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 9/30/04 Western Asset Management Co. BC Agg Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 1.44 1.45 125,875 84 1,807 127,766 2.37 2.27 120,187 4,666 2,912 127,766 0.33 -0.31 122,399 4,889 477 127,766 2.91 2.48 93,599 23,793 10,374 127,766 2.61 2.21 89,682 23,774 14,310 127,766 4.88 4.48 95,293 23,727 8,746 127,766 4.55 4.19 74,568 23,727 29,471 127,766 Portfolio Performance (%) Top Fixed Income Holdings Sector Allocation 193 City of Clearwater Employees Pension Fund Western Asset Management Co. as of 6/30/17 Domestic Fixed $147,589 115.51% Other $2 0.00% Cash & Equiv $-19,825 -15.52% Periods from 9/04 to 6/17 Alpha Beta R-Squared 0.04 1.06 0.93 Annualized Return% 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 w 1 T Annualized Standard Deviation% w Western Asset Management 1 BC Agg T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 4.55 4.19 1.30 3.60 3.31 0.91 0.90 0.88 0.00 0.35 Asset Allocation ($000) Risk/Return Analysis 194 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Fixed Income Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low w Western Asset Management Co. Net Ret Rank 1 BC Agg Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 4.69 2.07 1.50 0.92 -0.09 1.44 56 1.45 56 12.55 5.07 0.88 -0.07 -1.14 0.33 63 -0.31 82 8.71 5.14 3.30 2.26 0.66 3.31 49 2.79 64 7.01 3.74 2.81 1.98 0.31 2.91 46 2.48 61 7.59 5.00 3.35 2.41 0.70 3.39 49 2.95 62 7.57 4.60 2.72 2.03 0.25 2.61 52 2.21 66 7.75 4.86 3.45 2.60 0.88 3.36 52 3.07 60 8.26 4.99 3.51 2.81 0.86 3.51 50 3.19 60 9.86 5.98 4.40 3.49 0.77 4.37 50 3.96 60 8.71 5.45 4.65 3.72 1.06 4.67 49 4.19 62 8.04 5.68 4.84 4.15 1.23 4.88 48 4.48 63 -2% 0% 2% 4% 6% 8% 10% 12% 14% w1 w 1 w1 w1 w1 w1 w1 w1 w1 w1 w1 195 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Fixed Income Portfolios Years Ending December High 1st Qt Median 3rd Qt Low w Western Asset Management Co. Net Ret Rank 1 BC Agg Net Ret Rank 6/30/17 YTD 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 7.16 4.17 2.62 1.73 0.43 2.37 60 2.27 64 15.28 6.61 3.15 2.13 0.22 3.66 44 2.65 57 3.87 1.24 0.57 -1.30 -5.27 0.73 43 0.55 50 16.69 6.24 4.38 2.05 0.07 6.65 19 5.97 30 9.44 1.46 -0.66 -2.03 -8.11 -2.46 83 -2.02 74 16.90 10.36 6.70 4.09 0.71 5.07 62 4.22 72 16.71 7.86 6.14 3.60 -0.20 7.23 37 7.84 26 16.99 10.46 7.38 5.78 0.89 7.09 53 6.54 63 45.48 17.05 10.27 5.77 -1.26 9.24 54 5.93 73 10.09 5.20 1.70 -6.45 -25.82 3.92 37 5.24 24 10.86 7.62 6.57 5.08 2.35 6.51 51 6.96 41 -30% -20% -10% 0% 10% 20% 30% 40% 50% w1 w1 w1 w1 w1 w1 w1 w1 w 1 w1 w1 196 City of Clearwater Employees Pension Fund June 30, 2017 Cumulative Performance Comparison Total Returns of Fixed Income Portfolios High 1st Qt Median 3rd Qt Low w Western Asset Management Co. Return Rank 1 BC Agg Return Rank 6/17 3/17 12/16 9/16 6/16 7.01 3.74 2.81 1.98 0.31 2.91 46 2.48 61 6.84 3.89 2.93 2.06 0.30 3.21 41 2.68 58 7.86 4.22 3.18 2.25 0.40 3.65 37 3.03 55 10.20 4.96 4.05 2.64 0.44 4.61 34 4.03 50 9.30 4.66 3.98 2.52 0.53 4.43 31 4.06 46 0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10% 11% w 1 w 1 w 1 w 1 w 1 Western Asset Management Co. Value Added Analysis - Net of Fee 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 -0.6% -0.4% -0.2% -0.0% 0.2% 0.4% 0.6% 0.8% 1.0% 1.2% 1.4% 1.6% 1.8% 2.0% 2.2% 0.4 0.1 -0.1 -0.1 -0.2 0.0 0.4 0.3 0.1 -0.1 0.3 -0.1 -0.4 0.3 0.3 0.1 0.5 0.1 0.1 0.0 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. BC Agg 197 City of Clearwater Employees Pension Fund Risk Measure Summary Western Asset Management Co. Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 1 3 1.21 0.97 0.75 -2.90 1.44 0.33 0.33 4.02 1.01 0.16 0.99 -0.04 -0.15 0.43 1.50 1 3 -2.98 1.45 -0.31 -0.31 3.97 -0.20 3 9 1.08 0.94 0.67 -2.90 3.36 0.33 6.48 3.47 1.01 0.10 0.98 0.77 2.64 0.49 0.86 3 9 -2.98 3.03 -0.31 6.00 3.39 0.66 6 14 1.11 1.00 0.60 -2.90 3.36 -2.46 6.65 3.29 1.05 0.07 0.98 0.74 2.33 0.47 0.84 6 14 -2.98 3.03 -2.02 6.00 3.11 0.66 15 36 1.09 1.09 0.61 -2.90 5.22 -2.46 14.60 3.60 1.06 0.04 0.93 0.90 3.06 0.98 0.35 14 37 -2.98 4.57 -2.02 10.56 3.31 0.88 198 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Fixed Income Portfolios Annualized Rate of Return0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 w1Median RiskMedian Return Historical Standard Deviation of Return 3 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank w Western Asset Management Co. 1 BC Agg Median 2.91 46 3.47 58 2.48 61 3.39 50 2.81 3.40 Annualized Rate of Return0.0 0.9 1.8 2.7 3.6 4.5 5.4 6.3 7.2 8.1 9.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 w1Median RiskMedian Return Historical Standard Deviation of Return 5 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank w Western Asset Management Co. 1 BC Agg Median 2.61 52 3.29 52 2.21 66 3.11 38 2.72 3.28 199 City of Clearwater Employees Pension Fund Fixed Income, Mortgage and Municipals Summary Statistics Western Asset Management Co. Quarter Ending 6/17 Total Number Of Securities Total Market Value Yield to Maturity Time to Maturity Current Coupon Duration Effective Convexity Effective Duration Effective Maturity Portfolio BC Agg 453 147,588,594 2.30 11.42 2.67 6.04 0.47 5.40 8.07 9,355 2.55 8.27 3.06 6.17 0.16 6.01 8.27 Yield to Maturity 5+ 2.1% 4 - 5 5.6% 3 - 4 17.7% 2 - 3 36.2% 1 - 2 36.8% 0 - 1 1.7% Time to Maturity 10+ 36.0% 7 - 10 8.2% 5 - 7 16.7% 3 - 5 8.3% 1 - 3 13.7% 0 - 1 17.1% Coupon 11+ 0.0% 9 - 11 0.0% 7 - 9 1.1% 5 - 7 10.1% 3 - 5 34.7% 0 - 3 54.1% Quality NR 1.8% B 0.5% BA 0.9% BAA 12.2% A 8.9% AA 2.2% AAA 22.4% GOVT 51.1% Duration 8+ 20.3% 6 - 8 9.5% 4 - 6 27.6% 3 - 4 12.0% 1 - 3 13.9% 0 - 1 16.7% Effective Duration 8+ 18.8% 6 - 8 7.1% 4 - 6 25.7% 3 - 4 12.7% 1 - 3 17.3% 0 - 1 18.4% 200 City of Clearwater Employees Pension Fund Percent Invested by Sector and Quality Western Asset Management Co. As of 6/30/17 Name Moody’s Quality Ratings Aaa Aa A Baa Ba B Other NR Total Government Treasury Agency Corporate Industrial Utility Finance Yankee Transportation Mortgage GNMA FHLMC FNMA Other Mortgage Municipals Cash Other Total 52.67 50.44 2.24 1.13 0.68 --- 0.25 0.21 --- 19.74 2.90 2.93 12.89 1.03 --- --- --- 73.55 1.08 --- 1.08 1.09 0.71 --- 0.25 0.13 --- --- --- --- --- --- --- --- --- 2.17 --- --- --- 8.84 3.55 0.14 3.96 1.20 0.06 --- --- --- --- --- --- --- --- 8.91 0.15 --- 0.15 11.98 4.04 1.19 5.15 1.61 0.04 --- --- --- --- --- --- --- --- 12.17 --- --- --- 0.87 0.70 --- 0.17 --- --- --- --- --- --- --- --- --- --- 0.87 --- --- --- 0.54 0.31 --- 0.24 --- --- --- --- --- --- --- --- --- --- 0.54 --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- 0.36 --- --- 0.15 0.21 --- 1.44 0.12 0.08 1.24 --- --- --- --- 1.79 53.90 50.44 3.47 24.81 9.99 1.33 10.17 3.36 0.10 21.18 3.02 3.01 14.13 1.03 --- --- --- 100.00 201 City of Clearwater Employees Pension Fund Fixed Income Sector Attribution Analysis Western Asset Management Co. Quarter Ending 6/17 Weight Portfolio Index Return Portfolio Index Selection Security Sector Total Finance Government Industrials Mortgage Transportation Utilities Municipals Foreign Miscellaneous 10.61 52.46 10.27 22.10 0.10 1.39 0.00 3.07 0.00 100.00 11.06 39.19 12.66 28.11 0.69 3.48 0.08 4.71 0.01 100.00 2.58 0.74 2.50 1.22 1.18 2.39 0.00 2.58 1.30 1.79 1.19 2.57 1.09 2.91 2.75 1.07 1.55 3.01 1.49 0.08 -0.24 -0.01 0.03 -0.00 -0.00 -0.00 0.03 0.00 -0.11 -0.00 -0.04 -0.03 0.02 -0.01 -0.03 0.00 -0.00 -0.00 -0.08 0.08 -0.28 -0.03 0.05 -0.01 -0.03 0.00 0.03 -0.00 -0.19 Index - Wilshire GCM Index Security Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect -0.02% [ Actual Return 1.28% ] - [ Buy Hold Return 1.30% ] 202 City of Clearwater Employees Pension Fund Real Estate Comp as of 6/30/17 Simon Ppty Group Inc Prologis Inc Avalonbay Cmntys Inc Hcp Inc Equity Residential P Equinix Inc Macerich Co Welltower Inc Public Storage Inc Weingarten Realty In GICS Sector % Port Financials Financials Financials Financials Financials Telecom Services Financials Financials Financials Financials 7.71 6.45 5.09 4.70 4.38 4.30 4.07 3.75 3.74 3.33 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Real Estate Comp Policy Index Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Real Estate Comp Policy Index Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 0.81 1.84 124,369 -8 1,005 125,367 1.68 2.78 123,042 -392 2,717 125,367 3.15 1.72 123,565 -2,732 4,533 125,367 7.92 9.81 90,742 8,763 25,862 125,367 8.65 10.53 76,203 7,867 41,296 125,367 5.72 6.98 19,347 6,936 99,084 125,367 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 203 City of Clearwater Employees Pension Fund Real Estate Comp as of 6/30/17 Cash & Equiv $505 0.40% Real Estate $87,803 70.04% Domestic Equity $37,059 29.56% Periods from 4/08 to 6/17 Alpha Beta R-Squared -0.25 0.98 0.99 Annualized Return% -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 26.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 R 1 T Annualized Standard Deviation% R Real Estate Comp 1 Policy Index T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 5.72 6.98 0.26 24.24 24.86 0.14 0.23 0.27 0.00 -0.43 Asset Allocation ($000) Risk/Return Analysis 204 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low R Real Estate Comp Net Ret Rank 1 Policy Index Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years 7.51 2.91 1.72 0.76 -6.74 0.81 73 1.84 47 23.99 8.77 4.99 -1.23 -13.60 3.15 56 1.72 58 20.96 11.00 9.51 4.68 -9.99 7.70 64 10.30 33 22.32 11.83 9.43 4.77 -7.28 7.92 65 9.81 45 24.43 12.61 10.41 6.62 -6.08 9.01 64 10.74 47 23.64 12.45 10.07 7.91 -4.01 8.65 69 10.53 44 20.48 12.89 10.42 6.97 -4.11 8.82 67 10.98 41 22.46 13.85 12.51 8.80 -4.78 11.84 53 13.59 27 18.97 12.64 10.05 4.71 -3.65 16.82 16 18.19 8 12.70 6.08 4.37 0.84 -11.42 7.26 20 8.42 14 -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% R1 R1 R 1 R 1 R 1 R 1 R 1 R 1 R1 R1 205 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Real Estate Portfolios Years Ending December High 1st Qt Median 3rd Qt Low R Real Estate Comp Net Ret Rank 1 Policy Index Net Ret Rank 6/30/17 YTD 2016 2015 2014 2013 2012 2011 2010 2009 14.27 5.25 3.52 1.55 -6.88 1.68 73 2.78 56 22.91 10.16 8.05 3.60 -14.98 6.35 63 8.06 49 32.72 15.91 11.17 2.44 -21.27 6.35 60 8.33 55 37.91 21.11 13.34 8.77 -10.78 21.77 24 25.22 22 32.06 14.95 10.40 2.97 -6.80 6.29 62 6.02 63 32.05 17.62 11.44 5.63 -7.03 11.69 48 15.41 32 34.44 17.10 11.39 2.47 -15.86 8.85 59 11.62 49 30.94 18.57 13.85 1.00 -26.38 30.51 5 24.96 13 38.62 -0.46 -27.53 -34.25 -61.97 24.68 15 29.20 12 -70% -60% -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% R 1 R 1 R 1 R 1 R 1 R 1 R 1 R 1 R 1 206 City of Clearwater Employees Pension Fund Risk Measure Summary Real Estate Comp Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 0.60 -1.41 0.50 0.54 0.90 3.15 3.15 0.33 0.08 0.63 0.05 8.14 32.34 2.21 0.62 2 2 -0.77 1.84 1.72 1.72 2.35 0.52 2 10 0.71 0.43 0.33 -4.20 9.53 3.15 12.44 6.48 0.76 0.11 0.95 1.19 10.18 2.58 -0.74 4 8 -5.18 11.15 1.72 19.60 8.37 1.15 3 17 0.76 0.44 0.35 -4.20 9.53 3.15 21.77 5.77 0.76 0.15 0.95 1.47 11.17 2.26 -0.82 5 15 -5.18 11.15 1.72 25.22 7.42 1.40 7 29 0.90 0.96 0.39 -37.93 33.98 -45.85 118.01 25.70 0.98 -0.25 0.99 0.27 7.13 2.78 -0.43 9 27 -40.40 35.93 -45.65 115.40 25.96 0.31 207 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Real Estate Portfolios Annualized Rate of Return0.0 1.8 3.6 5.4 7.2 9.0 10.8 12.6 14.4 16.2 18.0 -4.0 -1.4 1.1 3.7 6.3 9.0 11.6 14.2 16.8 19.4 22.0 R 1 MedianRiskMedian Return Historical Standard Deviation of Return 3 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank R Real Estate Comp 1 Policy Index Median 7.92 65 6.48 37 9.81 45 8.37 44 9.43 9.16 Annualized Rate of Return0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 -4.0 -1.2 1.5 4.3 7.2 10.0 12.8 15.6 18.4 21.1 23.9 R 1 MedianRiskMedian Return Historical Standard Deviation of Return 5 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank R Real Estate Comp 1 Policy Index Median 8.65 69 5.77 34 10.53 44 7.42 42 10.07 8.52 208 City of Clearwater Employees Pension Fund Security Capital as of 6/30/17 Simon Ppty Group Inc Prologis Inc Avalonbay Cmntys Inc Hcp Inc Equity Residential P Equinix Inc Macerich Co Welltower Inc Public Storage Inc Weingarten Realty In GICS Sector % Port Financials Financials Financials Financials Financials Telecom Services Financials Financials Financials Financials 7.71 6.45 5.09 4.70 4.38 4.30 4.07 3.75 3.74 3.33 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -3.0 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Security Capital Wilshire RESI Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Security Capital Wilshire RESI Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 0.79 1.91 37,232 60 295 37,587 0.74 2.42 37,311 0 276 37,587 -2.52 -1.23 42,215 -3,622 -1,007 37,587 7.83 8.82 44,332 -16,655 9,910 37,587 8.93 9.70 43,851 -25,302 19,038 37,587 6.21 6.84 19,347 -54,111 72,352 37,587 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 209 City of Clearwater Employees Pension Fund Security Capital as of 6/30/17 Cash & Equiv $528 1.40% Domestic Equity $37,059 98.60% Periods from 4/08 to 6/17 Alpha Beta R-Squared -0.13 1.00 0.99 Annualized Return% -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 26.0 28.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 s 1 T Annualized Standard Deviation% s Security Capital 1 Wilshire RESI T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 6.21 6.84 0.26 26.61 26.77 0.14 0.22 0.25 0.00 -0.27 Asset Allocation ($000) Risk/Return Analysis 210 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low s Security Capital Net Ret Rank 1 Wilshire RESI Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years 7.51 2.91 1.72 0.76 -6.74 0.79 74 1.91 45 23.99 8.77 4.99 -1.23 -13.60 -2.52 87 -1.23 75 20.96 11.00 9.51 4.68 -9.99 8.79 58 10.47 31 22.32 11.83 9.43 4.77 -7.28 7.83 65 8.82 54 24.43 12.61 10.41 6.62 -6.08 9.20 62 10.03 53 23.64 12.45 10.07 7.91 -4.01 8.93 67 9.70 55 20.48 12.89 10.42 6.97 -4.11 9.26 64 10.17 53 22.46 13.85 12.51 8.80 -4.78 12.53 49 13.50 28 18.97 12.64 10.05 4.71 -3.65 17.45 13 18.11 9 12.70 6.08 4.37 0.84 -11.42 7.77 18 8.35 14 -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% s1 s1 s 1 s1 s1 s1 s1 s1 s1 s1 211 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Real Estate Portfolios Years Ending December High 1st Qt Median 3rd Qt Low s Security Capital Net Ret Rank 1 Wilshire RESI Net Ret Rank 6/30/17 YTD 2016 2015 2014 2013 2012 2011 2010 2009 14.27 5.25 3.52 1.55 -6.88 0.74 80 2.42 66 22.91 10.16 8.05 3.60 -14.98 5.71 67 7.62 54 32.72 15.91 11.17 2.44 -21.27 4.70 67 4.81 66 37.91 21.11 13.34 8.77 -10.78 33.13 8 31.53 11 32.06 14.95 10.40 2.97 -6.80 1.60 85 2.15 81 32.05 17.62 11.44 5.63 -7.03 16.22 29 17.55 25 34.44 17.10 11.39 2.47 -15.86 6.86 65 8.56 61 30.94 18.57 13.85 1.00 -26.38 31.62 4 29.12 7 38.62 -0.46 -27.53 -34.25 -61.97 24.68 15 29.20 12 -70% -60% -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% s 1 s 1 s 1 s 1 s 1 s 1 s 1 s 1 s 1 212 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Real Estate Portfolios Annualized Rate of Return0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 -4.0 -1.2 1.5 4.3 7.2 10.0 12.8 15.6 18.4 21.1 23.9 s1MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank s Security Capital 1 Wilshire RESI Median 8.93 67 11.42 76 9.70 55 11.15 70 10.07 8.52 Annualized Rate of Return0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 -4.0 -1.2 1.5 4.3 7.2 10.0 12.8 15.6 18.4 21.1 23.9 s1MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 6/30/17 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank s Security Capital 1 Wilshire RESI Median 8.93 67 11.42 76 9.70 55 11.15 70 10.07 8.52 213 City of Clearwater Employees Pension Fund June 30, 2017 Cumulative Performance Comparison Total Returns of Real Estate Portfolios High 1st Qt Median 3rd Qt Low s Security Capital Net Ret Rank 1 Wilshire RESI Net Ret Rank 6/17 3/17 12/16 9/16 6/16 22.32 11.83 9.43 4.77 -7.28 7.83 65 8.82 54 22.48 12.72 10.47 5.78 -13.60 10.02 55 10.68 48 23.19 13.89 11.73 5.99 -11.99 13.79 25 14.05 23 25.42 14.28 12.01 7.37 -9.40 14.37 24 14.61 23 30.13 14.72 12.67 8.00 -8.49 13.41 40 14.07 28 -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% s 1 s 1 s 1 s 1 s 1 Security Capital Value Added Analysis - Net of Fee 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 -4.0% -3.5% -3.0% -2.5% -2.0% -1.5% -1.0% -0.5% 0.0% 0.5% 1.0% -0.3 -0.4 -0.7 0.8 -0.4 -0.3 0.6 -0.2 0.2 0.7 0.1 -0.6 0.2 0.2 -1.3 -0.9 0.7 -0.3 -0.6 -1.1 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. Wilshire RESI 214 City of Clearwater Employees Pension Fund Risk Measure Summary Security Capital Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 3 1 0.31 0.91 0.25 -2.51 0.79 -2.52 -2.52 2.80 0.72 -0.45 0.84 -1.07 -4.19 1.48 -0.89 2 2 -2.20 1.91 -1.23 -1.23 3.71 -0.46 5 7 0.93 1.00 0.50 -10.12 15.81 -2.52 21.41 12.81 1.02 -0.27 0.99 0.59 7.44 1.36 -0.66 4 8 -9.61 15.03 -1.23 23.55 12.46 0.69 9 11 0.95 1.01 0.40 -10.12 15.81 -2.52 33.13 11.42 1.02 -0.22 0.99 0.77 8.61 1.23 -0.57 8 12 -9.61 15.03 -1.23 31.53 11.15 0.85 13 23 0.97 0.99 0.36 -37.93 33.98 -45.85 118.01 27.45 1.00 -0.13 0.99 0.27 7.55 2.13 -0.27 12 24 -40.40 35.93 -45.65 115.40 27.45 0.30 215 City of Clearwater Employees Pension Fund USAA as of 6/30/17 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 6/30/15 USAA NCREIF ODCE Fund Index Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 6/30/15 USAA NCREIF ODCE Fund Index Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value -0.55 1.70 10,957 0 -61 10,896 1.65 3.50 10,850 -130 177 10,896 9.57 7.87 10,321 -388 963 10,896 9.10 9.82 5,000 4,304 1,592 10,896 Portfolio Performance (%) 216 City of Clearwater Employees Pension Fund USAA as of 6/30/17 Cash & Equiv $-23 -0.21% Real Estate $10,919 100.21% Periods from 6/15 to 6/17 Alpha Beta R-Squared N/A N/A N/A Annualized Return% 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 u1 T Annualized Standard Deviation% u USAA 1 NCREIF ODCE Fund I T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 9.10 9.82 0.34 3.80 1.46 0.11 2.30 6.51 0.00 -0.18 Asset Allocation ($000) Risk/Return Analysis (Number of returns < 12) 217 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low u USAA Net Ret Rank 1 NCREIF ODCE Fund Index Net Ret Rank Last Qtr Last Year Last 2 Years 7.51 2.91 1.72 0.76 -6.74 -0.55 84 1.70 50 23.99 8.77 4.99 -1.23 -13.60 9.57 22 7.87 33 20.96 11.00 9.51 4.68 -9.99 9.10 55 9.82 45 -15% -10% -5% 0% 5% 10% 15% 20% 25% u 1 u 1 u 1 218 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Real Estate Portfolios Years Ending December High 1st Qt Median 3rd Qt Low u USAA Net Ret Rank 1 NCREIF ODCE Fund Index Net Ret Rank 6/30/17 YTD 2016 14.27 5.25 3.52 1.55 -6.88 1.65 74 3.50 51 22.91 10.16 8.05 3.60 -14.98 12.34 17 8.76 39 -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% u 1 u 1 219 City of Clearwater Employees Pension Fund Risk Measure Summary USAA Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 1 3 1.22 0.75 -0.55 5.59 9.57 9.57 5.04 1.64 -0.73 0.37 1.80 5.53 4.72 0.34 0 4 1.70 2.11 7.87 7.87 0.42 17.79 1 7 0.93 0.50 -0.55 5.59 7.78 14.21 3.80 0.68 0.57 0.14 2.30 12.81 3.93 -0.18 0 8 1.70 3.68 7.87 11.81 1.46 6.51 220 City of Clearwater Employees Pension Fund Multi Employer Property Trust as of 6/30/17 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 9/30/10 Multi Employer Property Trust NCREIF ODCE Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 9/30/10 Multi Employer Property Trust NCREIF ODCE Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 1.43 1.70 44,629 0 639 45,267 2.73 3.50 44,062 0 1,205 45,267 6.16 7.87 42,639 0 2,629 45,267 9.82 11.34 34,175 0 11,092 45,267 9.50 11.78 24,545 5,000 15,722 45,267 10.25 12.71 0 25,000 20,267 45,267 Portfolio Performance (%) 221 City of Clearwater Employees Pension Fund Multi Employer Property Trust as of 6/30/17 Cash & Equiv $0 0.00% Real Estate $45,267 100.00% Periods from 9/10 to 6/17 Alpha Beta R-Squared -0.22 0.89 0.68 Annualized Return% 0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8 2.0 2.2 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 M 1 T Annualized Standard Deviation% M Multi Employer Property 1 NCREIF ODCE T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 10.25 12.71 0.16 1.97 1.65 0.09 5.12 7.59 0.00 -1.78 Asset Allocation ($000) Risk/Return Analysis 222 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low M Multi Employer Property Trust Net Ret Rank O NCREIF ODCE Fund Index Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years 7.51 2.91 1.72 0.76 -6.74 1.43 63 1.70 50 23.99 8.77 4.99 -1.23 -13.60 6.16 44 7.87 33 20.96 11.00 9.51 4.68 -9.99 8.45 60 9.82 45 22.32 11.83 9.43 4.77 -7.28 9.82 45 11.34 28 24.43 12.61 10.41 6.62 -6.08 10.48 49 11.69 34 23.64 12.45 10.07 7.91 -4.01 9.50 57 11.78 33 20.48 12.89 10.42 6.97 -4.11 9.55 62 11.89 33 -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% M O M O M O M O M O M O M O 223 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Real Estate Portfolios Years Ending December High 1st Qt Median 3rd Qt Low M Multi Employer Property Trust Net Ret Rank O NCREIF ODCE Fund Index Net Ret Rank 6/30/17 YTD 2016 2015 2014 2013 2012 2011 14.27 5.25 3.52 1.55 -6.88 2.73 58 3.50 51 22.91 10.16 8.05 3.60 -14.98 8.02 50 8.76 39 32.72 15.91 11.17 2.44 -21.27 12.00 47 15.01 32 37.91 21.11 13.34 8.77 -10.78 12.21 57 12.49 56 32.06 14.95 10.40 2.97 -6.80 11.83 42 13.94 30 32.05 17.62 11.44 5.63 -7.03 4.70 78 10.94 54 34.44 17.10 11.39 2.47 -15.86 12.99 44 15.99 27 -25% -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% M O M O M O M O M O M O M O 224 City of Clearwater Employees Pension Fund June 30, 2017 Cumulative Performance Comparison Total Returns of Real Estate Portfolios High 1st Qt Median 3rd Qt Low M Multi Employer Property Trust Net Ret Rank 1 NCREIF ODCE Net Ret Rank 6/17 3/17 12/16 9/16 6/16 22.32 11.83 9.43 4.77 -7.28 9.82 45 11.34 28 22.48 12.72 10.47 5.78 -13.60 10.15 54 11.78 33 23.19 13.89 11.73 5.99 -11.99 10.72 61 12.06 46 25.42 14.28 12.01 7.37 -9.40 11.36 58 12.45 46 30.13 14.72 12.67 8.00 -8.49 11.95 56 12.99 45 -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% M 1 M 1 M 1 M 1 M 1 Multi Employer Property Trust Value Added Analysis - Net of Fee 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 -10.0% -9.0% -8.0% -7.0% -6.0% -5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 1.0% -1.7 -2.4 -0.7 -1.2 0.0 0.0 0.3 -0.6 0.1 -0.1 -0.5 -1.1 -0.5 -0.6 0.6 -0.4 -0.2 -0.7 -0.5 -0.3 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. NCREIF ODCE 225 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Real Estate Portfolios 3 Years Ending 6/30/17 Annualized Rate of Return0.0 1.8 3.6 5.4 7.2 9.0 10.8 12.6 14.4 16.2 18.0 -4.0 -1.4 1.1 3.7 6.3 9.0 11.6 14.2 16.8 19.4 22.0 M 1 MedianRiskMedian Return Historical Standard Deviation of Return Annualized Net of Fee Return Standard Deviation Value Rank Value Rank M Multi Employer Property Trust 1 NCREIF ODCE Median 9.82 45 1.52 3 11.34 28 1.58 5 9.43 9.16 226 City of Clearwater Employees Pension Fund Risk Measure Summary Multi Employer Property Trust Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 0.78 0.00 1.29 1.91 6.16 6.16 0.55 0.77 0.01 0.93 10.36 7.38 0.48 -3.36 0 4 1.70 2.11 7.87 7.87 0.42 17.79 0 12 0.87 0.17 1.29 3.31 6.16 12.62 1.52 0.85 0.04 0.86 6.29 11.26 0.84 -1.66 0 12 1.70 3.82 7.87 15.01 1.58 7.01 1 19 0.81 0.15 -0.12 3.53 5.69 12.79 1.87 0.87 -0.15 0.59 4.99 10.77 1.40 -1.50 0 20 1.70 3.86 7.87 15.01 1.38 8.38 1 26 0.81 0.11 -0.12 4.72 4.70 15.44 1.97 0.89 -0.22 0.68 5.12 11.40 1.26 -1.78 0 27 1.70 4.99 7.87 18.27 1.65 7.59 227 City of Clearwater Employees Pension Fund Molpus Woodlands Group as of 6/30/17 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 6/30/11 Molpus Woodlands Group NCREIF Timberland Index Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 6/30/11 Molpus Woodlands Group NCREIF Timberland Index Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 0.00 0.70 11,915 0 0 11,915 0.32 1.47 11,655 -99 360 11,915 1.01 3.35 9,979 1,509 428 11,915 3.06 5.54 7,593 3,244 1,078 11,915 5.29 7.16 6,544 3,187 2,184 11,915 4.41 6.13 111 9,691 2,113 11,915 Portfolio Performance (%) 228 City of Clearwater Employees Pension Fund Molpus Woodlands Group as of 6/30/17 Real Estate $11,915 100.00% Periods from 6/11 to 6/17 Alpha Beta R-Squared 0.17 0.53 0.18 Annualized Return% 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5 M 1 T Annualized Standard Deviation% M Molpus Woodlands Group 1 NCREIF Timberland Index T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 4.41 6.13 0.15 4.81 4.33 0.06 0.89 1.38 0.00 -0.49 Asset Allocation ($000) Risk/Return Analysis 229 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low M Molpus Woodlands Group Net Ret Rank 1 NCREIF Timberland Index Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years 7.51 2.91 1.72 0.76 -6.74 0.00 81 0.70 76 23.99 8.77 4.99 -1.23 -13.60 1.01 63 3.35 56 20.96 11.00 9.51 4.68 -9.99 1.47 82 3.37 79 22.32 11.83 9.43 4.77 -7.28 3.06 80 5.54 72 -15% -10% -5% 0% 5% 10% 15% 20% 25% M 1 M 1 M 1 M 1 230 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Real Estate Portfolios Years Ending December High 1st Qt Median 3rd Qt Low M Molpus Woodlands Group Net Ret Rank 1 NCREIF Timberland Index Net Ret Rank 6/30/17 YTD 2016 2015 2014 2013 2012 14.27 5.25 3.52 1.55 -6.88 0.32 82 1.47 75 22.91 10.16 8.05 3.60 -14.98 0.48 84 2.59 78 32.72 15.91 11.17 2.44 -21.27 2.64 73 4.97 65 37.91 21.11 13.34 8.77 -10.78 7.02 79 10.50 68 32.06 14.95 10.40 2.97 -6.80 15.16 24 9.68 52 32.05 17.62 11.44 5.63 -7.03 0.77 87 7.75 69 -25% -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% M 1 M 1 M 1 M 1 M 1 M 1 231 City of Clearwater Employees Pension Fund June 30, 2017 Cumulative Performance Comparison Total Returns of Real Estate Portfolios High 1st Qt Median 3rd Qt Low M Molpus Woodlands Group Net Ret Rank 1 NCREIF Timberland Index Net Ret Rank 6/17 3/17 12/16 9/16 6/16 22.32 11.83 9.43 4.77 -7.28 3.06 80 5.54 72 22.48 12.72 10.47 5.78 -13.60 3.12 81 5.67 75 23.19 13.89 11.73 5.99 -11.99 3.34 82 5.97 75 25.42 14.28 12.01 7.37 -9.40 4.42 81 7.60 74 30.13 14.72 12.67 8.00 -8.49 5.35 82 7.73 76 -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% M 1 M 1 M 1 M 1 M 1 Molpus Woodlands Group Value Added Analysis - Net of Fee 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 -10.0% -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 0.9 -5.7 -1.4 6.9 2.3 -2.6 -0.6 -0.9 -1.8 0.1 -1.4 -0.3 -1.6 1.2 -0.3 -0.6 0.0 -1.2 -0.4 -0.7 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. NCREIF Timberland Index 232 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Real Estate Portfolios 3 Years Ending 6/30/17 Annualized Rate of Return0.0 1.8 3.6 5.4 7.2 9.0 10.8 12.6 14.4 16.2 18.0 -4.0 -1.4 1.1 3.7 6.3 9.0 11.6 14.2 16.8 19.4 22.0 M 1 MedianRiskMedian Return Historical Standard Deviation of Return Annualized Net of Fee Return Standard Deviation Value Rank Value Rank M Molpus Woodlands Group 1 NCREIF Timberland Index Median 3.06 80 3.89 30 5.54 72 3.15 25 9.43 9.16 233 City of Clearwater Employees Pension Fund Risk Measure Summary Molpus Woodlands Group Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 0.30 0.25 0.00 0.68 1.01 1.01 0.65 0.02 0.12 0.00 0.80 29.74 1.00 -2.29 0 4 0.67 1.18 3.35 3.35 0.48 6.02 3 9 0.58 2.10 0.25 -0.87 6.14 0.48 6.31 3.89 1.08 -0.70 0.81 0.73 2.61 1.69 -1.40 1 11 -0.26 6.02 2.59 10.02 3.15 1.68 4 16 0.75 2.10 0.30 -0.87 7.86 0.48 16.17 4.61 0.45 0.50 0.14 1.11 11.30 4.82 -0.38 1 19 -0.26 6.02 2.59 10.64 3.74 1.87 8 16 0.66 2.02 0.25 -1.35 7.86 -2.71 16.17 4.47 0.53 0.17 0.18 0.84 7.15 4.42 -0.49 2 22 -0.35 6.02 1.13 10.64 3.60 1.66 234 City of Clearwater Employees Pension Fund Hancock as of 6/30/17 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 5/31/12 Hancock NCREIF Timberland Index Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 5/31/12 Hancock NCREIF Timberland Index Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 0.00 0.70 8,394 -68 0 8,326 -0.14 1.47 8,083 -68 311 8,326 -0.66 3.35 8,193 -136 268 8,326 2.56 5.54 4,642 2,965 719 8,326 4.80 7.16 1,263 5,773 1,290 8,326 5.52 7.17 1,263 5,788 1,274 8,326 Portfolio Performance (%) 235 City of Clearwater Employees Pension Fund Hancock as of 6/30/17 Real Estate $8,326 100.00% Periods from 5/12 to 6/17 Alpha Beta R-Squared -1.56 1.60 0.74 Annualized Return% -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 H 1 T Annualized Standard Deviation% H Hancock 1 NCREIF Timberland Index T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 5.52 7.17 0.17 7.41 4.64 0.06 0.72 1.51 0.00 -0.50 Asset Allocation ($000) Risk/Return Analysis 236 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low H Hancock Net Ret Rank 1 NCREIF Timberland Index Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years 7.51 2.91 1.72 0.76 -6.74 0.00 81 0.70 76 23.99 8.77 4.99 -1.23 -13.60 -0.66 72 3.35 56 20.96 11.00 9.51 4.68 -9.99 2.00 82 3.37 79 22.32 11.83 9.43 4.77 -7.28 2.56 83 5.54 72 -15% -10% -5% 0% 5% 10% 15% 20% 25% H 1 H 1 H 1 H 1 237 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Real Estate Portfolios Years Ending December High 1st Qt Median 3rd Qt Low H Hancock Net Ret Rank 1 NCREIF Timberland Index Net Ret Rank 6/30/17 YTD 2016 2015 2014 2013 14.27 5.25 3.52 1.55 -6.88 -0.14 84 1.47 75 22.91 10.16 8.05 3.60 -14.98 -1.27 87 2.59 78 32.72 15.91 11.17 2.44 -21.27 4.51 67 4.97 65 37.91 21.11 13.34 8.77 -10.78 4.58 83 10.50 68 32.06 14.95 10.40 2.97 -6.80 8.91 55 9.68 52 -25% -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% H 1 H 1 H 1 H 1 H 1 238 City of Clearwater Employees Pension Fund June 30, 2017 Cumulative Performance Comparison Total Returns of Real Estate Portfolios High 1st Qt Median 3rd Qt Low H Hancock Net Ret Rank 1 NCREIF Timberland Index Net Ret Rank 6/17 3/17 12/16 9/16 6/16 22.32 11.83 9.43 4.77 -7.28 2.56 83 5.54 72 22.48 12.72 10.47 5.78 -13.60 2.38 83 5.67 75 23.19 13.89 11.73 5.99 -11.99 2.57 83 5.97 75 25.42 14.28 12.01 7.37 -9.40 6.49 78 7.60 74 30.13 14.72 12.67 8.00 -8.49 6.56 80 7.73 76 -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% H 1 H 1 H 1 H 1 H 1 Hancock Value Added Analysis - Net of Fee 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 -12.0% -10.0% -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% -1.3 2.2 -3.5 -1.2 -1.4 5.6 -1.2 -1.6 -1.6 -1.1 -2.3 -0.9 -0.9 3.7 -0.2 -1.2 -1.2 -1.2 -0.9 -0.7 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. NCREIF Timberland Index 239 City of Clearwater Employees Pension Fund Risk Measure Summary Hancock Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 2 2 -0.20 0.00 -0.52 0.00 -0.66 -0.66 0.49 -0.14 -0.19 0.06 -2.32 8.24 0.47 -8.24 0 4 0.67 1.18 3.35 3.35 0.48 6.02 8 4 0.48 1.89 0.08 -0.54 5.67 -1.27 4.72 4.35 0.96 -0.67 0.52 0.53 2.42 3.02 -0.95 1 11 -0.26 6.02 2.59 10.02 3.15 1.68 12 8 0.70 1.89 0.15 -1.83 11.90 -1.27 12.16 7.10 1.60 -1.51 0.74 0.67 2.99 4.28 -0.48 1 19 -0.26 6.02 2.59 10.64 3.74 1.87 12 8 0.70 1.89 0.15 -1.83 11.90 -1.27 12.16 7.10 1.60 -1.51 0.74 0.67 2.99 4.28 -0.48 1 19 -0.26 6.02 2.59 10.64 3.74 1.87 240 City of Clearwater Employees Pension Fund U.S. Real Estate Investment Fund as of 6/30/17 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 12/31/15 U.S. Real Estate Investment Fund NCREIF ODCE Fund Index Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 12/31/15 U.S. Real Estate Investment Fund NCREIF ODCE Fund Index Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 1.18 1.70 11,242 0 133 11,375 3.53 3.50 11,081 -95 389 11,375 12.13 7.87 10,231 -95 1,240 11,375 9.53 8.21 5,708 4,204 1,462 11,375 Portfolio Performance (%) 241 City of Clearwater Employees Pension Fund U.S. Real Estate Investment Fund as of 6/30/17 Real Estate $11,375 100.00% Periods from 12/15 to 6/17 Alpha Beta R-Squared N/A N/A N/A Annualized Return% 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 u 1 T Annualized Standard Deviation% u U.S. Real Estate Investm 1 NCREIF ODCE Fund I T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 9.53 8.21 0.42 4.80 3.37 0.07 1.90 2.31 0.00 0.42 Asset Allocation ($000) Risk/Return Analysis (Number of returns < 12) 242 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 6/17 High 1st Qt Median 3rd Qt Low u U.S. Real Estate Investment Fund Net Ret Rank 1 NCREIF ODCE Fund Index Net Ret Rank Last Qtr Last 2 Qtrs Last 3 Qtrs Last 4 Qtrs 7.51 2.91 1.72 0.76 -6.74 1.18 68 1.70 50 14.27 5.25 3.52 1.55 -6.88 3.53 49 3.50 51 18.61 6.44 2.91 -0.57 -8.96 8.22 14 5.68 32 23.99 8.77 4.99 -1.23 -13.60 12.13 14 7.87 33 -15% -10% -5% 0% 5% 10% 15% 20% 25% u 1 u 1 u 1 u 1 243 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Real Estate Portfolios Years Ending December High 1st Qt Median 3rd Qt Low u U.S. Real Estate Investment Fund Net Ret Rank 1 NCREIF ODCE Fund Index Net Ret Rank 6/30/17 YTD 2016 14.27 5.25 3.52 1.55 -6.88 3.53 49 3.50 51 22.91 10.16 8.05 3.60 -14.98 10.72 22 8.76 39 -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% u 1 u 1 244 City of Clearwater Employees Pension Fund Risk Measure Summary U.S. Real Estate Investment Fund Quarterly Periods Ending 6/30/17 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 1.54 0.75 1.18 4.53 12.13 12.13 2.93 1.80 -0.44 0.75 3.97 6.46 2.54 1.59 0 4 1.70 2.11 7.87 7.87 0.42 17.79 0 6 1.16 0.50 0.64 4.53 10.72 12.57 3.00 1.18 -0.03 0.33 3.04 7.69 2.95 0.42 0 6 1.70 2.18 7.87 8.76 0.41 19.06 245 246 5XVVHOO9DOXH$VHJPHQWRIWKH5XVVHOOZLWKDOHVVWKDQDYHUDJHJURZWKRULHQWDWLRQ&RPSDQLHVLQWKLV LQGH[KDYHORZSULFHWRERRNDQGSULFHWRHDUQLQJVUDWLRVKLJKHUGLYLGHQG\LHOGVDQGORZHUIRUHFDVWHGJURZWKYDOXHV 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over Memo City of Clearwater City Hall 112 S. Osceola Avenue Clearwater, FL 33756 File Number: ID#17-3940 Agenda Date: 10/16/2017 Status: Agenda ReadyVersion: 1 File Type: Action ItemIn Control: Pension Trustees Agenda Number: 4.5 SUBJECT/RECOMMENDATION: Approve investment of up to $40,000,000 in the Dimensional Fund Advisors (DFA) Emerging Markets Core Equity Portfolio mutual fund and authorize the appropriate officials to execute same. SUMMARY: The plan’s emerging markets international equity money manager has been recommended for termination per a previous agenda item. At the May 2017 pension investment committee quarterly meeting, the committee requested the plan’s investment performance consultant, CapTrust Advisors, to conduct a manager search for a replacement emerging markets equity manager. At a special meeting of the committee on June 19, 2017, the committee unanimously selected DFA Emerging Markets Core Equity Portfolio for a due diligence interview of the firm, which was subsequently conducted at the committee’s August 2017 quarterly meeting. The pension investment committee unanimously recommends DFA Emerging Markets Core Equity Portfolio mutual fund to the Trustees for an investment of up to $40 million, or approximately 4% of the total plan investment portfolio. As of July 31, 2017, DFA Emerging Markets Core Equity Portfolio ’s performance over the past ten years has been as follow: Performance Benchmark Last 3 years 2.98% 2.39% Last 5 years 5.69% 4.76% Last 10 years 2.92% 1.98% The DFA Emerging Markets Core Equity Portfolio mutual fund is only available to institutional investors. It has a management fee of 0.47% and a net expense ratio of 0.53% per the fund’s February 2017 prospectus. APPROPRIATION CODE AND AMOUNT: 0646-07410-530100-585-000-0000 $188,000 annually Page 1 City of Clearwater Printed on 10/12/2017 File Number: ID#17-3940 Page 2 City of Clearwater Printed on 10/12/2017 Prospectus Supplement DFA INVESTMENT DIMENSIONS GROUP INC. Enhanced U.S. Large Company Portfolio Supplement to the Prospectus Dated February 28, 2017 The purpose of this Supplement to the Prospectus of the Enhanced U.S. Large Company Portfolio (the “Portfolio”), a series of DFA Investment Dimensions Group Inc., is to reflect the approval of a Fee Waiver and Expense Assumption Agreement for the Portfolio. Effective April 3, 2017, Dimensional Fund Advisors LP has contractually agreed to waive certain fees and in certain instances, assume certain expenses of the Portfolio. Accordingly, the Prospectus is revised as follows: (1) In the “Enhanced U.S. Large Company Portfolio—Fees and Expenses of the Portfolio” section of the Prospectus on page 5, the Annual Fund Operating Expenses table and Example are deleted in their entirety and replaced with the following: Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) Management Fee 0.20% Other Expenses 0.03% Total Annual Fund Operating Expenses 0.23% Fee Waiver and/or Expense Reimbursement* 0.08% Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement 0.15% *Dimensional Fund Advisors LP (the “Advisor”) has agreed to waive certain fees and in certain instances, assume certain expenses of the Enhanced U.S. Large Company Portfolio. The Fee Waiver and Expense Assumption Agreement for the Portfolio will remain in effect through February 28, 2019, and may only be terminated by the Fund’s Board of Directors prior to that date. Under certain circumstances, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed up to thirty-six months after such fee waiver and/or expense assumption. EXAMPLE This Example is meant to help you compare the cost of investing in the Enhanced U.S. Large Company Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. The costs for the Portfolio reflect the net expenses of the Portfolio that result from the contractual expense waiver and assumption in the first year only. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $15 $66 $121 $285 (2) In the “MANAGEMENT OF THE FUNDS—Fee Waiver and Expense Assumption Agreements” section of the Prospectus on page 203, the first paragraph is deleted in its entirety and replaced with the following: 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 Portfolios below, and a portion of the Fee Waiver Agreement for certain Feeder Portfolios below, will remain in effect through February 28, 2018 (and February 28, 2019, with respect to the Enhanced U.S. Large Company Portfolio), 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 a Fund or the Advisor. The Fee Waiver Agreement with respect to the total management fees paid by the Feeder Portfolios, as described in the notes below, will remain in effect permanently, unless terminated by a Fund. 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. (3) In the “MANAGEMENT OF THE FUNDS—Fee Waiver and Expense Assumption Agreements” section of the Prospectus on page 203, the following is added after the second paragraph and its accompanying table: Enhanced U.S. Large Company Portfolio 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 Enhanced U.S. Large Company Portfolio (excluding the expenses that the Portfolio incurs indirectly 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 below 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 annualized Portfolio Expenses of the Portfolio are less than the Expense Limitation Amount identified below, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that the amount of such recovery will not cause the annualized Portfolio Expenses of the Portfolio to exceed the applicable Expense Limitation Amount identified below. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. Portfolio Expense Limitation Amount Enhanced U.S. Large Company Portfolio 0.15% The date of this Supplement is April 3, 2017 SUPP040317-001 Prospectus February 28, 2017 DFA INVESTMENT DIMENSIONS GROUP INC. / DIMENSIONAL INVESTMENT GROUP INC. U.S. U.S. Large Company Portfolio (DFUSX) Enhanced U.S. Large Company Portfolio (DFELX) U.S. Large Cap Equity Portfolio (DUSQX) U.S. Large Cap Value Portfolio (DFLVX) U.S. Small Cap Value Portfolio (DFSVX) U.S. Targeted Value Portfolio (DFFVX) U.S. Core Equity 1 Portfolio (DFEOX) U.S. Core Equity 2 Portfolio (DFQTX) U.S. Vector Equity Portfolio (DFVEX) U.S. Small Cap Portfolio (DFSTX) U.S. Micro Cap Portfolio (DFSCX) DFA Real Estate Securities Portfolio (DFREX) INTERNATIONAL Large Cap International Portfolio (DFALX) DFA International Value Portfolio (DFIVX) International Core Equity Portfolio (DFIEX) Global Small Company Portfolio (DGLIX) International Small Company Portfolio (DFISX) Japanese Small Company Portfolio (DFJSX) Asia Pacific Small Company Portfolio (DFRSX) United Kingdom Small Company Portfolio (DFUKX) Continental Small Company Portfolio (DFCSX) DFA International Real Estate Securities Portfolio (DFITX) DFA Global Real Estate Securities Portfolio (DFGEX) DFA International Small Cap Value Portfolio (DISVX) International Vector Equity Portfolio (DFVQX) World ex U.S. Value Portfolio (DFWVX) WorldexU.S.TargetedValue Portfolio (DWUSX) World ex U.S. Core Equity Portfolio (DFWIX) World Core Equity Portfolio (DREIX) Selectively Hedged Global Equity Portfolio (DSHGX) Emerging Markets Portfolio (DFEMX) Emerging Markets Value Portfolio (DFEVX) Emerging Markets Small Cap Portfolio (DEMSX) Emerging Markets Core Equity Portfolio (DFCEX) Institutional Class Shares This Prospectus describes the Institutional Class shares of each Portfolio which: Are for long-term investors. Are generally available only to institutional investors and clients of registered investment advisors. Do not charge sales commissions or loads. The Securities and Exchange Commission has not approved or disapproved these securities or passed upon the adequacy of this Prospectus. Any representation to the contrary is a criminal offense. Table of Contents U.S. Large Company Portfolio .................................................................. 1 Investment Objective ..................................................................... 1 Fees and Expenses of the Portfolio .......................................................... 1 Principal Investment Strategies .............................................................. 1 Principal Risks ............................................................................ 2 Performance ............................................................................. 3 Investment Advisor/Portfolio Management .................................................... 4 Purchase and Redemption of Fund Shares .................................................... 4 Tax Information .......................................................................... 4 Payments to Financial Intermediaries ........................................................ 4 Enhanced U.S. Large Company Portfolio ......................................................... 5 Investment Objective ..................................................................... 5 Fees and Expenses of the Portfolio .......................................................... 5 Principal Investment Strategies .............................................................. 5 Principal Risks ............................................................................ 6 Performance ............................................................................. 8 Investment Advisor/Portfolio Management .................................................... 9 Purchase and Redemption of Fund Shares .................................................... 9 Tax Information .......................................................................... 9 Payments to Financial Intermediaries ......................................................... 9 U.S. Large Cap Equity Portfolio ................................................................ 10 Investment Objective ..................................................................... 10 Fees and Expenses of the Portfolio .......................................................... 10 Principal Investment Strategies ............................................................. 11 Principal Risks ........................................................................... 11 Performance ............................................................................ 12 Investment Advisor/Portfolio Management ................................................... 13 Purchase and Redemption of Fund Shares .................................................... 13 Tax Information .......................................................................... 13 Payments to Financial Intermediaries ......................................................... 13 U.S. Large Cap Value Portfolio ................................................................. 14 Investment Objective ..................................................................... 14 Fees and Expenses of the Portfolio .......................................................... 14 Principal Investment Strategies .............................................................. 15 Principal Risks ............................................................................ 15 Performance ............................................................................. 16 Investment Advisor/Portfolio Management .................................................... 17 i Purchase and Redemption of Fund Shares .................................................... 17 Tax Information .......................................................................... 18 Payments to Financial Intermediaries ......................................................... 18 U.S. Small Cap Value Portfolio .................................................................. 19 Investment Objective ..................................................................... 19 Fees and Expenses of the Portfolio .......................................................... 19 Principal Investment Strategies .............................................................. 19 Principal Risks ............................................................................ 20 Performance ............................................................................. 21 Investment Advisor/Portfolio Management .................................................... 22 Purchase and Redemption of Fund Shares .................................................... 22 Tax Information .......................................................................... 22 Payments to Financial Intermediaries ......................................................... 22 U.S. Targeted Value Portfolio .................................................................. 23 Investment Objective ..................................................................... 23 Fees and Expenses of the Portfolio .......................................................... 23 Principal Investment Strategies .............................................................. 23 Principal Risks ............................................................................ 24 Performance ............................................................................. 25 Investment Advisor/Portfolio Management .................................................... 26 Purchase and Redemption of Fund Shares .................................................... 26 Tax Information .......................................................................... 26 Payments to Financial Intermediaries ......................................................... 26 U.S. Core Equity 1 Portfolio .................................................................... 27 Investment Objective ..................................................................... 27 Fees and Expenses of the Portfolio .......................................................... 27 Principal Investment Strategies .............................................................. 27 Principal Risks ............................................................................ 28 Performance ............................................................................. 29 Investment Advisor/Portfolio Management .................................................... 30 Purchase and Redemption of Fund Shares .................................................... 30 Tax Information .......................................................................... 30 Payments to Financial Intermediaries ......................................................... 30 U.S. Core Equity 2 Portfolio .................................................................... 31 Investment Objective ..................................................................... 31 Fees and Expenses of the Portfolio .......................................................... 31 Principal Investment Strategies .............................................................. 31 Principal Risks ............................................................................ 32 Performance ............................................................................. 33 ii Investment Advisor/Portfolio Management .................................................... 34 Purchase and Redemption of Fund Shares .................................................... 34 Tax Information .......................................................................... 34 Payments to Financial Intermediaries ......................................................... 34 U.S. Vector Equity Portfolio .................................................................... 35 Investment Objective ..................................................................... 35 Fees and Expenses of the Portfolio .......................................................... 35 Principal Investment Strategies .............................................................. 35 Principal Risks ............................................................................ 36 Performance ............................................................................. 37 Investment Advisor/Portfolio Management .................................................... 38 Purchase and Redemption of Fund Shares .................................................... 38 Tax Information .......................................................................... 38 Payments to Financial Intermediaries ......................................................... 38 U.S. Small Cap Portfolio ....................................................................... 39 Investment Objective ..................................................................... 39 Fees and Expenses of the Portfolio .......................................................... 39 Principal Investment Strategies .............................................................. 39 Principal Risks ............................................................................ 40 Performance ............................................................................. 41 Investment Advisor/Portfolio Management .................................................... 42 Purchase and Redemption of Fund Shares .................................................... 42 Tax Information .......................................................................... 42 Payments to Financial Intermediaries ......................................................... 42 U.S. Micro Cap Portfolio ....................................................................... 43 Investment Objective ..................................................................... 43 Fees and Expenses of the Portfolio .......................................................... 43 Principal Investment Strategies .............................................................. 43 Principal Risks ............................................................................ 44 Performance ............................................................................. 45 Investment Advisor/Portfolio Management .................................................... 46 Purchase and Redemption of Fund Shares .................................................... 46 Tax Information .......................................................................... 46 Payments to Financial Intermediaries ......................................................... 46 DFA Real Estate Securities Portfolio ............................................................. 47 Investment Objective ..................................................................... 47 Fees and Expenses of the Portfolio .......................................................... 47 Principal Investment Strategies .............................................................. 48 Principal Risks ............................................................................ 48 iii Performance ............................................................................. 49 Investment Advisor/Portfolio Management .................................................... 50 Purchase and Redemption of Fund Shares .................................................... 51 Tax Information .......................................................................... 51 Payments to Financial Intermediaries ......................................................... 51 Large Cap International Portfolio ............................................................... 52 Investment Objective ..................................................................... 52 Fees and Expenses of the Portfolio .......................................................... 52 Principal Investment Strategies .............................................................. 52 Principal Risks ............................................................................ 53 Performance ............................................................................. 54 Investment Advisor/Portfolio Management .................................................... 55 Purchase and Redemption of Fund Shares .................................................... 55 Tax Information .......................................................................... 55 Payments to Financial Intermediaries ......................................................... 56 DFA International Value Portfolio ............................................................... 57 Investment Objective ..................................................................... 57 Fees and Expenses of the Portfolio .......................................................... 57 Principal Investment Strategies .............................................................. 58 Principal Risks ............................................................................ 58 Performance ............................................................................. 59 Investment Advisor/Portfolio Management .................................................... 60 Purchase and Redemption of Fund Shares .................................................... 61 Tax Information .......................................................................... 61 Payments to Financial Intermediaries ........................................................ 61 International Core Equity Portfolio .............................................................. 62 Investment Objective ..................................................................... 62 Fees and Expenses of the Portfolio .......................................................... 62 Principal Investment Strategies .............................................................. 62 Principal Risks ............................................................................ 63 Performance ............................................................................. 64 Investment Advisor/Portfolio Management .................................................... 65 Purchase and Redemption of Fund Shares .................................................... 66 Tax Information .......................................................................... 66 Payments to Financial Intermediaries ........................................................ 66 Global Small Company Portfolio ................................................................ 67 Investment Objective ..................................................................... 67 Fees and Expenses of the Portfolio .......................................................... 67 Principal Investment Strategies ............................................................. 68 iv Principal Risks ........................................................................... 69 Performance ............................................................................ 70 Investment Advisor/Portfolio Management ................................................... 70 Purchase and Redemption of Fund Shares .................................................... 71 Tax Information .......................................................................... 71 Payments to Financial Intermediaries ........................................................ 71 International Small Company Portfolio ........................................................... 72 Investment Objective ..................................................................... 72 Fees and Expenses of the Portfolio .......................................................... 72 Principal Investment Strategies .............................................................. 72 Principal Risks ............................................................................ 73 Performance ............................................................................. 74 Investment Advisor/Portfolio Management .................................................... 75 Purchase and Redemption of Fund Shares .................................................... 76 Tax Information .......................................................................... 76 Payments to Financial Intermediaries ........................................................ 76 Japanese Small Company Portfolio ............................................................. 77 Investment Objective ..................................................................... 77 Fees and Expenses of the Portfolio .......................................................... 77 Principal Investment Strategies .............................................................. 78 Principal Risks ............................................................................ 78 Performance ............................................................................. 79 Investment Advisor/Portfolio Management .................................................... 80 Purchase and Redemption of Fund Shares .................................................... 81 Tax Information .......................................................................... 81 Payments to Financial Intermediaries ........................................................ 81 Asia Pacific Small Company Portfolio ............................................................ 82 Investment Objective ..................................................................... 82 Fees and Expenses of the Portfolio .......................................................... 82 Principal Investment Strategies .............................................................. 83 Principal Risks ............................................................................ 83 Performance ............................................................................. 84 Investment Advisor/Portfolio Management .................................................... 85 Purchase and Redemption of Fund Shares .................................................... 86 Tax Information .......................................................................... 86 Payments to Financial Intermediaries ........................................................ 86 United Kingdom Small Company Portfolio ....................................................... 87 Investment Objective ..................................................................... 87 Fees and Expenses of the Portfolio .......................................................... 87 v Principal Investment Strategies ............................................................ 88 Principal Risks ........................................................................... 88 Performance ............................................................................ 89 Investment Advisor/Portfolio Management ................................................... 90 Purchase and Redemption of Fund Shares ................................................... 91 Tax Information ......................................................................... 91 Payments to Financial Intermediaries ....................................................... 91 Continental Small Company Portfolio ........................................................... 92 Investment Objective .................................................................... 92 Fees and Expenses of the Portfolio ......................................................... 92 Principal Investment Strategies ............................................................ 93 Principal Risks ........................................................................... 93 Performance ............................................................................ 94 Investment Advisor/Portfolio Management ................................................... 95 Purchase and Redemption of Fund Shares ................................................... 96 Tax Information ......................................................................... 96 Payments to Financial Intermediaries ....................................................... 96 DFA International Real Estate Securities Portfolio ................................................. 97 Investment Objective .................................................................... 97 Fees and Expenses of the Portfolio ......................................................... 97 Principal Investment Strategies ............................................................ 97 Principal Risks ........................................................................... 98 Performance ............................................................................ 99 Investment Advisor/Portfolio Management ................................................... 101 Purchase and Redemption of Fund Shares ................................................... 101 Tax Information ......................................................................... 101 Payments to Financial Intermediaries ....................................................... 101 DFA Global Real Estate Securities Portfolio ...................................................... 102 Investment Objective .................................................................... 102 Fees and Expenses of the Portfolio ......................................................... 102 Principal Investment Strategies ............................................................ 103 Principal Risks ........................................................................... 103 Performance ............................................................................ 105 Investment Advisor/Portfolio Management ................................................... 106 Purchase and Redemption of Fund Shares ................................................... 107 Tax Information ......................................................................... 107 Payments to Financial Intermediaries ....................................................... 107 DFA International Small Cap Value Portfolio ..................................................... 108 Investment Objective .................................................................... 108 vi Fees and Expenses of the Portfolio ......................................................... 108 Principal Investment Strategies ............................................................ 108 Principal Risks ........................................................................... 109 Performance ............................................................................ 110 Investment Advisor/Portfolio Management ................................................... 111 Purchase and Redemption of Fund Shares ................................................... 112 Tax Information ......................................................................... 112 Payments to Financial Intermediaries ....................................................... 112 International Vector Equity Portfolio ............................................................ 113 Investment Objective .................................................................... 113 Fees and Expenses of the Portfolio ......................................................... 113 Principal Investment Strategies ............................................................ 113 Principal Risks ........................................................................... 114 Performance ............................................................................ 115 Investment Advisor/Portfolio Management ................................................... 116 Purchase and Redemption of Fund Shares ................................................... 117 Tax Information ......................................................................... 117 Payments to Financial Intermediaries ....................................................... 117 World ex U.S. Value Portfolio ................................................................. 118 Investment Objective .................................................................... 118 Fees and Expenses of the Portfolio ......................................................... 118 Principal Investment Strategies ............................................................ 119 Principal Risks ........................................................................... 120 Performance ............................................................................ 121 Investment Advisor/Portfolio Management ................................................... 122 Purchase and Redemption of Fund Shares ................................................... 123 Tax Information ......................................................................... 123 Payments to Financial Intermediaries ....................................................... 123 World ex U.S. Targeted Value Portfolio ......................................................... 124 Investment Objective .................................................................... 124 Fees and Expenses of the Portfolio ......................................................... 124 Principal Investment Strategies ............................................................ 124 Principal Risks .......................................................................... 125 Performance ........................................................................... 126 Investment Advisor/Portfolio Management .................................................. 127 Purchase and Redemption of Fund Shares ................................................... 128 Tax Information ......................................................................... 128 Payments to Financial Intermediaries ....................................................... 128 vii World ex U.S. Core Equity Portfolio ............................................................ 129 Investment Objective .................................................................... 129 Fees and Expenses of the Portfolio ......................................................... 129 Principal Investment Strategies ............................................................ 129 Principal Risks .......................................................................... 130 Performance ........................................................................... 131 Investment Advisor/Portfolio Management .................................................. 132 Purchase and Redemption of Fund Shares ................................................... 133 Tax Information ......................................................................... 133 Payments to Financial Intermediaries ....................................................... 133 World Core Equity Portfolio ................................................................... 134 Investment Objective .................................................................... 134 Fees and Expenses of the Portfolio ......................................................... 134 Principal Investment Strategies ............................................................ 135 Principal Risks ........................................................................... 135 Performance ............................................................................ 137 Investment Advisor/Portfolio Management ................................................... 138 Purchase and Redemption of Fund Shares ................................................... 138 Tax Information ......................................................................... 138 Payments to Financial Intermediaries ....................................................... 138 Selectively Hedged Global Equity Portfolio ...................................................... 139 Investment Objective .................................................................... 139 Fees and Expenses of the Portfolio ......................................................... 139 Principal Investment Strategies ............................................................ 140 Principal Risks ........................................................................... 140 Performance ............................................................................ 142 Investment Advisor/Portfolio Management ................................................... 143 Purchase and Redemption of Fund Shares ................................................... 144 Tax Information ......................................................................... 144 Payments to Financial Intermediaries ....................................................... 144 Emerging Markets Portfolio ................................................................... 145 Investment Objective .................................................................... 145 Fees and Expenses of the Portfolio ......................................................... 145 Principal Investment Strategies ............................................................ 146 Principal Risks ........................................................................... 146 Performance ............................................................................ 147 Investment Advisor/Portfolio Management ................................................... 148 Purchase and Redemption of Fund Shares ................................................... 149 Tax Information ......................................................................... 149 viii Payments to Financial Intermediaries ....................................................... 149 Emerging Markets Value Portfolio .............................................................. 150 Investment Objective .................................................................... 150 Fees and Expenses of the Portfolio ......................................................... 150 Principal Investment Strategies ............................................................ 151 Principal Risks ........................................................................... 151 Performance ............................................................................ 152 Investment Advisor/Portfolio Management ................................................... 153 Purchase and Redemption of Fund Shares ................................................... 154 Tax Information ......................................................................... 154 Payments to Financial Intermediaries ....................................................... 154 Emerging Markets Small Cap Portfolio ......................................................... 155 Investment Objective .................................................................... 155 Fees and Expenses of the Portfolio ......................................................... 155 Principal Investment Strategies ............................................................ 156 Principal Risks ........................................................................... 156 Performance ............................................................................ 157 Investment Advisor/Portfolio Management ................................................... 158 Purchase and Redemption of Fund Shares ................................................... 159 Tax Information ......................................................................... 159 Payments to Financial Intermediaries ....................................................... 159 Emerging Markets Core Equity Portfolio ......................................................... 160 Investment Objective .................................................................... 160 Fees and Expenses of the Portfolio ......................................................... 160 Principal Investment Strategies ............................................................ 160 Principal Risks ........................................................................... 161 Performance ............................................................................ 162 Investment Advisor/Portfolio Management ................................................... 163 Purchase and Redemption of Fund Shares ................................................... 164 Tax Information ......................................................................... 164 Payments to Financial Intermediaries ....................................................... 164 Additional Information on Investment Objectives and Policies ...................................... 165 Investment Terms Used in the Prospectus ................................................... 165 U.S. Large Company Portfolio ............................................................. 165 Enhanced U.S. Large Company Portfolio .................................................... 165 Standard & Poor’s—Information and Disclaimers .......................................... 167 U.S. Large Cap Equity Portfolio ............................................................ 168 U.S. Large Cap Value Portfolio, U.S. Small Cap Value Portfolio and U.S. Targeted Value Portfolio ...... 168 U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio and U.S. Vector Equity Portfolio ........... 170 U.S. Small Cap Portfolio and U.S. Micro Cap Portfolio ......................................... 170 ix DFA Real Estate Securities Portfolio ........................................................ 171 International Portfolios ................................................................... 172 Approved Markets ................................................................... 172 Developed Markets .............................................................. 173 Emerging Markets ............................................................... 174 Developed and Emerging Markets ................................................. 175 Large Cap International Portfolio ........................................................... 176 DFA International Value Portfolio ........................................................... 177 International Core Equity Portfolio .......................................................... 178 Global Small Company Portfolio ........................................................... 178 International Small Company Portfolios ...................................................... 179 International Small Company Portfolio ................................................... 180 Japanese Small Company Portfolio ..................................................... 181 Asia Pacific Small Company Portfolio .................................................... 181 United Kingdom Small Company Portfolio ............................................... 182 Continental Small Company Portfolio ................................................... 183 DFA International Real Estate Securities Portfolio ............................................. 183 DFA Global Real Estate Securities Portfolio .................................................. 184 DFA International Small Cap Value Portfolio .................................................. 185 International Vector Equity Portfolio ........................................................ 185 World ex U.S. Value Portfolio ............................................................. 186 World ex U.S. Targeted Value Portfolio ..................................................... 187 World ex U.S. Core Equity Portfolio ........................................................ 188 World Core Equity Portfolio ............................................................... 189 Selectively Hedged Global Equity Portfolio .................................................. 190 Emerging Markets Portfolio, Emerging Markets Value Portfolio, Emerging Markets Small Cap Portfolio and Emerging Markets Core Equity Portfolio ............................................... 191 Market Capitalization Weighted Approach ................................................... 193 Portfolio Construction—Small Company Funds ............................................... 194 Portfolio Transactions—All Portfolios ....................................................... 194 Additional Information Regarding Investment Risks ........................................... 195 Other Information ........................................................................... 195 Commodity Pool Operator Exemption ...................................................... 195 Fund of Funds Portfolio Turnover .......................................................... 195 Securities Loans ............................................................................ 196 Securities Lending Revenue .................................................................. 197 Management of the Funds ................................................................... 198 Management Fees ....................................................................... 200 Fee Waiver and Expense Assumption Agreements ............................................ 203 x Dividends, Capital Gains Distributions and Taxes ................................................. 209 Purchase of Shares .......................................................................... 214 Cash Purchases ......................................................................... 214 In-Kind Purchases ....................................................................... 215 Policy Regarding Excessive or Short-Term Trading ................................................ 215 Valuation of Shares .......................................................................... 218 Net Asset Value ......................................................................... 218 Public Offering Price ..................................................................... 220 Exchange of Shares .......................................................................... 220 Redemption of Shares ........................................................................ 221 Redemption Procedure ................................................................... 221 Redemption of Small Accounts ............................................................ 221 In-Kind Redemptions ..................................................................... 222 The Feeder Portfolios ........................................................................ 222 Disclosure of Portfolio Holdings ................................................................ 223 Delivery of Shareholder Documents ............................................................ 223 Financial Highlights .......................................................................... 223 xi [THIS PAGE INTENTIONALLY LEFT BLANK] U.S. Large Company Portfolio Investment Objective The U.S. Large Company Portfolio seeks, as its investment objective, to approximate the total investment return of the S&P 500 ®Index. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the U.S. Large Company Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) Management Fee 0.06% Other Expenses 0.02% Total Annual Fund Operating Expenses 0.08% EXAMPLE This Example is meant to help you compare the cost of investing in the U.S. Large Company Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $8 $26 $45 $103 PORTFOLIO TURNOVER The U.S. Large Company Portfolio pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the Portfolio’s performance. During the most recent fiscal year, the U.S. Large Company Portfolio’s portfolio turnover rate was 9% of the average value of its investment portfolio. Principal Investment Strategies The U.S. Large Company Portfolio generally invests in the stocks that comprise the S&P 500 ®Index in approximately the proportions they are represented in the S&P 500 ®Index. The S&P 500 ®Index comprises a broad and diverse group of stocks. Generally, these are the U.S. stocks with the largest market capitalizations and, as a group, they generally represent more than 70% of the total market capitalization of all publicly traded U.S. stocks. For the U.S. Large Company Portfolio, Dimensional Fund Advisors LP (the “Advisor”) considers the stocks that comprise the S&P 500 ®Index to be those of large companies. Under normal market conditions, at least 95% of the U.S. Large Company Portfolio’s net assets will be invested in the stocks that comprise the 1 S&P 500 ®Index. As a non-fundamental policy, under normal circumstances, the U.S. Large Company Portfolio will invest at least 80% of its net assets in securities of large U.S. companies. Ordinarily, portfolio companies will not be sold except to reflect additions or deletions of the companies that comprise the S&P 500 ®Index, including as a result of mergers, reorganizations and similar transactions and, to the extent necessary, to provide cash to pay redemptions of the U.S. Large Company Portfolio’s shares. Given the impact on prices of securities affected by the reconstitution of the S&P 500 ®Index around the time of a reconstitution date, the U.S. Large Company Portfolio may purchase or sell securities that may be impacted by the reconstitution before or after the reconstitution date of the S&P 500 ®Index. In seeking to approximate the total investment return of the S&P 500 ®Index, the Advisor may also adjust the representation of securities in the U.S. Large Company Portfolio after considering such securities’ characteristics and other factors the Advisor determines to be appropriate. The U.S. Large Company Portfolio may purchase or sell futures contracts and options on futures contracts for U.S. equity securities and indices, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The U.S. Large Company Portfolio does not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The U.S. Large Company Portfolio may lend its portfolio securities to generate additional income. About the S&P 500 ®Index: The Standard & Poor’s 500 Composite Stock Price Index ®is market capitalization weighted (adjusted for free float). Its performance is usually cyclical because it reflects periods when stock prices generally rise or fall. For information concerning Standard & Poor’s Rating Group, a division of The McGraw Hill Companies (“S&P”), and disclaimers of S&P with respect to the U.S. Large Company Portfolio, see “Standard & Poor’s—Information and Disclaimers.” Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Derivatives Risk:Derivatives are instruments, such as futures contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the U.S. Large Company Portfolio uses derivatives, the Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the U.S. Large Company Portfolio may lose money and there may be a delay in recovering the loaned securities. The U.S. Large Company Portfolio could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The U.S. Large Company Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. 2 Performance The bar chart and table immediately following illustrate the variability of the U.S. Large Company Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. The U.S. Large Company Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the U.S. Large Company Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. U.S. Large Company Portfolio Institutional Class Shares—Total Returns 1.38% 2007 2008 2009 2010 2011 2012 2013 2014 20162015 -60 -40 -20 0 60 40 20 (%) 5.52% -36.76% 26.62% 14.99% 2.10% 15.82% 32.33% 13.53%11.90% January 2007-December 2016 Highest Quarter Lowest Quarter 15.93% (4/09–6/09)-21.78% (10/08–12/08) Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years U.S. Large Company Portfolio Return Before Taxes 11.90% 14.57% 6.95% Return After Taxes on Distributions 11.11% 13.93% 6.45% Return After Taxes on Distributions and Sale of Portfolio Shares 7.22% 11.63% 5.51% S&P 500 ®Index(1)(reflects no deduction for fees, expenses, or taxes)11.96% 14.66% 6.95% (1)Copyright©2010 Standard & Poor’s Financial Services LLC, a subsidiary of The McGraw-Hill Companies, Inc. All rights reserved. 3 Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the U.S. Large Company Portfolio. The following individuals are responsible for coordinating the day to day management of the U.S. Large Company Portfolio: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Lukas J. Smart,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2010. •Joseph F. Hohn,Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2015. Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the U.S. Large Company Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the U.S. Large Company Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the U.S. Large Company Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 4 Enhanced U.S. Large Company Portfolio Investment Objective The Enhanced U.S. Large Company Portfolio seeks, as its investment objective, to achieve a total return which exceeds the total return performance of the S&P 500 ®Index. Total return comprises income and capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the Enhanced U.S. Large Company Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) Management Fee 0.20% Other Expenses 0.03% Total Annual Fund Operating Expenses 0.23% EXAMPLE This Example is meant to help you compare the cost of investing in the Enhanced U.S. Large Company Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $24 $74 $130 $293 PORTFOLIO TURNOVER The Enhanced U.S. Large Company Portfolio pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the Portfolio’s performance. During the most recent fiscal year, the Enhanced U.S. Large Company Portfolio’s portfolio turnover rate was 119% of the average value of its investment portfolio. Principal Investment Strategies The Enhanced U.S. Large Company Portfolio seeks to outperform the S&P 500 ®Index primarily through investment in S&P 500 ®Index futures and short-term fixed income obligations. The Enhanced U.S. Large Company Portfolio may invest in all of the stocks represented in the S&P 500 ®Index, options on stock indices, stock index futures, options on stock index futures, swap agreements on stock indices and shares of investment companies, such as exchange-traded funds (ETFs) that invest in stocks represented in the S&P 500 ®Index or other similar stock indices. The Portfolio invests in fixed income obligations, which may include securities of 5 foreign issuers. The Portfolio may, from time to time, also invest in options on stock indices, stock index futures, options on stock index futures and swap agreements based on indices other than, but similar to, the S&P 500 ® Index (such instruments whether or not based on the S&P 500 ®Index are hereinafter collectively referred to as “Index Derivatives”). The S&P 500 ®Index comprises a broad and diverse group of stocks. Generally, these are the U.S. stocks with the largest market capitalizations and, as a group, they generally represent more than 70% of the total market capitalization of all publicly traded U.S. stocks. Dimensional Fund Advisors LP (the “Advisor”) considers stocks that comprise the S&P 500 ®Index to be those of large companies. Under normal circumstances, the Enhanced U.S. Large Company Portfolio will invest at least 80% of its net assets in short-term fixed income obligations that are overlaid by futures, swaps and other derivatives of the S&P 500 ®Index to create exposure to the performance of large U.S. companies or in securities of large U.S. companies directly. Alternatively, the Portfolio may invest at least 80% of its net assets directly in securities of large companies. The Enhanced U.S. Large Company Portfolio may invest all of its assets in Index Derivatives. Certain of these Index Derivatives may be considered speculative and may subject the Portfolio to additional risks. Assets of the Portfolio not invested in the S&P 500 ®Index or Index Derivatives may be invested in short-term fixed income obligations including: U.S. government obligations, U.S. government agency obligations, corporate debt obligations, bank obligations, commercial paper, repurchase agreements, foreign government and agency obligations, supranational organization obligations, foreign issuer obligations and eurodollar obligations. The Portfolio’s investment in fixed income obligations will be considered investment grade at the time of purchase. The fixed income obligations purchased by the Portfolio will typically mature within three years from the date of settlement and the average dollar-weighted maturity of the fixed income obligations will be two years or less. The Enhanced U.S. Large Company Portfolio may use foreign currency contracts to hedge foreign currency risks or to transfer balances from one currency to another. The Enhanced U.S. Large Company Portfolio uses index swap agreements and/or stock index futures to hedge against changes in securities prices. The Enhanced U.S. Large Company Portfolio may purchase or sell futures contracts and options on futures contracts, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The Portfolio does not intend to sell futures contracts to establish short positions in individual securities. Additionally, the Enhanced U.S. Large Company Portfolio uses index swap agreements and stock index futures to attempt to achieve its investment objectives. The Enhanced U.S. Large Company Portfolio may lend its portfolio securities to generate additional income. About the S&P 500 ®Index: The Standard & Poor’s 500 Composite Stock Price Index ®is market capitalization weighted (adjusted for free float). Its performance is usually cyclical because it reflects periods when stock prices generally rise or fall. For information concerning Standard & Poor’s Rating Group, a division of The McGraw Hill Companies (“S&P”), and disclaimers of S&P with respect to the Enhanced U.S. Large Company Portfolio, see “Standard & Poor’s—Information and Disclaimers.” Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Foreign Securities and Currencies Risk:Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The Enhanced U.S. Large Company Portfolio may hedge foreign currency risk. 6 Foreign Government Debt Risk:The risk that: (a) the governmental entity that controls the repayment of government debt may not be willing or able to repay the principal and/or to pay the interest when it becomes due, due to factors such as political considerations, the relative size of the governmental entity’s debt position in relation to the economy, cash flow problems, insufficient foreign currency reserves, the failure to put in place economic reforms required by the International Monetary Fund or other multilateral agencies, and/or other national economic factors; (b) governments may default on their debt securities, which may require holders of such securities to participate in debt rescheduling; and (c) there is no legal or bankruptcy process by which defaulted government debt may be collected in whole or in part. Derivatives Risk:Derivatives are instruments, such as swaps, futures and foreign exchange forward contracts, whose value is derived from that of other assets, rates or indices. Derivatives can be used for hedging (attempting to reduce risk by offsetting one investment position with another) or non-hedging purposes. Hedging with derivatives may increase expenses, and there is no guarantee that a hedging strategy will work. While hedging can reduce or eliminate losses, it can also reduce or eliminate gains or cause losses if the market moves in a manner different from that anticipated by the Portfolio or if the cost of the derivative outweighs the benefit of the hedge. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the Enhanced U.S. Large Company Portfolio uses derivatives, the Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the Enhanced U.S. Large Company Portfolio may lose money and there may be a delay in recovering the loaned securities. The Enhanced U.S. Large Company Portfolio could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Interest Rate Risk:Fixed income securities are subject to interest rate risk because the prices of fixed income securities tend to move in the opposite direction of interest rates. When interest rates rise, fixed income security prices fall. When interest rates fall, fixed income security prices rise. In general, fixed income securities with longer maturities are more sensitive to changes in interest rates. Credit Risk:Credit risk is the risk that the issuer of a security may be unable to make interest payments and/or repay principal when due. A downgrade to an issuer’s credit rating or a perceived change in an issuer’s financial strength may affect a security’s value, and thus, impact the Enhanced U.S. Large Company Portfolio’s performance. Government agency obligations have different levels of credit support and, therefore, different degrees of credit risk. Securities issued by agencies and instrumentalities of the U.S. Government that are supported by the full faith and credit of the United States, such as the Federal Housing Administration and Ginnie Mae, present little credit risk. Other securities issued by agencies and instrumentalities sponsored by the U.S. Government, that are supported only by the issuer’s right to borrow from the U.S. Treasury, subject to certain limitations, and securities issued by agencies and instrumentalities sponsored by the U.S. Government that are sponsored by the credit of the issuing agencies, such as Freddie Mac and Fannie Mae, are subject to a greater degree of credit risk. U.S. government agency securities issued or guaranteed by the credit of the agency may still involve a risk of non-payment of principal and/or interest. Income Risk:Income risk is the risk that falling interest rates will cause the Enhanced U.S. Large Company Portfolio’s income to decline because, among other reasons, the proceeds from maturing short-term securities in its portfolio may be reinvested in lower-yielding securities. Call Risk:Call risk is the risk that during periods of falling interest rates, a bond issuer will call or repay a higher- yielding bond before its maturity date, forcing the Portfolio to reinvest in bonds with lower interest rates than the original obligations. Liquidity Risk:Liquidity risk exists when particular portfolio investments are difficult to purchase or sell. To the extent that the Enhanced U.S. Large Company Portfolio holds illiquid investments, the Portfolio’s performance 7 may be reduced due to an inability to sell the investments at opportune prices or times. Liquid portfolio investments may become illiquid or less liquid after purchase by the Enhanced U.S. Large Company Portfolio due to low trading volume, adverse investor perceptions and/or other market developments. Liquidity risk includes the risk that the Enhanced U.S. Large Company Portfolio will experience significant net redemptions at a time when it cannot find willing buyers for its portfolio securities or can only sell its portfolio securities at a material loss. Liquidity risk can be more pronounced in periods of market turmoil. Cyber Security Risk:The Enhanced U.S. Large Company Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the Enhanced U.S. Large Company Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. Enhanced U.S. Large Company Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the Enhanced U.S. Large Company Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. Enhanced U.S. Large Company Portfolio Institutional Class Shares—Total Returns 20112010200920082007 2012 2013 201620152014 -60 -20 -40 0 60 20 40 (%) 5.07% -37.28% 28.72% 15.66% 2.25% 16.96% 32.11% 13.54%12.60% 1.08% January 2007-December 2016 Highest Quarter Lowest Quarter 16.84% (4/09–6/09)-21.78% (10/08–12/08) 8 Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years Enhanced U.S. Large Company Portfolio Return Before Taxes 12.60% 14.83% 7.20% Return After Taxes on Distributions 11.26% 13.04% 5.50% Return After Taxes on Distributions and Sale of Portfolio Shares 7.49% 11.34% 5.06% S&P 500 ®Index(1) (reflects no deduction for fees, expenses, or taxes)11.96% 14.66% 6.95% (1)Copyright©2010 Standard & Poor’s Financial Services LLC, a subsidiary of The McGraw-Hill Companies, Inc. All rights reserved. Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the Enhanced U.S. Large Company Portfolio. The following individuals are responsible for coordinating the day to day management of the Enhanced U.S. Large Company Portfolio: •David A. Plecha,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 1989. •Joseph F. Kolerich,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2001. Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the Enhanced U.S. Large Company Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the Enhanced U.S. Large Company Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the Enhanced U.S. Large Company Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 9 U.S. Large Cap Equity Portfolio Investment Objective The investment objective of the U.S. Large Cap Equity Portfolio is to achieve long-term capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the U.S. Large Cap Equity Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) Management Fee 0.15% Other Expenses 0.02% Total Annual Fund Operating Expenses 0.17% Fee Waiver and/or Expense Reimbursement*(0.01%) Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement 0.18% * Dimensional Fund Advisors LP (the “Advisor”) has agreed to waive certain fees of the U.S. Large Cap Equity Portfolio. The Amended and Restated Fee Waiver Agreement for the Portfolio will remain in effect through February 28, 2018, and may only be terminated by the Fund’s Board of Directors prior to that date. Under certain circumstances, the Advisor retains the right to seek reimbursement for any fees previously waived up to thirty-six months after such fee waiver. EXAMPLE This Example is meant to help you compare the cost of investing in the U.S. Large Cap Equity Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions, your costs would be: 1 Year 3 Years 5 Years 10 Years $18 $56 $97 $218 PORTFOLIO TURNOVER The U.S. Large Cap Equity Portfolio pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the U.S. Large Cap Equity Portfolio’s performance. During the most recent fiscal year, the U.S. Large Cap Equity Portfolio’s portfolio turnover rate was 12% of the average value of its investment portfolio. 10 Principal Investment Strategies The U.S. Large Cap Equity Portfolio purchases a broad and diverse group of readily marketable securities of U.S. companies that the Advisor determines to be large capitalization companies within the U.S. Universe. A company’s market capitalization is the number of its shares outstanding times its price per share. The Advisor generally defines the U.S. Universe as a market capitalization weighted portfolio of U.S. operating companies listed on the New York Stock Exchange (“NYSE”), NYSE MKT LLC, Nasdaq Global Market ®, Nasdaq Capital Market®, or such other securities exchanges deemed appropriate by the Advisor. As of the date of this Prospectus, for purposes of the Portfolio, the Advisor considers large cap companies to be companies whose market capitalizations are generally in the highest 90% of total market capitalization within the U.S. Universe or companies whose market capitalizations are larger than the 1,000th largest U.S. company within the U.S. Universe, whichever results in the higher market capitalization break. Under the Advisor’s market capitalization guidelines described above, based on market capitalization data as of December 31, 2016, the market capitalization of a large cap company would be $4,230 million or above. This dollar amount will change due to market conditions. As a non-fundamental policy, under normal circumstances, the U.S. Large Cap Equity Portfolio will invest at least 80% of its net assets in equity securities of large cap U.S. companies. In addition, the Advisor may consider a company’s size, value, and/or profitability relative to other eligible companies when making investment decisions for the U.S. Large Cap Equity Portfolio. In assessing value, the Advisor may consider factors such as a company’s book value in relation to its market value, as well as price to cash flow or price to earnings ratios. In assessing profitability, the Advisor may consider factors such as that of earnings or profits from operations relative to book value or assets. The criteria the Advisor uses for assessing value or profitability are subject to change from time to time. The Advisor may also adjust the representation in the U.S. Large Cap Equity Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. The U.S. Large Cap Equity Portfolio may purchase or sell futures contracts and options on futures contracts for U.S. equity securities and indices, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The Portfolio does not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The U.S. Large Cap Equity Portfolio may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Investment Strategy Risk:Securities that have high book to market ratios and/or high profitability may perform differently from the market as a whole and an investment strategy emphasizing these securities may cause the Portfolio to at times underperform equity funds that use other investment strategies. Derivatives Risk:Derivatives are instruments, such as futures contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the U.S. Large Cap Equity Portfolio uses derivatives, the Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. 11 Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the U.S. Large Cap Equity Portfolio may lose money and there may be a delay in recovering the loaned securities. The U.S. Large Cap Equity Portfolio could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The U.S. Large Cap Equity Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the U.S. Large Cap Equity Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the Portfolio’s performance from year to year. The table illustrates how annualized one year and since inception returns, both before and after taxes, compare with those of a broad measure of market performance. The Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the U.S. Large Cap Equity Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax- advantaged arrangements, such as 401(k) plans or individual retirement accounts. U.S. Large Cap Equity Portfolio Institutional Class Shares—Total Returns -20 -10 0 20 10 (%) 2016 12.06% 2014 12.73% 2015 -0.72% January 2014-December 2016 Highest Quarter Lowest Quarter 5.71% (10/15–12/15)-7.65% (7/15–9/15) 12 Annualized Returns (%) Periods ending December 31, 2016 1 Year Since 6/25/13 Inception U.S. Large Cap Equity Portfolio Return Before Taxes 12.73% 11.67% Return After Taxes on Distributions 12.22% 11.16% Return After Taxes on Distributions and Sale of Portfolio Shares 7.58% 9.07% Russell 1000 ®Index (reflects no deduction for fees, expenses, or taxes)12.05% 12.55% Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the U.S. Large Cap Equity Portfolio. The following individuals are responsible for coordinating the day-to-day management of the U.S. Large Cap Equity Portfolio: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager of the Portfolio since inception. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager of the Portfolio since inception. •Lukas J. Smart,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2010. Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the U.S. Large Cap Equity Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The U.S. Large Cap Equity Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the U.S. Large Cap Equity Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 13 U.S. Large Cap Value Portfolio Investment Objective The investment objective of the U.S. Large Cap Value Portfolio is to achieve long-term capital appreciation. The U.S. Large Cap Value Portfolio is a Feeder Portfolio and pursues its objective by investing substantially all of its assets in its corresponding Master Fund, The U.S. Large Cap Value Series (the “U.S. Large Cap Value Series”) of The DFA Investment Trust Company (the “Trust”), which has the same investment objective and policies as the U.S. Large Cap Value Portfolio. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the U.S. Large Cap Value Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)* Management Fee 0.35% Other Expenses 0.02% Total Annual Fund Operating Expenses 0.37% Fee Waiver and/or Expense Reimbursement 0.10% Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement 0.27% * The “Management Fee” includes an investment management fee payable by the Feeder Portfolio and an investment management fee payable by the Master Fund. For any period when the Feeder Portfolio is invested in other funds managed by Dimensional Fund Advisors LP (the “Advisor”) (collectively, “Underlying Funds”), the Advisor has contractually agreed to permanently waive the Feeder Portfolio’s direct investment management fee to the extent necessary to offset the proportionate share of any Underlying Fund’s investment management fee paid by the Feeder Portfolio through its investment in such Underlying Fund. The amounts set forth under “Other Expenses” and “Total Annual Fund Operating Expenses” reflect the direct expenses of the Feeder Portfolio and the indirect expenses of the Feeder Portfolio’s portion of the expenses of the Master Fund. EXAMPLE This Example is meant to help you compare the cost of investing in the U.S. Large Cap Value Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $28 $87 $152 $343 The Example reflects the aggregate annual operating expenses of the U.S. Large Cap Value Portfolio and the Portfolio’s portion of the expenses of the U.S. Large Cap Value Series. 14 PORTFOLIO TURNOVER The U.S. Large Cap Value Series pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the U.S. Large Cap Value Portfolio’s performance. During the most recent fiscal year, the U.S. Large Cap Value Series’ portfolio turnover rate was 15% of the average value of its investment portfolio. Principal Investment Strategies The U.S. Large Cap Value Portfolio pursues its investment objective by investing substantially all of its assets in the U.S. Large Cap Value Series. The U.S. Large Cap Value Series, using a market capitalization weighted approach, purchases a broad and diverse group of readily marketable securities of large U.S. companies that the Advisor determines to be value stocks. A company’s market capitalization is the number of its shares outstanding times its price per share. In general, the higher the relative market capitalization of the U.S. large cap company, the greater its representation in the Series. The Advisor may adjust the representation in the Series of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. As a non-fundamental policy, under normal circumstances, the U.S. Large Cap Value Series will invest at least 80% of its net assets in securities of large cap U.S. companies. As of the date of this Prospectus, for purposes of the U.S. Large Cap Value Series, the Advisor considers large cap companies to be companies whose market capitalizations are generally in the highest 90% of total market capitalization or companies whose market capitalizations are larger than the 1,000th largest U.S. company, whichever results in the higher market capitalization break. Total market capitalization is based on the market capitalization of U.S. operating companies listed on the New York Stock Exchange (“NYSE”), NYSE MKT LLC, Nasdaq Global Market ®, Nasdaq Capital Market®, or such other securities exchanges deemed appropriate by the Advisor. Under the Advisor’s market capitalization guidelines described above, based on market capitalization data as of December 31, 2016, the market capitalization of a large cap company would be $4,230 million or above. This dollar amount will change due to market conditions. The U.S. Large Cap Value Series and the U.S. Large Cap Value Portfolio each may purchase or sell futures contracts and options on futures contracts for U.S. equity securities and indices, to adjust market exposure based on actual or expected cash inflows to or outflows from the Series or Portfolio. The Series and Portfolio do not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The U.S. Large Cap Value Series may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. 15 Value Investment Risk:Value stocks may perform differently from the market as a whole and following a value- oriented investment strategy may cause the Portfolio to at times underperform equity funds that use other investment strategies. Derivatives Risk:Derivatives are instruments, such as futures contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the U.S. Large Cap Value Series and U.S. Large Cap Value Portfolio use derivatives, the U.S. Large Cap Value Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the U.S. Large Cap Value Series may lose money and there may be a delay in recovering the loaned securities. The U.S. Large Cap Value Series could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The U.S. Large Cap Value Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the U.S. Large Cap Value Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. The U.S. Large Cap Value Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the U.S. Large Cap Value Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax- advantaged arrangements, such as 401(k) plans or individual retirement accounts. 16 U.S. Large Cap Value Portfolio Institutional Class Shares—Total Returns -3.49% 201220112010200920082007 2013 2014 20162015 -60 -20 -40 0 60 20 40 (%) -2.77% -40.80% 30.19% 20.18% -3.14% 22.05% 40.32% 10.07% 18.89% January 2007-December 2016 Highest Quarter Lowest Quarter 23.58% (4/09–6/09)-27.86% (10/08–12/08) Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years U.S. Large Cap Value Portfolio Return Before Taxes 18.89% 16.68% 6.55% Return After Taxes on Distributions 17.68% 15.82% 5.92% Return After Taxes on Distributions and Sale of Portfolio Shares 11.62% 13.43% 5.19% Russell 1000 ®Value Index (reflects no deduction for fees, expenses, or taxes)17.34% 14.80% 5.72% Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the U.S. Large Cap Value Portfolio and the U.S. Large Cap Value Series. The following individuals are responsible for coordinating the day to day management of the U.S. Large Cap Value Portfolio: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Lukas J. Smart,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2010. Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the U.S. Large Cap Value Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. 17 Shareholders that invest in the U.S. Large Cap Value Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the U.S. Large Cap Value Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 18 U.S. Small Cap Value Portfolio Investment Objective The investment objective of the U.S. Small Cap Value Portfolio is to achieve long-term capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the U.S. Small Cap Value Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) Management Fee 0.50% Other Expenses 0.02% Total Annual Fund Operating Expenses 0.52% EXAMPLE This Example is meant to help you compare the cost of investing in the U.S. Small Cap Value Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $53 $167 $291 $653 PORTFOLIO TURNOVER The U.S. Small Cap Value Portfolio pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the U.S. Small Cap Value Portfolio’s performance. During the most recent fiscal year, the U.S. Small Cap Value Portfolio’s portfolio turnover rate was 19% of the average value of its investment portfolio. Principal Investment Strategies U.S. Small Cap Value Portfolio, using a market capitalization weighted approach, purchases a broad and diverse group of the readily marketable securities of U.S. small cap companies that Dimensional Fund Advisors LP (the “Advisor”) determines to be value stocks. A company’s market capitalization is the number of its shares outstanding times its price per share. In general, the higher the relative market capitalization of the U.S. small cap company, the greater its representation in the Portfolio. The Advisor may adjust the representation in the U.S. Small Cap Value Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. Securities are considered value stocks primarily because 19 a company’s shares have a high book value in relation to their market value. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. As a non-fundamental policy, under normal circumstances, the U.S. Small Cap Value Portfolio will invest at least 80% of its net assets in securities of small cap U.S. companies. As of the date of this Prospectus, for purposes of the U.S. Small Cap Value Portfolio, the Advisor considers small cap companies to be companies whose market capitalizations are generally in the lowest 10% of total market capitalization or companies whose market capitalizations are smaller than the 1,000th largest U.S. company, whichever results in the higher market capitalization break. Total market capitalization is based on the market capitalization of U.S. operating companies listed on the New York Stock Exchange (“NYSE”), NYSE MKT LLC, Nasdaq Global Market ®, Nasdaq Capital Market®, or such other securities exchanges deemed appropriate by the Advisor. Under the Advisor’s market capitalization guidelines described above, based on market capitalization data as of December 31, 2016, the market capitalization of a small cap company was would be $4,230 million or below. This dollar amount will change due to market conditions. The U.S. Small Cap Value Portfolio may purchase or sell futures contracts and options on futures contracts for U.S. equity securities and indices, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The Portfolio does not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The U.S. Small Cap Value Portfolio may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Value Investment Risk:Value stocks may perform differently from the market as a whole and following a value- oriented investment strategy may cause the Portfolio to at times underperform equity funds that use other investment strategies. Derivatives Risk:Derivatives are instruments, such as futures contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the U.S. Small Cap Value Portfolio uses derivatives, the Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the U.S. Small Cap Value Portfolio may lose money and there may be a delay in recovering the loaned securities. The U.S. Small Cap Value Portfolio could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. 20 Cyber Security Risk:The U.S. Small Cap Value Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the U.S. Small Cap Value Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the U.S. Small Cap Value Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. The U.S. Small Cap Value Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the U.S. Small Cap Value Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. U.S. Small Cap Value Portfolio Institutional Class Shares—Total Returns -7.81% 201220112010200920082007 2013 2014 20162015 -60 -20 -40 0 60 20 40 (%) -10.75% -36.79% 33.62% 30.90% -7.55% 21.72% 42.38% 28.26% 3.48% January 2007-December 2016 Highest Quarter Lowest Quarter 26.83% (7/09–9/09)-28.70% (10/08–12/08) 21 Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years U.S. Small Cap Value Portfolio Return Before Taxes 28.26% 16.22% 6.82% Return After Taxes on Distributions 26.92% 14.89% 5.96% Return After Taxes on Distributions and Sale of Portfolio Shares 17.08% 12.97% 5.39% Russell 2000 ®Value Index (reflects no deduction for fees, expenses, or taxes)31.74% 15.07% 6.26% Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the U.S. Small Cap Value Portfolio. The following individuals are responsible for coordinating the day to day management of the U.S. Small Cap Value Portfolio: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Joel P. Schneider,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2013. Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the U.S. Small Cap Value Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the U.S. Small Cap Value Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The U.S. Small Cap Value Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the U.S. Small Cap Value Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 22 U.S. Targeted Value Portfolio Investment Objective The investment objective of the U.S. Targeted Value Portfolio is to achieve long-term capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the U.S. Targeted Value Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) Management Fee 0.35% Other Expenses 0.02% Total Annual Fund Operating Expenses 0.37% EXAMPLE This Example is meant to help you compare the cost of investing in the U.S. Targeted Value Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $38 $119 $208 $468 PORTFOLIO TURNOVER The U.S. Targeted Value Portfolio pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the U.S. Targeted Value Portfolio’s performance. During the most recent fiscal year, the U.S. Targeted Value Portfolio’s portfolio turnover rate was 28% of the average value of its investment portfolio. Principal Investment Strategies The U.S. Targeted Value Portfolio, using a market capitalization weighted approach, purchases a broad and diverse group of the readily marketable securities of U.S. small and mid cap companies that Dimensional Fund Advisors LP (the “Advisor”) determines to be value stocks. A company’s market capitalization is the number of its shares outstanding times its price per share. In general, the higher the relative market capitalization of the eligible company, the greater its representation in the Portfolio. The Advisor may adjust the representation in the U.S. Targeted Value Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. Securities are considered value stocks primarily because 23 a company’s shares have a high book value in relation to their market value. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. As a non-fundamental policy, under normal circumstances, the U.S. Targeted Value Portfolio will invest at least 80% of its net assets in securities of U.S. companies. As of the date of this Prospectus, the Advisor considers for investment companies whose market capitalizations are generally smaller than the 500th largest U.S. company. As of December 31, 2016, companies smaller than the 500th largest U.S. company fall in the lowest 15% of total U.S. market capitalization. Total market capitalization is based on the market capitalization of U.S. operating companies listed on the New York Stock Exchange (“NYSE”), NYSE MKT LLC, Nasdaq Global Market ®, Nasdaq Capital Market ®, or such other securities exchanges deemed appropriate by the Advisor. Based on market capitalization data as of December 31, 2016, the market capitalization of a company smaller than the 500th largest U.S. company would be $7,258 million or below. This dollar amount will change due to market conditions. The U.S. Targeted Value Portfolio may purchase or sell futures contracts and options on futures contracts for U.S. equity securities and indices, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The Portfolio does not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The U.S. Targeted Value Portfolio may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Value Investment Risk:Value stocks may perform differently from the market as a whole and following a value- oriented investment strategy may cause the Portfolio to at times underperform equity funds that use other investment strategies. Derivatives Risk:Derivatives are instruments, such as futures contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the U.S. Targeted Value Portfolio uses derivatives, the Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the U.S. Targeted Value Portfolio may lose money and there may be a delay in recovering the loaned securities. The U.S. Targeted Value Portfolio could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. 24 Cyber Security Risk:The U.S. Targeted Value Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the U.S. Targeted Value Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the U.S. Targeted Value Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. The U.S. Targeted Value Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the U.S. Targeted Value Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax- advantaged arrangements, such as 401(k) plans or individual retirement accounts. U.S. Targeted Value Portfolio Institutional Class Shares—Total Returns -5.72% 201220112010200920082007 2013 2014 20162015 -60 -20 -40 0 60 40 20 (%) -8.19% -33.78% 31.88%29.01% -6.29% 19.19% 43.03% 26.86% 2.94% January 2007-December 2016 Highest Quarter Lowest Quarter 24.49% (7/09–9/09)-27.48% (10/08–12/08) 25 Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years U.S. Targeted Value Portfolio Return Before Taxes 26.86% 15.98% 7.36% Return After Taxes on Distributions 25.53% 14.49% 6.50% Return After Taxes on Distributions and Sale of Portfolio Shares 16.14% 12.69% 5.81% Russell 2000 ®Value Index (reflects no deduction for fees, expenses, or taxes)31.74% 15.07% 6.26% Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the U.S. Targeted Value Portfolio. The following individuals are responsible for coordinating the day to day management of the U.S. Targeted Value Portfolio: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Joel P. Schneider,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2013. Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the U.S. Targeted Value Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the U.S. Targeted Value Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The U.S. Targeted Value Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the U.S. Targeted Value Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax- advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 26 U.S. Core Equity 1 Portfolio Investment Objective The investment objective of the U.S. Core Equity 1 Portfolio is to achieve long-term capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the U.S. Core Equity 1 Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) Management Fee 0.17% Other Expenses 0.02% Total Annual Fund Operating Expenses 0.19% EXAMPLE This Example is meant to help you compare the cost of investing in the U.S. Core Equity 1 Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $19 $61 $107 $243 PORTFOLIO TURNOVER The U.S. Core Equity 1 Portfolio pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the U.S. Core Equity 1 Portfolio’s performance. During the most recent fiscal year, the U.S. Core Equity 1 Portfolio’s portfolio turnover rate was 4% of the average value of its investment portfolio. Principal Investment Strategies The U.S. Core Equity 1 Portfolio purchases a broad and diverse group of securities of U.S. companies with a greater emphasis on small capitalization and value companies as compared to their representation in the U.S. Universe. Dimensional Fund Advisors LP (the “Advisor”) generally defines the U.S. Universe as a market capitalization weighted portfolio of U.S. operating companies listed on the New York Stock Exchange (“NYSE”), NYSE MKT LLC, Nasdaq Global Market ®, Nasdaq Capital Market ®, or such other securities exchanges deemed appropriate by the Advisor. The Portfolio’s increased exposure to small and value companies may be achieved by decreasing the allocation of the Portfolio’s assets to the largest U.S. growth companies relative to their weight in the U.S. Universe, which would result in a greater weight allocation to small capitalization and value companies. An equity issuer is considered a growth company primarily because it has a low book value, that is not negative, in relation to its market capitalization. Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value. 27 As a non-fundamental policy, under normal circumstances, U.S. Core Equity 1 Portfolio will invest at least 80% of its net assets in equity securities of U.S. companies. The percentage allocation of the assets of the U.S. Core Equity 1 Portfolio to securities of the largest U.S. growth companies as defined above will generally be reduced from between 2.5% and 25% of their percentage weight in the U.S. Universe. For example, as of December 31, 2016, securities of the largest U.S. growth companies comprised 31% of the U.S. Universe and the Advisor allocated approximately 25% of the U.S. Core Equity 1 Portfolio to securities of the largest U.S. growth companies. The percentage by which the U.S. Core Equity 1 Portfolio’s allocation to securities of the largest U.S. growth companies is reduced will change due to market movements. The Advisor may also adjust the representation in the U.S. Core Equity 1 Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. The U.S. Core Equity 1 Portfolio also may purchase or sell futures contracts and options on futures contracts for U.S. equity securities and indices, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The Portfolio does not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The U.S. Core Equity 1 Portfolio may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Value Investment Risk:Value stocks may perform differently from the market as a whole and following a value- oriented investment strategy may cause the Portfolio to at times underperform equity funds that use other investment strategies. Derivatives Risk:Derivatives are instruments, such as futures contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the U.S. Core Equity 1 Portfolio uses derivatives, the Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the U.S. Core Equity 1 Portfolio may lose money and there may be a delay in recovering the loaned securities. The U.S. Core Equity 1 Portfolio could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The U.S. Core Equity 1 Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those 28 technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the U.S. Core Equity 1 Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the U.S. Core Equity 1 Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. The U.S. Core Equity 1 Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the U.S. Core Equity 1 Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. U.S. Core Equity 1 Portfolio Institutional Class Shares—Total Returns -1.35% -40 -60 -20 0 40 60 20 (%) 20132007 2008 2009 20112010 2012 20152014 2016 -36.53% 29.84% 2.79% 20.11%16.92% -0.64% 36.60% 10.52% 14.80% January 2007-December 2016 Highest Quarter Lowest Quarter 17.92% (4/09–6/09)-23.48% (10/08–12/08) Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years U.S. Core Equity 1 Portfolio Return Before Taxes 14.80% 14.86% 7.29% Return After Taxes on Distributions 14.14% 14.27% 6.85% Return After Taxes on Distributions and Sale of Portfolio Shares 8.79% 11.89% 5.82% Russell 3000 ®Index (reflects no deduction for fees, expenses, or taxes)12.74% 14.67% 7.07% 29 Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the U.S. Core Equity 1 Portfolio. The following individuals are responsible for coordinating the day to day management of the U.S. Core Equity 1 Portfolio: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Lukas J. Smart,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2010. Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the U.S. Core Equity 1 Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the U.S. Core Equity 1 Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The U.S. Core Equity 1 Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the U.S. Core Equity 1 Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 30 U.S. Core Equity 2 Portfolio Investment Objective The investment objective of the U.S. Core Equity 2 Portfolio is to achieve long-term capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the U.S. Core Equity 2 Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) Management Fee 0.20% Other Expenses 0.02% Total Annual Fund Operating Expenses 0.22% EXAMPLE This Example is meant to help you compare the cost of investing in the U.S. Core Equity 2 Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $23 $71 $124 $280 PORTFOLIO TURNOVER The U.S. Core Equity 2 Portfolio pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the U.S. Core Equity 2 Portfolio’s performance. During the most recent fiscal year, the U.S. Core Equity 2 Portfolio’s portfolio turnover rate was 4% of the average value of its investment portfolio. Principal Investment Strategies The U.S. Core Equity 2 Portfolio purchases a broad and diverse group of securities of U.S. companies with a greater emphasis on small capitalization and value companies as compared to their representation in the U.S. Universe. Dimensional Fund Advisors LP (the “Advisor”) generally defines the U.S. Universe as a market capitalization weighted portfolio of U.S. operating companies listed on the New York Stock Exchange (“NYSE”), NYSE MKT LLC, Nasdaq Global Market ®, Nasdaq Capital Market ®, or such other securities exchanges deemed appropriate by the Advisor. The Portfolio’s increased exposure to small and value companies may be achieved by decreasing the allocation of the Portfolio’s assets to the largest U.S. growth companies relative to their weight in the U.S. Universe, which would result in a greater weight allocation to small capitalization and value companies. An equity issuer is considered a growth company primarily because it has a low book value, that is not negative, in relation to its market capitalization. Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value. 31 As a non-fundamental policy, under normal circumstances, U.S. Core Equity 2 Portfolio will invest at least 80% of its net assets in equity securities of U.S. companies. The percentage allocation of the assets of the U.S. Core Equity 2 Portfolio to securities of the largest U.S. growth companies as defined above will generally be reduced from between 5% and 35% of their percentage weight in the U.S. Universe. For example, as of December 31, 2016, securities of the largest U.S. growth companies comprised 31% of the U.S. Universe and the Advisor allocated approximately 15% of the U.S. Core Equity 2 Portfolio to securities of the largest U.S. growth companies. The percentage by which the U.S. Core Equity 2 Portfolio’s allocation to securities of the largest U.S. growth companies is reduced will change due to market movements. The Advisor may also adjust the representation in the U.S. Core Equity 2 Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. The U.S. Core Equity 2 Portfolio also may purchase or sell futures contracts and options on futures contracts for U.S. equity securities and indices, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The Portfolio does not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The U.S. Core Equity 2 Portfolio may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Value Investment Risk:Value stocks may perform differently from the market as a whole and following a value- oriented investment strategy may cause the Portfolio to at times underperform equity funds that use other investment strategies. Derivatives Risk:Derivatives are instruments, such as futures contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the U.S. Core Equity 2 Portfolio uses derivatives, the Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the U.S. Core Equity 2 Portfolio may lose money and there may be a delay in recovering the loaned securities. The U.S. Core Equity 2 Portfolio could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The U.S. Core Equity 2 Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those 32 technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the U.S. Core Equity 2 Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the U.S. Core Equity 2 Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. The U.S. Core Equity 2 Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the U.S. Core Equity 2 Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. U.S. Core Equity 2 Portfolio Institutional Class Shares—Total Returns -3.07% -60 -40 -20 0 60 20 40 (%) 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 0.51% -36.86% 29.15% 21.81% -2.09% 18.08% 37.76% 9.32% 16.58% January 2007-December 2016 Highest Quarter Lowest Quarter 19.26% (4/09–6/09)-24.17% (10/08–12/08) Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years U.S. Core Equity 2 Portfolio Return Before Taxes 16.58% 14.98% 6.98% Return After Taxes on Distributions 15.88% 14.28% 6.50% Return After Taxes on Distributions and Sale of Portfolio Shares 9.84% 11.98% 5.57% Russell 3000 ®Index (reflects no deduction for fees, expenses, or taxes)12.74% 14.67% 7.07% 33 Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the U.S. Core Equity 2 Portfolio. The following individuals are responsible for coordinating the day to day management of the U.S. Core Equity 2 Portfolio: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Lukas J. Smart,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2010. Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the U.S. Core Equity 2 Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the U.S. Core Equity 2 Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The U.S. Core Equity 2 Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the U.S. Core Equity 2 Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 34 U.S. Vector Equity Portfolio Investment Objective The investment objective of the U.S. Vector Equity Portfolio is to achieve long-term capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the U.S. Vector Equity Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) Management Fee 0.30% Other Expenses 0.02% Total Annual Fund Operating Expenses 0.32% EXAMPLE This Example is meant to help you compare the cost of investing in the U.S. Vector Equity Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $33 $103 $180 $406 PORTFOLIO TURNOVER The U.S. Vector Equity Portfolio pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the U.S. Vector Equity Portfolio’s performance. During the most recent fiscal year, the U.S. Vector Equity Portfolio’s portfolio turnover rate was 10% of the average value of its investment portfolio. Principal Investment Strategies The U.S. Vector Equity Portfolio purchases a broad and diverse group of securities of U.S. operating companies with a greater emphasis on small capitalization and value companies as compared to their representation in the U.S. Universe. Dimensional Fund Advisors LP (the “Advisor”) generally defines the U.S. Universe as a market capitalization weighted portfolio of U.S. operating companies listed on the New York Stock Exchange (“NYSE”), NYSE MKT LLC, Nasdaq Global Market ®, Nasdaq Capital Market ®, or such other securities exchanges deemed appropriate by the Advisor. The Portfolio’s increased exposure to small capitalization and value companies may be achieved by decreasing the allocation of the Portfolio’s assets to the largest U.S. growth companies relative to their weight in the U.S. Universe or by avoiding purchases in that segment of the market, either of which would 35 result in a greater weight allocation to small capitalization and value companies. An equity issuer is considered a growth company primarily because it has a low book value, that is not negative, in relation to its market capitalization. Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value. As a non-fundamental policy, under normal circumstances, the U.S. Vector Equity Portfolio will invest at least 80% of its net assets in equity securities of U.S. companies. The percentage allocation of the assets of the U.S. Vector Equity Portfolio to securities of the largest U.S. growth companies as defined above will generally be reduced from between 5% and 50% of their percentage weight in the U.S. Universe. For example, as of December 31, 2016, securities of the largest U.S. growth companies comprised 31% of the U.S. Universe and the Advisor allocated approximately 5% of the U.S. Vector Equity Portfolio to securities of the largest U.S. growth companies. The percentage by which the Portfolio’s allocation to securities of the largest U.S. growth companies is reduced will change due to market movements and other factors. The Advisor may also adjust the representation in the U.S. Vector Equity Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. The U.S. Vector Equity Portfolio also may purchase or sell futures contracts and options on futures contracts for U.S. equity securities and indices, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The Portfolio does not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The U.S. Vector Equity Portfolio may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Value Investment Risk:Value stocks may perform differently from the market as a whole and following a value- oriented investment strategy may cause the Portfolio to at times underperform equity funds that use other investment strategies. Derivatives Risk:Derivatives are instruments, such as futures contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the U.S. Vector Equity Portfolio uses derivatives, the Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. 36 Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the U.S. Vector Equity Portfolio may lose money and there may be a delay in recovering the loaned securities. The U.S. Vector Equity Portfolio could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The U.S. Vector Equity Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the U.S. Vector Equity Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the U.S. Vector Equity Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. The U.S. Vector Equity Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the U.S. Vector Equity Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. U.S. Vector Equity Portfolio Institutional Class Shares—Total Returns -5.03% -60 -40 -20 0 60 40 20 (%) 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 -3.08% -37.18% 29.22%25.12% -4.56% 18.97% 40.21% 6.51% 21.01% January 2007-December 2016 Highest Quarter Lowest Quarter 21.41% (7/09–9/09)-26.14% (10/08–12/08) 37 Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years U.S. Vector Equity Portfolio Return Before Taxes 21.01% 15.35% 6.73% Return After Taxes on Distributions 19.90% 14.42% 6.17% Return After Taxes on Distributions and Sale of Portfolio Shares 12.72% 12.28% 5.35% Russell 3000 ®Index (reflects no deduction for fees, expenses, or taxes)12.74% 14.67% 7.07% Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the U.S. Vector Equity Portfolio. The following individuals are responsible for coordinating the day to day management of the U.S. Vector Equity Portfolio: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Lukas J. Smart,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2010. Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the U.S. Vector Equity Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the U.S. Vector Equity Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The U.S. Vector Equity Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the U.S. Vector Equity Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 38 U.S. Small Cap Portfolio Investment Objective The investment objective of the U.S. Small Cap Portfolio is to achieve long-term capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the U.S. Small Cap Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) Management Fee 0.35% Other Expenses 0.02% Total Annual Fund Operating Expenses 0.37% EXAMPLE This Example is meant to help you compare the cost of investing in the U.S. Small Cap Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $38 $119 $208 $468 PORTFOLIO TURNOVER The U.S. Small Cap Portfolio pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the U.S. Small Cap Portfolio’s performance. During the most recent fiscal year, the U.S. Small Cap Portfolio’s portfolio turnover rate was 10% of the average value of its investment portfolio. Principal Investment Strategies The U.S. Small Cap Portfolio, using a market capitalization weighted approach, purchases a broad and diverse group of readily marketable securities of U.S. small cap companies. A company’s market capitalization is the number of its shares outstanding times its price per share. In general, the higher the relative market capitalization of the U.S. small cap company, the greater its representation in the Portfolio. Dimensional Fund Advisors LP (the “Advisor”) may adjust the representation in the U.S. Small Cap Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. 39 As a non-fundamental policy, under normal circumstances, the U.S. Small Cap Portfolio will invest at least 80% of its net assets in securities of small cap U.S. companies. As of the date of this Prospectus, for purposes of the U.S. Small Cap Portfolio, the Advisor considers small cap companies to be companies whose market capitalizations are generally in the lowest 10% of total market capitalization or companies whose market capitalizations are smaller than the 1,000th largest U.S. company, whichever results in the higher market capitalization break. Total market capitalization is based on the market capitalization of U.S. operating companies listed on the New York Stock Exchange (“NYSE”), NYSE MKT LLC, Nasdaq Global Market ®, Nasdaq Capital Market ®, or such other securities exchanges deemed appropriate by the Advisor. Under the Advisor’s market capitalization guidelines described above, based on market capitalization data as of December 31, 2016, the market capitalization of a small cap company would be $4,230 million or below. This dollar amount will change due to market conditions. The U.S. Small Cap Portfolio may purchase or sell futures contracts and options on futures contracts for U.S. equity securities and indices, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The Portfolio does not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The U.S. Small Cap Portfolio may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Derivatives Risk:Derivatives are instruments, such as futures contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the U.S. Small Cap Portfolio uses derivatives, the Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the U.S. Small Cap Portfolio may lose money and there may be a delay in recovering the loaned securities. The U.S. Small Cap Portfolio could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The U.S. Small Cap Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. 40 Performance The bar chart and table immediately following illustrate the variability of the U.S. Small Cap Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the U.S. Small Cap Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. The U.S. Small Cap Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the U.S. Small Cap Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. U.S. Small Cap Portfolio Institutional Class Shares—Total Returns -3.29% -60 -20 -40 0 60 40 20 (%) 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 -3.06% -36.01% 36.34% 30.70% -3.15% 18.39% 42.21% 4.44% 23.53% January 2007-December 2016 Highest Quarter Lowest Quarter 25.94% (4/09–6/09)-26.85% (10/08–12/08) Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years U.S. Small Cap Portfolio Return Before Taxes 23.53% 16.00% 8.44% Return After Taxes on Distributions 22.46% 14.78% 7.65% Return After Taxes on Distributions and Sale of Portfolio Shares 14.05% 12.76% 6.74% Russell 2000 ®Index (reflects no deduction for fees, expenses, or taxes)21.31% 14.46% 7.07% 41 Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the U.S. Small Cap Portfolio. The following individuals are responsible for coordinating the day to day management of the U.S. Small Cap Portfolio: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Joel P. Schneider,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2013. Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the U.S. Small Cap Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the U.S. Small Cap Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The U.S. Small Cap Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the U.S. Small Cap Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 42 U.S. Micro Cap Portfolio Investment Objective The investment objective of the U.S. Micro Cap Portfolio is to achieve long-term capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the U.S. Micro Cap Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) Management Fee 0.50% Other Expenses 0.02% Total Annual Fund Operating Expenses 0.52% EXAMPLE This Example is meant to help you compare the cost of investing in the U.S. Micro Cap Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $53 $167 $291 $653 PORTFOLIO TURNOVER The U.S. Micro Cap Portfolio pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the U.S. Micro Cap Portfolio’s performance. During the most recent fiscal year, the U.S. Micro Cap Portfolio’s portfolio turnover rate was 15% of the average value of its investment portfolio. Principal Investment Strategies The U.S. Micro Cap Portfolio, using a market capitalization weighted approach, purchases a broad and diverse group of the securities of U.S. micro cap companies. A company’s market capitalization is the number of its shares outstanding times its price per share. In general, the higher the relative market capitalization of the U.S. micro cap company, the greater its representation in the Portfolio. Dimensional Fund Advisors LP (the “Advisor”) may adjust the representation in the U.S. Micro Cap Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. 43 As a non-fundamental policy, under normal circumstances, the Portfolio will invest at least 80% of its net assets in securities of U.S. micro cap companies. As of the date of this Prospectus, for the purposes of the U.S. Micro Cap Portfolio, the Advisor considers micro cap companies to be companies whose market capitalizations are generally in the lowest 5% of total market capitalization or companies whose market capitalizations are smaller than the 1,500th largest U.S. company, whichever results in the higher market capitalization break. Total market capitalization is based on the market capitalization of U.S. operating companies listed on the New York Stock Exchange (“NYSE”), NYSE MKT LLC, Nasdaq Global Market ®, Nasdaq Capital Market ®, or such other securities exchanges deemed appropriate by the Advisor. Under the Advisor’s market capitalization guidelines described above, based on market capitalization data as of December 31, 2016, the market capitalization of a micro cap company would be $2,143 million or below. This dollar amount will change due to market conditions. When implementing its strategy, the U.S. Micro Cap Portfolio will, as of the date of this Prospectus, generally purchase securities of companies that are in the lowest 4% of total market capitalization but may also purchase securities of companies above this range that are considered micro cap companies under the Advisor’s market capitalization guidelines. The U.S. Micro Cap Portfolio may purchase or sell futures contracts and options on futures contracts for U.S. equity securities and indices, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The Portfolio does not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The U.S. Micro Cap Portfolio may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Derivatives Risk:Derivatives are instruments, such as futures contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the U.S. Micro Cap Portfolio uses derivatives, the Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the U.S. Micro Cap Portfolio may lose money and there may be a delay in recovering the loaned securities. The U.S. Micro Cap Portfolio could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The U.S. Micro Cap Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those 44 technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the U.S. Micro Cap Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the U.S. Micro Cap Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. The U.S. Micro Cap Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the U.S. Micro Cap Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. U.S. Micro Cap Portfolio Institutional Class Shares—Total Returns -3.62% -60 -40 -20 0 60 40 20 (%) 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 -5.22% -36.72% 28.06%31.29% -3.25% 18.24% 45.06% 25.63% 2.92% January 2007-December 2016 Highest Quarter Lowest Quarter 24.76% (4/09–6/09)-26.98% (10/08–12/08) Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years U.S. Micro Cap Portfolio Return Before Taxes 25.63% 16.41% 7.63% Return After Taxes on Distributions 24.12% 14.91% 6.65% Return After Taxes on Distributions and Sale of Portfolio Shares 15.72% 13.10% 6.02% Russell 2000 ®Index (reflects no deduction for fees, expenses, or taxes)21.31% 14.46% 7.07% 45 Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the U.S. Micro Cap Portfolio. The following individuals are responsible for coordinating the day to day management of the U.S. Micro Cap Portfolio: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Joel P. Schneider,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2013. Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the U.S. Micro Cap Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the U.S. Micro Cap Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The U.S. Micro Cap Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the U.S. Micro Cap Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 46 DFA Real Estate Securities Portfolio Investment Objective The investment objective of the DFA Real Estate Securities Portfolio is to achieve long-term capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the DFA Real Estate Securities Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) Management Fee 0.17% Other Expenses 0.02% Total Annual Fund Operating Expenses 0.19% Fee Waiver and/or Expense Reimbursement*0.01% Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement 0.18% * Dimensional Fund Advisors LP (the “Advisor”) has agreed to waive certain fees and in certain instances, assume certain expenses of the DFA Real Estate Securities Portfolio. The Fee Waiver and Expense Assumption Agreement for the Portfolio will remain in effect through February 28, 2018, and may only be terminated by the Fund’s Board of Directors prior to that date. Under certain circumstances, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed up to thirty-six months after such fee waiver and/or expense assumption. EXAMPLE This Example is meant to help you compare the cost of investing in the DFA Real Estate Securities Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. The costs for the Portfolio reflect the net expenses of the Portfolio that result from the contractual expense waiver and assumption in the first year only. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $18 $60 $106 $242 PORTFOLIO TURNOVER The DFA Real Estate Securities Portfolio pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the DFA Real Estate Securities Portfolio’s performance. During the most recent fiscal year, the DFA Real Estate Securities Portfolio’s portfolio turnover rate was 3% of the average value of its investment portfolio. 47 Principal Investment Strategies The DFA Real Estate Securities Portfolio, using a market capitalization weighted approach, purchases readily marketable equity securities of companies whose principal activities include ownership, management, development, construction, or sale of residential, commercial or industrial real estate. The Portfolio will principally invest in equity securities of companies in certain real estate investment trusts (“REITs”) and companies engaged in residential construction and firms, except partnerships, whose principal business is to develop commercial property. A company’s market capitalization is the number of its shares outstanding times its price per share. In general, the higher the relative market capitalization of the U.S. real estate company, the greater its representation in the Portfolio. The Advisor may adjust the representation in the DFA Real Estate Securities Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. As a non-fundamental policy, under normal circumstances, at least 80% of the DFA Real Estate Securities Portfolio’s net assets will be invested in securities of companies in the real estate industry. The DFA Real Estate Securities Portfolio generally considers a company to be principally engaged in the real estate industry if the company (i) derives at least 50% of its revenue or profits from the ownership, management, development, construction, or sale of residential, commercial, industrial, or other real estate; (ii) has at least 50% of the value of its assets invested in residential, commercial, industrial, or other real estate; or (iii) is organized as a REIT or REIT- like entity. REIT and REIT-like entities are types of real estate companies that pool investors’ funds for investment primarily in income producing real estate or real estate related loans or interests. The DFA Real Estate Securities Portfolio will make equity investments in securities listed on the New York Stock Exchange (“NYSE”), NYSE MKT LLC, Nasdaq Global Market ®, Nasdaq Capital Market ®, or such other securities exchanges deemed appropriate by the Advisor. The DFA Real Estate Securities Portfolio may purchase or sell futures contracts and options on futures contracts for U.S. equity securities and indices, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The Portfolio does not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The DFA Real Estate Securities Portfolio may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Risks of Concentrating in the Real Estate Industry:The DFA Real Estate Securities Portfolio is concentrated in the real estate industry. The exclusive focus by DFA Real Estate Securities Portfolio on the real estate industry will cause the Portfolio to be exposed to the general risks of direct real estate ownership. The value of securities in the real estate industry can be affected by changes in real estate values and rental income, property taxes, and tax and regulatory requirements. Also, the value of securities in the real estate industry may decline with changes in interest rates. Investing in REITs and REIT-like entities involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. REITs and REIT-like entities are dependent upon management skill, may not be diversified, and are subject to heavy cash flow dependency and self-liquidation. REITs and REIT-like entities also are subject to the possibility of failing to qualify for tax free pass-through of income. Also, because REITs and REIT-like entities typically are invested in a limited number of projects or in a 48 particular market segment, these entities are more susceptible to adverse developments affecting a single project or market segment than more broadly diversified investments. The performance of DFA Real Estate Securities Portfolio may be materially different from the broad equity market. Derivatives Risk:Derivatives are instruments, such as futures contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the DFA Real Estate Securities Portfolio uses derivatives, the Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the DFA Real Estate Securities Portfolio may lose money and there may be a delay in recovering the loaned securities. The DFA Real Estate Securities Portfolio could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The DFA Real Estate Securities Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the DFA Real Estate Securities Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the DFA Real Estate Securities Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. The DFA Real Estate Securities Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The secondary index in the table shows how the Portfolio’s performance compares to a group of securities that aligns more closely with the Portfolio’s investment strategies. The after-tax returns presented in the table for the DFA Real Estate Securities Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. 49 DFA Real Estate Securities Portfolio Institutional Class Shares—Total Returns -60 -20 -40 0 60 40 20 (%) 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 -18.67% -37.36% 28.17%28.67% 8.95% 17.48% 1.39% 31.11% 8.38% 3.24% January 2007-December 2016 Highest Quarter Lowest Quarter 33.83% (7/09–9/09)-38.39% (10/08–12/08) Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years DFA Real Estate Securities Portfolio Return Before Taxes 8.38% 11.81% 4.81% Return After Taxes on Distributions 6.70% 10.40% 3.46% Return After Taxes on Distributions and Sale of Portfolio Shares 4.92% 8.71% 3.15% S&P 500 ®Index(1) (reflects no deduction for fees, expenses, or taxes)11.96% 14.66% 6.95% Dow Jones U.S. Select REIT Index (reflects no deduction for fees, expenses, or taxes)6.68% 11.77% 4.63% (1)Copyright©2010 Standard & Poor’s Financial Services LLC, a subsidiary of The McGraw-Hill Companies, Inc. All rights reserved. Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the DFA Real Estate Securities Portfolio. The following individuals are responsible for coordinating the day to day management of the DFA Real Estate Securities Portfolio: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Lukas J. Smart,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2010. 50 Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the DFA Real Estate Securities Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the DFA Real Estate Securities Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The DFA Real Estate Securities Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the DFA Real Estate Securities Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 51 Large Cap International Portfolio Investment Objective The investment objective of the Large Cap International Portfolio is to achieve long-term capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the Large Cap International Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)* Management Fee 0.20% Other Expenses 0.03% Total Annual Fund Operating Expenses 0.23% * The “Management Fee” and “Total Annual Fund Operating Expenses” have been adjusted to reflect the decrease in the management fee payable by the Portfolio from 0.25% to 0.20% effective as of February 28, 2017. EXAMPLE This Example is meant to help you compare the cost of investing in the Large Cap International Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $24 $74 $130 $293 PORTFOLIO TURNOVER The Large Cap International Portfolio pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the Large Cap International Portfolio’s performance. During the most recent fiscal year, the Large Cap International Portfolio’s portfolio turnover rate was 10% of the average value of its investment portfolio. Principal Investment Strategies The Large Cap International Portfolio purchases securities of large non-U.S. companies in each country or region designated by Dimensional Fund Advisors LP (the “Advisor”) as an approved market for investment. The Advisor may consider a company’s size, value, and/or profitability relative to other eligible companies when making investment decisions for the Large Cap International Portfolio. In assessing value, the Advisor may consider factors such as a company’s book value in relation to its market value, as well as price to cash flow or price to earnings ratios. In assessing profitability, the Advisor may consider factors such as that of earnings or profits from 52 operations relative to book value or assets. The criteria the Advisor uses for assessing value or profitability are subject to change from time to time. The Advisor may also adjust the representation in the Large Cap International Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. The Advisor will seek to set country weights based on the relative adjusted market capitalizations of eligible large companies within each country. The Large Cap International Portfolio intends to purchase securities of large non-U.S. companies associated with developed market countries that the Advisor has designated as approved markets. As a non-fundamental policy, under normal circumstances, the Large Cap International Portfolio will invest at least 80% of its net assets in securities of large cap companies in the particular markets in which the Portfolio invests. The Advisor determines the minimum market capitalization of a large company with respect to each country or region in which the Portfolio invests. Based on market capitalization data as of December 31, 2016, for the Large Cap International Portfolio, the lowest minimum market capitalization of a large company in any country or region in which the Large Cap International Portfolio invests would be $1,977 million. This threshold will change due to market conditions. The Large Cap International Portfolio may gain exposure to companies in an approved market by purchasing equity securities in the form of depositary receipts, which may be listed or traded outside the issuer’s domicile country. The Portfolio also may purchase or sell futures contracts and options on futures contracts for foreign or U.S. equity securities and indices, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The Portfolio does not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The Large Cap International Portfolio may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Foreign Securities and Currencies Risk:Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The Large Cap International Portfolio does not hedge foreign currency risk. Value Investment Risk:Value stocks may perform differently from the market as a whole and following a value- oriented investment strategy may cause the Portfolio to at times underperform equity funds that use other investment strategies. Derivatives Risk:Derivatives are instruments, such as futures and foreign exchange forward contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the Large Cap International Portfolio uses derivatives, the Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. 53 Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the Large Cap International Portfolio may lose money and there may be a delay in recovering the loaned securities. The Large Cap International Portfolio could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The Large Cap International Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the Large Cap International Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the Large Cap International Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. The Large Cap International Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the Large Cap International Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. Large Cap International Portfolio Institutional Class Shares—Total Returns -40 -60 -20 0 40 60 20 (%) 17.75% 12.46% -41.45% 30.64% 9.25% -12.28% 20.69% 3.16% -5.24%-2.86% 2007 20122008 20102009 2011 2014 20152013 2016 January 2007-December 2016 Highest Quarter Lowest Quarter 25.17% (4/09–6/09)-20.63% (10/08–12/08) 54 Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years Large Cap International Portfolio Return Before Taxes 3.16% 6.18% 1.07% Return After Taxes on Distributions 2.39% 5.38% 0.40% Return After Taxes on Distributions and Sale of Portfolio Shares 2.30% 4.76% 0.83% MSCI World ex USA Index (net dividends) (reflects no deduction for fees, expenses, or taxes on sales)2.75% 6.07% 0.86% Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the Large Cap International Portfolio. Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as the sub-advisors for the Large Cap International Portfolio. The following individuals are responsible for coordinating the day to day management of the Large Cap International Portfolio: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Mary T. Phillips,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2014. •Bhanu P. Singh,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2012. Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the Large Cap International Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the Large Cap International Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The Large Cap International Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the Large Cap International Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. 55 Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 56 DFA International Value Portfolio Investment Objective The investment objective of the DFA International Value Portfolio is to achieve long-term capital appreciation. The DFA International Value Portfolio is a Feeder Portfolio and pursues its objective by investing substantially all of its assets in its corresponding Master Fund, The DFA International Value Series (the “DFA International Value Series”) of The DFA Investment Trust Company (the “Trust”), which has the same investment objective and policies as the Portfolio. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the DFA International Value Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)* Management Fee 0.60% Other Expenses 0.03% Total Annual Fund Operating Expenses 0.63% Fee Waiver and/or Expense Reimbursement 0.20% Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement 0.43% * The “Management Fee” includes an investment management fee payable by the Feeder Portfolio and an investment management fee payable by the Master Fund. For any period when the Feeder Portfolio is invested in other funds managed by Dimensional Fund Advisors LP (the “Advisor”) (collectively, “Underlying Funds”), the Advisor has contractually agreed to permanently waive the Feeder Portfolio’s direct investment management fee to the extent necessary to offset the proportionate share of any Underlying Fund’s investment management fee paid by the Feeder Portfolio through its investment in such Underlying Fund. The amounts set forth under “Other Expenses” and “Total Annual Fund Operating Expenses” reflect the direct expenses of the Feeder Portfolio and the indirect expenses of the Feeder Portfolio’s portion of the expenses of the Master Fund. EXAMPLE This Example is meant to help you compare the cost of investing in the DFA International Value Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $44 $138 $241 $542 The Example reflects the aggregate annual operating expenses of the DFA International Value Portfolio and the DFA International Value Portfolio’s portion of the expenses of the DFA International Value Series. 57 PORTFOLIO TURNOVER The DFA International Value Series pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the DFA International Value Portfolio’s performance. During the most recent fiscal year, the DFA International Value Series’ portfolio turnover rate was 17% of the average value of its investment portfolio. Principal Investment Strategies The DFA International Value Portfolio invests substantially all of its assets in the DFA International Value Series. The DFA International Value Series, using a market capitalization weighted approach, purchases securities of large non-U.S. companies in countries with developed markets that the Advisor determines to be value stocks. A company’s market capitalization is the number of its shares outstanding times its price per share. In general, the higher the relative market capitalization of a large company within an eligible country, the greater its representation in the Series. The Advisor may adjust the representation in the Series of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. The DFA International Value Series intends to purchase securities of large companies associated with developed market countries that the Advisor has designated as approved markets. The Advisor determines the minimum market capitalization of a large company with respect to each country or region in which the Series invests. Based on market capitalization data as of December 31, 2016, for the DFA International Value Series, the lowest minimum market capitalization of a large company in any country or region in which the DFA International Value Series invests would be $1,977 million. This threshold will change due to market conditions. The DFA International Value Series may gain exposure to companies associated with approved markets by purchasing equity securities in the form of depositary receipts, which may be listed or traded outside the issuer’s domicile country. The DFA International Value Series and the DFA International Value Portfolio each may purchase or sell futures contracts and options on futures contracts for foreign or U.S. equity securities and indices, to adjust market exposure based on actual or expected cash inflows to or outflows from the Series or Portfolio. The Series and Portfolio do not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The DFA International Value Series may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Foreign Securities and Currencies Risk:Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign 58 currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The DFA International Value Series does not hedge foreign currency risk. Value Investment Risk:Value stocks may perform differently from the market as a whole and following a value- oriented investment strategy may cause the Portfolio to at times underperform equity funds that use other investment strategies. Derivatives Risk:Derivatives are instruments, such as futures and foreign exchange forward contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the DFA International Value Series and the DFA International Value Portfolio use derivatives, the DFA International Value Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the DFA International Value Series may lose money and there may be a delay in recovering the loaned securities. The DFA International Value Series could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The DFA International Value Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the DFA International Value Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. The DFA International Value Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the DFA International Value Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. 59 DFA International Value Portfolio Institutional Class Shares—Total Returns -40 -60 -20 0 40 60 20 (%) 20122007 2008 20102009 2011 20142013 2015 2016 16.61% 10.25% -46.33% 39.45% 10.57% -16.85% 23.12% 8.41% -6.99%-6.31% January 2007-December 2016 Highest Quarter Lowest Quarter 33.93% (4/09–6/09)-24.43% (10/08–12/08) Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years DFA International Value Portfolio Return Before Taxes 8.41% 6.28% 0.28% Return After Taxes on Distributions 7.46% 5.39% -0.49% Return After Taxes on Distributions and Sale of Portfolio Shares 5.38% 4.86% 0.21% MSCI World ex USA Index (net dividends) (reflects no deduction for fees, expenses, or taxes on sales)2.75% 6.07% 0.86% Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the DFA International Value Portfolio and the DFA International Value Series. Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as the sub- advisors for the DFA International Value Series. The following individuals are responsible for coordinating the day to day management of the DFA International Value Portfolio and the DFA International Value Series: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Mary T. Phillips,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2014. •Bhanu P. Singh,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2012. 60 Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the DFA International Value Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the DFA International Value Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The DFA International Value Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the DFA International Value Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 61 International Core Equity Portfolio Investment Objective The investment objective of the International Core Equity Portfolio is to achieve long-term capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the International Core Equity Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)* Management Fee 0.27% Other Expenses 0.03% Total Annual Fund Operating Expenses 0.30% * The “Management Fee” and “Total Annual Fund Operating Expenses” have been adjusted to reflect the decrease in the management fee payable by the Portfolio from 0.35% to 0.27% effective as of February 28, 2017. EXAMPLE This Example is meant to help you compare the cost of investing in the International Core Equity Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $31 $97 $169 $381 PORTFOLIO TURNOVER The International Core Equity Portfolio pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the International Core Equity Portfolio’s performance. During the most recent fiscal year, the International Core Equity Portfolio’s portfolio turnover rate was 2% of the average value of its investment portfolio. Principal Investment Strategies The International Core Equity Portfolio purchases a broad and diverse group of securities of non-U.S. companies in developed markets with a greater emphasis on small capitalization and value companies as compared to their representation in the International Universe. For purposes of this Portfolio, Dimensional Fund Advisors LP (the “Advisor”) defines the International Universe as a market capitalization weighted portfolio of non-U.S. companies in developed markets that have been authorized as approved markets for investment by the Advisor’s Investment Committee. The Portfolio’s increased exposure to small capitalization and value companies may be achieved by 62 decreasing the allocation of the International Core Equity Portfolio’s assets to the largest growth companies relative to their weight in the International Universe, which would result in a greater weight allocation to small capitalization and value companies. An equity issuer is considered a growth company primarily because it has a low book value, that is not negative, in relation to its market capitalization. Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value. The International Core Equity Portfolio intends to purchase securities of companies associated with developed market countries that the Advisor has designated as approved markets. As a non-fundamental policy, under normal circumstances, the International Core Equity Portfolio will invest at least 80% of its net assets in equity securities. The Advisor determines company size on a country or region specific basis and based primarily on market capitalization. The percentage allocation of the assets of the International Core Equity Portfolio to securities of the largest growth companies as defined above will generally be reduced from between 5% and 35% of their percentage weight in the International Universe. As of December 31, 2016, securities of the largest growth companies in the International Universe comprised approximately 15% of the International Universe and the Advisor allocated approximately 4% of the International Core Equity Portfolio to securities of the largest growth companies in the International Universe. The percentage by which the Portfolio’s allocation to securities of the largest growth companies is reduced will change due to market movements and other factors. The Advisor may also adjust the representation in the International Core Equity Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. The International Core Equity Portfolio may gain exposure to companies associated with approved markets by purchasing equity securities in the form of depositary receipts, which may be listed or traded outside the issuer’s domicile country. The International Core Equity Portfolio also may purchase or sell futures contracts and options on futures contracts for foreign or U.S. equity securities and indices, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The Portfolio does not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The International Core Equity Portfolio may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Foreign Securities and Currencies Risk:Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The International Core Equity Portfolio does not hedge foreign currency risk. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. 63 Value Investment Risk:Value stocks may perform differently from the market as a whole and following a value- oriented investment strategy may cause the Portfolio to at times underperform equity funds that use other investment strategies. Derivatives Risk:Derivatives are instruments, such as futures and foreign exchange forward contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the International Core Equity Portfolio uses derivatives, the Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the International Core Equity Portfolio may lose money and there may be a delay in recovering the loaned securities. The International Core Equity Portfolio could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The International Core Equity Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the International Core Equity Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the International Core Equity Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. The International Core Equity Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the International Core Equity Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. 64 International Core Equity Portfolio Institutional Class Shares—Total Returns -40 -60 -20 0 40 60 20 (%) 2007 20122008 20102009 2011 2014 20152013 2016 8.50% -44.01% -15.12% 39.29% 13.91%18.74% 23.43% 5.34% -5.98% -0.21% January 2007-December 2016 Highest Quarter Lowest Quarter 31.34% (4/09–6/09)-22.25% (10/08–12/08) Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years International Core Equity Portfolio Return Before Taxes 5.34% 7.69% 1.71% Return After Taxes on Distributions 4.59% 6.96% 1.10% Return After Taxes on Distributions and Sale of Portfolio Shares 3.52% 5.98% 1.32% MSCI World ex USA Index (net dividends) (reflects no deduction for fees, expenses, or taxes on sales)2.75% 6.07% 0.86% Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the International Core Equity Portfolio. Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as the sub-advisors for the International Core Equity Portfolio. The following individuals are responsible for coordinating the day to day management of the International Core Equity Portfolio: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Mary T. Phillips,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2014. •Allen Pu,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2006. •Bhanu P. Singh,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2012. 65 Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the International Core Equity Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the International Core Equity Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The International Core Equity Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the International Core Equity Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 66 Global Small Company Portfolio Investment Objective The investment objective of the Global Small Company Portfolio (the “Portfolio”) is to achieve long-term capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the Global Small Company Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) Management Fee 0.45% Other Expenses*0.03% Acquired Fund Fees and Expenses*0.27% Total Annual Fund Operating Expenses 0.75% Fee Waiver and/or Expense Reimbursement**0.26% Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement 0.49% * The Global Small Company Portfolio is a new portfolio, so the “Other Expenses” and “Acquired Fund Fees and Expenses” shown are based on anticipated fees and expenses for the first full fiscal year. **Dimensional Fund Advisors LP (the “Advisor”) has agreed to waive all or a portion of its management fee and to assume the ordinary operating expenses of a class of the Global Small Company 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 0.49% of the average net assets of a class of the Portfolio on an annualized basis. The Fee Waiver and Expense Assumption Agreement for the Portfolio will remain in effect through February 28, 2018, and may only be terminated by the Fund’s Board of Directors prior to that date. Under certain circumstances, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed up to thirty-six months after such fee waiver and/or expense assumption. EXAMPLE This Example is meant to help you compare the cost of investing in the Global Small Company Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. The costs for the Portfolio reflect the net expenses of the Portfolio that result from the contractual expense waiver in the first year only. Although your actual costs may be higher or lower, based on these assumptions, your costs would be: 1 Year 3 Years $50 $214 67 PORTFOLIO TURNOVER A mutual fund generally pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when mutual fund shares are held in a taxable account. The Global Small Company Portfolio does not pay transaction costs when buying and selling shares of other mutual funds (the “Underlying Funds”); however, the Underlying Funds pay transaction costs when buying and selling securities for their portfolio. The transaction costs incurred by the Underlying Funds, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the Portfolio’s performance. Because the Portfolio is new, information about portfolio turnover rate is not yet available. Principal Investment Strategies The Global Small Company Portfolio is a “fund of funds,” which means the Portfolio generally allocates its assets among other funds managed by the Advisor (the “Underlying Funds”), although it has the ability to invest directly in securities and derivatives. The Portfolio seeks to achieve its investment objective of providing investors with access to securities portfolios consisting of a broad range of equity securities of primarily small companies in developed and emerging markets. The Portfolio pursues its investment objective by investing substantially all of its assets in the following Underlying Funds: The Asia Pacific Small Company Series, The Canadian Small Company Series, The Continental Small Company Series, The Emerging Markets Small Cap Series, The Japanese Small Company Series, The United Kingdom Small Company Series (each a series of The DFA Investment Trust Company), and U.S. Small Cap Portfolio (a series of DFA Investment Dimensions Group Inc.). The Global Small Company Portfolio typically allocates its investments among the Underlying Funds in the following manner: 30% to 60% in the U.S. Small Cap Portfolio; 5% to 30% in The Continental Small Company Series; 5% to 25% in The Emerging Markets Small Cap Series; 0% to 20% in The Japanese Small Company Series; 0% to 20% in The United Kingdom Small Company Series; 0% to 15% in The Asia Pacific Company Series; and 0% to 10% in The Canadian Small Company Series. When deciding allocations to the Underlying Funds, the Global Small Company Portfolio takes into account, among other factors, the aggregate market capitalizations and adjustments for free float of the eligible universe of securities within each region. Periodically, the Advisor will review the allocations for the Portfolio in each Underlying Fund and may adjust allocations to the Underlying Funds or may add or remove Underlying Funds in the Portfolio without notice to shareholders. Certain Underlying Funds invest in small companies using a market capitalization weighted approach in each country or region designated by the Advisor as an approved market for investment. A company’s market capitalization is the number of its shares outstanding times its price per share. In general, the higher the relative market capitalization of a small company within an eligible country or region, the greater its representation in the Underlying Fund. The Advisor may adjust the representation in the Underlying Funds of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. Under normal circumstances, the Portfolio, directly or through its investments in the Underlying Funds, may invest up to 60% of its net assets in U.S. companies (unless market conditions are not deemed favorable by the Advisor, in which case the Portfolio, directly or through its investments in the Underlying Funds, may invest up to 70% of its net assets in U.S. companies). As a non-fundamental policy, under normal circumstances, the Portfolio, directly or through its investments in the Underlying Funds, will invest at least 80% of its net assets in securities of small companies. The Advisor determines the maximum market capitalization of a small company with respect to each country in which the Portfolio or Underlying Fund invests. In the countries or regions authorized for investment, the Advisor first ranks eligible companies listed on selected exchanges based on the companies’ market capitalizations. The Advisor then determines the universe of eligible stocks by defining the maximum market capitalization of a small company that may be purchased by the Portfolio or Underlying Fund with respect to each country or region. Based on market capitalization data as of December 31, 2016, for the Global Small Company Portfolio, the highest maximum market capitalization of a small company in any country in which the Global Small Company Portfolio or its Underlying Funds invests would be $5,561 million. This threshold will vary by country or region. For example, based on market capitalization data as of December 31, 2016, the Advisor would consider a small 68 company in Switzerland to have a market capitalization below $4,854 million, a small company in the United States to have a market capitalization below $4,230 million, a small company in Norway to have a market capitalization below $2,275 million, and a small company in Japan to have a market capitalization below $1,977 million. This threshold will change due to market conditions. The Portfolio and each Underlying Fund may invest in affiliated and unaffiliated registered and unregistered money market funds to manage its cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in money market funds may involve a duplication of certain fees and expenses. The Portfolio and each Underlying Fund may gain exposure to companies associated with approved markets by purchasing equity securities in the form of depositary receipts, which may be listed or traded outside the issuer’s domicile country. The Portfolio and each Underlying Fund may purchase or sell futures contracts and options on futures contracts for equity securities and indices of its approved markets or other equity market securities or indices, including those of the United States, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio or Underlying Fund. The Portfolio and Underlying Funds do not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The Portfolio and Underlying Funds may lend their portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Fund of Funds Risk:The investment performance of the Global Small Company Portfolio is affected by the investment performance of the Underlying Funds in which the Global Small Company Portfolio invests. The ability of the Global Small Company Portfolio to achieve its investment objective depends on the ability of the Underlying Funds to meet their investment objectives and on the Advisor’s decisions regarding the allocation of the Portfolio’s assets among the Underlying Funds. There can be no assurance that the investment objective of the Global Small Company Portfolio or any Underlying Fund will be achieved. When the Portfolio invests in Underlying Funds, investors are exposed to a proportionate share of the expenses of those Underlying Funds in addition to the expenses of the Portfolio. Through its investments in the Underlying Funds, the Global Small Company Portfolio is subject to the risks of the Underlying Funds’ investments. The risks of the Global Small Company Portfolio’s and Underlying Funds’ investments are described below. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Foreign Securities and Currencies Risk:Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The Underlying Funds do not hedge foreign currency risk. Emerging Markets Risk:Numerous emerging market countries have a history of, and continue to experience serious, and potentially continuing, economic and political problems. Stock markets in many emerging market countries are relatively small, expensive to trade in and generally have higher risks than those in developed markets. Securities in emerging markets also may be less liquid than those in developed markets and foreigners are often limited in their ability to invest in, and withdraw assets from, these markets. Additional restrictions may 69 be imposed under other conditions. Frontier market countries generally have smaller economies or less developed capital markets and, as a result, the risks of investing in emerging market countries are magnified in frontier market countries. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Derivatives Risk:Derivatives are instruments, such as futures and foreign exchange forward contracts, whose value is derived from that of other assets, rates or indices. Derivatives can be used for hedging (attempting to reduce risk by offsetting one investment position with another) or non-hedging purposes. Hedging with derivatives may increase expenses, and there is no guarantee that a hedging strategy will work. While hedging can reduce or eliminate losses, it can also reduce or eliminate gains or cause losses if the market moves in a manner different from that anticipated by the Portfolio or if the cost of the derivative outweighs the benefit of the hedge. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the Global Small Company Portfolio or an Underlying Fund uses derivatives, the Portfolio or Underlying Fund will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio or Underlying Fund could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the Global Small Company Portfolio or an Underlying Fund may lose money and there may be a delay in recovering the loaned securities. The Portfolio or Underlying Fund could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The Global Small Company Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance Performance information is not available for the Global Small Company Portfolio because it has not yet completed a full calendar year of operations. Updated performance information for the Portfolio can be obtained in the future by visiting http://us.dimensional.com. Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the Global Small Company Portfolio. Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as the sub-advisors for the Global Small Company Portfolio. The following individuals are responsible for coordinating the day-to-day management of the Global Small Company Portfolio: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager of the Portfolio since inception. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager of the Portfolio since inception. 70 •Mary T. Phillips,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2014. •Allen Pu,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager of the Portfolio since inception. Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the Global Small Company Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the Global Small Company Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 71 International Small Company Portfolio Investment Objective The investment objective of the International Small Company Portfolio is to achieve long-term capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the International Small Company Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) Management Fee 0.40% Other Expenses 0.01% Acquired Fund Fees and Expenses 0.12% Total Annual Fund Operating Expenses 0.53% EXAMPLE This Example is meant to help you compare the cost of investing in the International Small Company Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $54 $170 $296 $665 PORTFOLIO TURNOVER A mutual fund generally pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when mutual fund shares are held in a taxable account. The International Small Company Portfolio does not pay transaction costs when buying and selling shares of other mutual funds (the “Underlying Funds”); however, the Underlying Funds pay transaction costs when buying and selling securities for their portfolio. The transaction costs incurred by the Underlying Funds, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the International Small Company Portfolio’s performance. During the most recent fiscal year, the International Small Company Portfolio’s portfolio turnover rate was 10% based on the weighted average portfolio turnover ratios of each of the Portfolio’s underlying investments. Principal Investment Strategies The International Small Company Portfolio is a “fund of funds,” which means the Portfolio generally allocates its assets among other funds managed by Dimensional Fund Advisors LP (the “Advisor”) (the “Underlying Funds”), 72 although it has the ability to invest directly in securities and derivatives. The International Small Company Portfolio seeks to achieve its investment objective of providing investors with access to securities portfolios consisting of a broad range of equity securities of primarily small Canadian, Japanese, United Kingdom, Continental European and Asia Pacific companies. The International Small Company Portfolio also may have some exposure to small cap equity securities associated with other countries or regions. The International Small Company Portfolio pursues its investment objective by investing substantially all of its assets in the following Underlying Funds: The Canadian Small Company Series, The Japanese Small Company Series, The Asia Pacific Small Company Series, The United Kingdom Small Company Series and The Continental Small Company Series of The DFA Investment Trust Company. Periodically, the Advisor will review the allocations for the International Small Company Portfolio in each Underlying Fund and may adjust allocations to the Underlying Funds or may add or remove Underlying Funds in the Portfolio without notice to shareholders. Each Underlying Fund invests in small companies using a market capitalization weighted approach in each country or region designated by the Advisor as an approved market for investment. A company’s market capitalization is the number of its shares outstanding times its price per share. In general, the higher the relative market capitalization of a small company within an eligible country, the greater its representation in the Underlying Fund. The Advisor may adjust the representation in the Underlying Funds of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. As a non-fundamental policy, under normal circumstances, the International Small Company Portfolio, through its investments in the Underlying Funds, will invest at least 80% of its net assets in securities of small companies. The International Small Company Portfolio and each Underlying Fund may invest in affiliated and unaffiliated registered and unregistered money market funds to manage its cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in money market funds may involve a duplication of certain fees and expenses. Each Underlying Fund may gain exposure to companies associated with approved markets by purchasing equity securities in the form of depositary receipts, which may be listed or traded outside the issuer’s domicile country. The International Small Company Portfolio and each Underlying Fund may purchase or sell futures contracts and options on futures contracts for equity securities and indices of its approved markets or other equity market securities or indices, including those of the United States, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio or Underlying Fund. The International Small Company Portfolio and Underlying Funds do not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The International Small Company Portfolio and the Underlying Funds may lend their portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Fund of Funds Risk:The investment performance of the International Small Company Portfolio is affected by the investment performance of the Underlying Funds in which the International Small Company Portfolio invests. The ability of the International Small Company Portfolio to achieve its investment objective depends on the ability of the Underlying Funds to meet their investment objectives and on the Advisor’s decisions regarding the allocation of the Portfolio’s assets among the Underlying Funds. There can be no assurance that the investment objective of the International Small Company Portfolio or any Underlying Fund will be achieved. When the Portfolio invests in Underlying Funds, investors are exposed to a proportionate share of the expenses of those Underlying Funds in addition to the expenses of the Portfolio. Through its investments in the Underlying Funds, the International Small Company Portfolio is subject to the risks of the Underlying Funds’ investments. The risks of the International Small Company Portfolio’s and Underlying Funds’ investments are described below. 73 Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Foreign Securities and Currencies Risk:Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The Underlying Funds do not hedge foreign currency risk. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Derivatives Risk:Derivatives are instruments, such as futures and foreign exchange forward contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the International Small Company Portfolio or an Underlying Fund uses derivatives, the Portfolio or Underlying Fund will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio or Underlying Fund could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the Underlying Funds may lose money and there may be a delay in recovering the loaned securities. The Underlying Funds could also lose money if they do not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. To the extent that the Portfolio holds securities directly and lends those securities, it will be also subject to the foregoing risks with respect to its loaned securities. Cyber Security Risk:The International Small Company Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the International Small Company Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in International Small Company Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. The International Small Company Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the International Small Company Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. 74 International Small Company Portfolio Institutional Class Shares—Total Returns -40 -60 -20 0 40 60 20 (%) 20122007 2008 20102009 2011 20142013 2016 18.85% 5.66% -43.87% 41.96% 23.91% -15.35% 27.44% 2015 5.91%5.80% -6.30% January 2007-December 2016 Highest Quarter Lowest Quarter 31.49% (4/09–6/09)-22.43% (7/08–9/08) Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years International Small Company Portfolio Return Before Taxes 5.80% 9.72% 3.46% Return After Taxes on Distributions 4.41% 8.41% 2.46% Return After Taxes on Distributions and Sale of Portfolio Shares 4.23% 7.52% 2.63% MSCI World ex USA Small Cap Index (net dividends) (reflects no deduction for fees, expenses, or taxes on sales)4.32% 8.96% 2.69% Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the International Small Company Portfolio and Underlying Funds. The following individuals are responsible for coordinating the day to day management of the International Small Company Portfolio and Underlying Funds: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Arun C. Keswani,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2013. •Mary T. Phillips,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2014. •Bhanu P. Singh,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2012. 75 Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the International Small Company Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the International Small Company Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The International Small Company Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the International Small Company Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 76 Japanese Small Company Portfolio Investment Objective The investment objective of the Japanese Small Company Portfolio is to achieve long-term capital appreciation. The Japanese Small Company Portfolio is a Feeder Portfolio and pursues its objective by investing substantially all of its assets in its corresponding Master Fund, The Japanese Small Company Series (the “Japanese Small Company Series”) of The DFA Investment Trust Company (the “Trust”), which has the same investment objective and policies as the Portfolio. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the Japanese Small Company Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)* Management Fee 0.60% Other Expenses 0.04% Total Annual Fund Operating Expenses 0.64% Fee Waiver and/or Expense Reimbursement 0.10% Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement 0.54% * The “Management Fee” includes an investment management fee payable by the Feeder Portfolio and an investment management fee payable by the Master Fund. For any period when the Feeder Portfolio is invested in other funds managed by Dimensional Fund Advisors LP (the “Advisor”) (collectively, “Underlying Funds”), the Advisor has contractually agreed to permanently waive the Feeder Portfolio’s direct investment management fee to the extent necessary to offset the proportionate share of any Underlying Fund’s investment management fee paid by the Feeder Portfolio through its investment in such Underlying Fund. The amounts set forth under “Other Expenses” and “Total Annual Fund Operating Expenses” reflect the direct expenses of the Feeder Portfolio and the indirect expenses of the Feeder Portfolio’s portion of the expenses of the Master Fund. EXAMPLE This Example is meant to help you compare the cost of investing in the Japanese Small Company Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $55 $173 $302 $677 The Example reflects the aggregate annual operating expenses of the Japanese Small Company Portfolio and the Japanese Small Company Portfolio’s portion of the expenses of the Japanese Small Company Series. 77 PORTFOLIO TURNOVER The Japanese Small Company Series pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the Japanese Small Company Portfolio’s performance. During the most recent fiscal year, the Japanese Small Company Series’ portfolio turnover rate was 10% of the average value of its investment portfolio. Principal Investment Strategies The Japanese Small Company Portfolio pursues its investment objective by investing substantially all of its assets in the Japanese Small Company Series. The Japanese Small Company Series, using a market capitalization weighted approach, purchases a broad and diverse group of readily marketable securities of small companies associated with Japan. A company’s market capitalization is the number of its shares outstanding times its price per share. In general, the higher the relative market capitalization of a Japanese small company, the greater its representation in the Series. The Advisor may adjust the representation in the Series of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. As a non-fundamental policy, under normal circumstances, the Japanese Small Company Series will invest at least 80% of its net assets in securities of Japanese small companies. The Advisor first ranks eligible companies by market capitalization. The Advisor then determines the universe of eligible securities by defining the maximum market capitalization of a small company in Japan. Based on market capitalization data as of December 31, 2016, the Advisor would consider Japanese small companies to be those companies with a market capitalization below $1,977 million. This dollar amount will change due to market conditions. The Japanese Small Company Series may gain exposure to companies associated with Japan by purchasing equity securities in the form of depositary receipts, which may be listed or traded outside the issuer’s domicile country. The Japanese Small Company Series and the Japanese Small Company Portfolio each may purchase or sell futures contracts and options on futures contracts for Japanese equity securities and indices or other equity market securities and indices, including those of the United States, to adjust market exposure based on actual or expected cash inflows to or outflows from the Series or Portfolio. The Series and Portfolio do not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The Japanese Small Company Series may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Foreign Securities and Currencies Risk:Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign 78 currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The Japanese Small Company Series does not hedge foreign currency risk. Japan Market Risk:Because the Japanese Small Company Series concentrates investments in Japan, the Japanese Small Company Portfolio’s performance is expected to be closely tied to the social, political and economic conditions within Japan and to be more volatile than the performance of funds with more geographically diverse investments. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Derivatives Risk:Derivatives are instruments, such as futures and foreign exchange forward contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the Japanese Small Company Series and the Japanese Small Company Portfolio use derivatives, the Japanese Small Company Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the Japanese Small Company Series may lose money and there may be a delay in recovering the loaned securities. The Japanese Small Company Series could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The Japanese Small Company Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the Japanese Small Company Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in Japanese Small Company Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. The Japanese Small Company Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the Japanese Small Company Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. 79 Japanese Small Company Portfolio Institutional Class Shares—Total Returns -40 -20 0 40 20 (%) 20132007 2008 2009 20112010 2012 20152014 2016 4.16% -8.53% -12.12% 3.21% 17.50% -1.01% 23.66% -0.93% 13.99% 9.16% January 2007-December 2016 Highest Quarter Lowest Quarter 24.48% (4/09–6/09)-15.28% (1/09–3/09) Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years Japanese Small Company Portfolio Return Before Taxes 9.16% 9.69% 4.36% Return After Taxes on Distributions 8.66% 9.20% 3.99% Return After Taxes on Distributions and Sale of Portfolio Shares 5.60% 7.62% 3.44% MSCI Japan Small Cap Index (net dividends) (reflects no deduction for fees, expenses, or taxes on sales)7.57% 10.16% 3.19% Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the Japanese Small Company Portfolio and Japanese Small Company Series. DFA Australia Limited serves as the sub-advisor for the Japanese Small Company Series. The following individuals are responsible for coordinating the day to day management of the Japanese Small Company Portfolio and Japanese Small Company Series: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Arun C. Keswani,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2013. •Mary T. Phillips,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2014. •Bhanu P. Singh,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2012. 80 Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the Japanese Small Company Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the Japanese Small Company Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The Japanese Small Company Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the Japanese Small Company Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 81 Asia Pacific Small Company Portfolio Investment Objective The investment objective of the Asia Pacific Small Company Portfolio is to achieve long-term capital appreciation. The Asia Pacific Small Company Portfolio is a Feeder Portfolio and pursues its objective by investing substantially all of its assets in its corresponding Master Fund, The Asia Pacific Small Company Series (the “Asia Pacific Small Company Series”) of The DFA Investment Trust Company (the “Trust”), which has the same investment objective and policies as the Portfolio. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the Asia Pacific Small Company Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)* Management Fee 0.60% Other Expenses 0.04% Total Annual Fund Operating Expenses 0.64% Fee Waiver and/or Expense Reimbursement 0.10% Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement 0.54% * The “Management Fee” includes an investment management fee payable by the Feeder Portfolio and an investment management fee payable by the Master Fund. For any period when the Feeder Portfolio is invested in other funds managed by Dimensional Fund Advisors LP (the “Advisor”) (collectively, “Underlying Funds”), the Advisor has contractually agreed to permanently waive the Feeder Portfolio’s direct investment management fee to the extent necessary to offset the proportionate share of any Underlying Fund’s investment management fee paid by the Feeder Portfolio through its investment in such Underlying Fund. The amounts set forth under “Other Expenses” and “Total Annual Fund Operating Expenses” reflect the direct expenses of the Feeder Portfolio and the indirect expenses of the Feeder Portfolio’s portion of the expenses of the Master Fund. EXAMPLE This Example is meant to help you compare the cost of investing in the Asia Pacific Small Company Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $55 $173 $302 $677 The Example reflects the aggregate annual operating expenses of the Asia Pacific Small Company Portfolio and the Asia Pacific Small Company Portfolio’s portion of the expenses of the Asia Pacific Small Company Series. 82 PORTFOLIO TURNOVER The Asia Pacific Small Company Series pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the Asia Pacific Small Company Portfolio’s performance. During the most recent fiscal year, the Asia Pacific Small Company Series’ portfolio turnover rate was 10% of the average value of its investment portfolio. Principal Investment Strategies The Asia Pacific Small Company Portfolio pursues its investment objective by investing substantially all of its assets in the Asia Pacific Small Company Series. The Asia Pacific Small Company Series, using a market capitalization weighted approach, purchases a broad and diverse group of readily marketable securities of small companies associated with Australia, New Zealand and Pacific Rim Asian countries designated by the Advisor as approved markets for investment. A company’s market capitalization is the number of its shares outstanding times its price per share. In general, the higher the relative market capitalization of a small company within an eligible country, the greater its representation in the Series. The Advisor may adjust the representation in the Series of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. As a non-fundamental policy, under normal circumstances, the Asia Pacific Small Company Series will invest at least 80% of its net assets in securities of small companies located in Australia, New Zealand and Pacific Rim Asian countries. The Advisor determines the maximum market capitalization of a small company with respect to each country in which the Series invests. Based on market capitalization data as of December 31, 2016, for the Asia Pacific Small Company Series, the highest maximum market capitalization of a small company in any country in which the Asia Pacific Small Company Series invests would be $3,688 million. This threshold will change due to market conditions. The Asia Pacific Small Company Series may gain exposure to companies associated with approved markets by purchasing equity securities in the form of depositary receipts, which may be listed or traded outside the issuer’s domicile country. The Asia Pacific Small Company Series and the Asia Pacific Small Company Portfolio each may purchase or sell futures contracts and options on futures contracts for Asia Pacific equity securities and indices or other equity market securities and indices, including those of the United States, to adjust market exposure based on actual or expected cash inflows to or outflows from the Series or Portfolio. The Series and Portfolio do not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The Asia Pacific Small Company Series may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. 83 Foreign Securities and Currencies Risk:Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The Asia Pacific Small Company Series does not hedge foreign currency risk. Asia Pacific Market Risk:Because the Asia Pacific Small Company Series concentrates investments in Asia Pacific countries, the Asia Pacific Small Company Portfolio’s performance is expected to be closely tied to the social, political and economic conditions within such Asia Pacific countries and to be more volatile than the performance of funds with more geographically diverse investments. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Derivatives Risk:Derivatives are instruments, such as futures and foreign exchange forward contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the Asia Pacific Small Company Series and the Asia Pacific Small Company Portfolio use derivatives, the Asia Pacific Small Company Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the Asia Pacific Small Company Series may lose money and there may be a delay in recovering the loaned securities. The Asia Pacific Small Company Series could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The Asia Pacific Small Company Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the Asia Pacific Small Company Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in Asia Pacific Small Company Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. The Asia Pacific Small Company Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the Asia Pacific Small Company Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. 84 Asia Pacific Small Company Portfolio Institutional Class Shares—Total Returns -30 -60 -90 -120 0 90 60 120 30 (%) 20132007 2008 2009 20112010 2012 20152014 2016 24.03% 10.00% 40.05% -57.04% 97.04% 29.42% -20.12% 1.65% -8.20%-3.56% January 2007-December 2016 Highest Quarter Lowest Quarter 45.62% (4/09–6/09)-33.12% (10/08–12/08) Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years Asia Pacific Small Company Portfolio Return Before Taxes 10.00% 4.19% 4.17% Return After Taxes on Distributions 8.66% 2.68% 2.86% Return After Taxes on Distributions and Sale of Portfolio Shares 6.06% 2.79% 2.94% MSCI Pacific ex Japan Small Cap Index (net dividends) (reflects no deduction for fees, expenses, or taxes on sales)7.48% 1.62% 0.46% Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the Asia Pacific Small Company Portfolio and Asia Pacific Small Company Series. DFA Australia Limited serves as the sub-advisor for the Asia Pacific Small Company Series. The following individuals are responsible for coordinating the day to day management of the Asia Pacific Small Company Portfolio and Asia Pacific Small Company Series: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Arun C. Keswani,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2013. •Mary T. Phillips,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2014. •Bhanu P. Singh,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2012. 85 Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the Asia Pacific Small Company Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the Asia Pacific Small Company Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The Asia Pacific Small Company Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the Asia Pacific Small Company Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 86 United Kingdom Small Company Portfolio Investment Objective The investment objective of the United Kingdom Small Company Portfolio is to achieve long-term capital appreciation. The United Kingdom Small Company Portfolio is a Feeder Portfolio and pursues its objective by investing substantially all of its assets in its corresponding Master Fund, The United Kingdom Small Company Series (the “United Kingdom Small Company Series”) of The DFA Investment Trust Company (the “Trust”), which has the same investment objective and policies as the Portfolio. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the United Kingdom Small Company Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)* Management Fee 0.60% Other Expenses 0.11% Total Annual Fund Operating Expenses 0.71% Fee Waiver and/or Expense Reimbursement**0.12% Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement 0.59% * The “Management Fee” includes an investment management fee payable by the Feeder Portfolio and an investment management fee payable by the Master Fund. For any period when the Feeder Portfolio is invested in other funds managed by Dimensional Fund Advisors LP (the “Advisor”) (collectively, “Underlying Funds”), the Advisor has contractually agreed to permanently waive the Feeder Portfolio’s direct investment management fee to the extent necessary to offset the proportionate share of any Underlying Fund’s investment management fee paid by the Feeder Portfolio through its investment in such Underlying Fund. The amounts set forth under “Other Expenses” and “Total Annual Fund Operating Expenses” reflect the direct expenses of the Feeder Portfolio and the indirect expenses of the Feeder Portfolio’s portion of the expenses of the Master Fund. **The Advisor has further agreed to waive certain fees and in certain instances, assume certain expenses of the United Kingdom Small Company Portfolio. This portion of the Fee Waiver and Expense Assumption Agreement for the Portfolio will remain in effect through February 28, 2018, and may only be terminated by the Fund’s Board of Directors prior to that date (the “Temporary Fee Waiver”). Under certain circumstances, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed up to thirty-six months after such fee waiver and/or expense assumption. EXAMPLE This Example is meant to help you compare the cost of investing in the United Kingdom Small Company Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. The costs for the Portfolio reflect the net expenses of the Portfolio that result from the Temporary Fee Waiver in the first year only. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $60 $193 $338 $760 87 The Example reflects the aggregate annual operating expenses of the United Kingdom Small Company Portfolio and the United Kingdom Small Company Portfolio’s portion of the expenses of the United Kingdom Small Company Series. PORTFOLIO TURNOVER The United Kingdom Small Company Series pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the United Kingdom Small Company Portfolio’s performance. During the most recent fiscal year, the United Kingdom Small Company Series’ portfolio turnover rate was 15% of the average value of its investment portfolio. Principal Investment Strategies The United Kingdom Small Company Portfolio pursues its investment objective by investing substantially all of its assets in the United Kingdom Small Company Series. The United Kingdom Small Company Series, using a market capitalization weighted approach, purchases a broad and diverse group of readily marketable securities of small companies associated with the United Kingdom. A company’s market capitalization is the number of its shares outstanding times its price per share. In general, the higher the relative market capitalization of a United Kingdom small company, the greater its representation in the Series. The Advisor may adjust the representation in the Series of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. As a non-fundamental policy, under normal circumstances, the United Kingdom Small Company Series will invest at least 80% of its net assets in securities of United Kingdom small companies. Based on market capitalization data as of December 31, 2016, the Advisor would consider United Kingdom small companies to be those companies with a market capitalization below $4,486 million. This dollar amount will change due to market conditions. The United Kingdom Small Company Series may gain exposure to companies associated with the United Kingdom by purchasing equity securities in the form of depositary receipts, which may be listed or traded outside the issuer’s domicile country. The United Kingdom Small Company Series and the United Kingdom Small Company Portfolio each may purchase or sell futures contracts and options on futures contracts for United Kingdom equity securities and indices or other equity market securities and indices, including those of the United States, to adjust market exposure based on actual or expected cash inflows to or outflows from the Series or Portfolio. The Series and Portfolio do not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The United Kingdom Small Company Series may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. 88 Foreign Securities and Currencies Risk:Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The United Kingdom Small Company Series does not hedge foreign currency risk. United Kingdom Market Risk:Because the United Kingdom Small Company Series concentrates investments in the United Kingdom, the United Kingdom Small Company Portfolio’s performance is expected to be closely tied to the social, political and economic conditions within the United Kingdom and to be more volatile than the performance of funds with more geographically diverse investments. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Derivatives Risk:Derivatives are instruments, such as futures and foreign exchange forward contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the United Kingdom Small Company Series and the United Kingdom Small Company Portfolio use derivatives, the Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the United Kingdom Small Company Series may lose money and there may be a delay in recovering the loaned securities. The United Kingdom Small Company Series could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The United Kingdom Small Company Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the United Kingdom Small Company Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in United Kingdom Small Company Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. The United Kingdom Small Company Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the United Kingdom Small Company Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. 89 United Kingdom Small Company Portfolio Institutional Class Shares—Total Returns -40 -60 -20 0 40 60 -80 80 20 (%) 20132007 2008 2009 20112010 2012 20152014 2016 -8.43% -53.02% 60.08% 29.08% -10.60% 38.82%39.07% -5.86%-11.46% 7.18% January 2007-December 2016 Highest Quarter Lowest Quarter 33.83% (4/09–6/09)-33.64% (10/08–12/08) Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years United Kingdom Small Company Portfolio Return Before Taxes -11.46% 11.52% 3.20% Return After Taxes on Distributions -13.20% 9.83% 2.13% Return After Taxes on Distributions and Sale of Portfolio Shares -5.15% 9.22% 2.53% MSCI UK Small Cap Index (net dividends) (reflects no deduction for fees, expenses, or taxes on sales)-10.45% 11.63% 2.75% Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the United Kingdom Small Company Portfolio and United Kingdom Small Company Series. Dimensional Fund Advisors Ltd. serves as the sub-advisor for the United Kingdom Small Company Series. The following individuals are responsible for coordinating the day to day management of the United Kingdom Small Company Portfolio and United Kingdom Small Company Series: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Arun C. Keswani,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2013. •Mary T. Phillips,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2014. •Bhanu P. Singh,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2012. 90 Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the United Kingdom Small Company Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the United Kingdom Small Company Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The United Kingdom Small Company Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the United Kingdom Small Company Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 91 Continental Small Company Portfolio Investment Objective The investment objective of the Continental Small Company Portfolio is to achieve long-term capital appreciation. The Continental Small Company Portfolio is a Feeder Portfolio and pursues its objective by investing substantially all of its assets in its corresponding Master Fund, The Continental Small Company Series (the “Continental Small Company Series”) of The DFA Investment Trust Company (the “Trust”), which has the same investment objective and policies as the Portfolio. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the Continental Small Company Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)* Management Fee 0.60% Other Expenses 0.04% Total Annual Fund Operating Expenses 0.64% Fee Waiver and/or Expense Reimbursement 0.10% Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement 0.54% * The “Management Fee” includes an investment management fee payable by the Feeder Portfolio and an investment management fee payable by the Master Fund. For any period when the Feeder Portfolio is invested in other funds managed by Dimensional Fund Advisors LP (collectively, “Underlying Funds”), the Advisor has contractually agreed to permanently waive the Feeder Portfolio’s direct investment management fee to the extent necessary to offset the proportionate share of any Underlying Fund’s investment management fee paid by the Feeder Portfolio through its investment in such Underlying Fund. The amounts set forth under “Other Expenses” and “Total Annual Fund Operating Expenses” reflect the direct expenses of the Feeder Portfolio and the indirect expenses of the Feeder Portfolio’s portion of the expenses of the Master Fund. EXAMPLE This Example is meant to help you compare the cost of investing in the Continental Small Company Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $55 $173 $302 $677 The Example reflects the aggregate annual operating expenses of the Continental Small Company Portfolio and the Continental Small Company Portfolio’s portion of the expenses of the Continental Small Company Series. 92 PORTFOLIO TURNOVER The Continental Small Company Series pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the Continental Small Company Portfolio’s performance. During the most recent fiscal year, the Continental Small Company Series’ portfolio turnover rate was 9% of the average value of its investment portfolio. Principal Investment Strategies The Continental Small Company Portfolio pursues its investment objective by investing substantially all of its assets in the Continental Small Company Series. The Continental Small Company Series, using a market capitalization weighted approach, purchases a broad and diverse group of readily marketable securities of small companies associated with European countries designated by the Advisor as approved markets for investment. A company’s market capitalization is the number of its shares outstanding times its price per share. In general, the higher the relative market capitalization of a small company within an eligible country, the greater its representation in the Series. The Advisor may adjust the representation in the Series of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. As a non-fundamental policy, under normal circumstances, the Continental Small Company Series will invest at least 80% of its net assets in securities of small companies located in continental Europe. The Advisor determines the maximum market capitalization of a small company with respect to each country or region in which the Series invests. Based on market capitalization data as of December 31, 2016, for the Continental Small Company Series, the highest maximum market capitalization of a small company in any country or region in which the Continental Small Company Series invests would be $5,561 million. This threshold will change due to market conditions. The Continental Small Company Series also may invest up to 20% of its net assets in small companies associated with non-European countries that the Advisor has identified as approved markets for investment. The Continental Small Company Series may gain exposure to companies associated with approved markets by purchasing equity securities in the form of depositary receipts, which may be listed or traded outside the issuer’s domicile country. The Continental Small Company Series and the Continental Small Company Portfolio each may purchase or sell futures contracts and options on futures contracts for continental European equity securities and indices or other equity market securities and indices, including those of the United States, to adjust market exposure based on actual or expected cash inflows to or outflows from the Series or Portfolio. The Series and Portfolio do not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The Continental Small Company Series may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. 93 Foreign Securities and Currencies Risk:Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The Continental Small Company Series does not hedge foreign currency risk. European Market Risk:Because the Continental Small Company Series concentrates investments in European countries, the Continental Small Company Portfolio’s performance is expected to be closely tied to the social, political and economic conditions within such European countries and to be more volatile than the performance of funds with more geographically diverse investments. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Derivatives Risk:Derivatives are instruments, such as futures and foreign exchange forward contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the Continental Small Company Series and the Continental Small Company Portfolio use derivatives, the Continental Small Company Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the Continental Small Company Series may lose money and there may be a delay in recovering the loaned securities. The Continental Small Company Series could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The Continental Small Company Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the Continental Small Company Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in Continental Small Company Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. The Continental Small Company Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the Continental Small Company Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. 94 Continental Small Company Portfolio Institutional Class Shares—Total Returns -40 -60 -20 0 40 60 20 (%) 20122007 2008 20102009 2011 20142013 2015 2016 21.93% 9.45% -47.96% 44.33% 16.57% -23.48% 39.33% -7.78% 11.45% 5.86% January 2007-December 2016 Highest Quarter Lowest Quarter 31.47% (4/09–6/09)-28.18% (7/11–9/11) Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years Continental Small Company Portfolio Return Before Taxes 5.86% 13.08% 3.09% Return After Taxes on Distributions 5.34% 12.44% 2.51% Return After Taxes on Distributions and Sale of Portfolio Shares 3.73% 10.35% 2.36% MSCI Europe ex UK Small Cap Index (net dividends) (reflects no deduction for fees, expenses, or taxes on sales)2.40% 13.21% 3.13% Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the Continental Small Company Portfolio and Continental Small Company Series. Dimensional Fund Advisors Ltd. serves as the sub-advisor for the Continental Small Company Series. The following individuals are responsible for coordinating the day to day management of the Continental Small Company Portfolio and Continental Small Company Series: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Arun C. Keswani,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2013. •Mary T. Phillips,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2014. •Bhanu P. Singh,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2012. 95 Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the Continental Small Company Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the Continental Small Company Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The Continental Small Company Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the Continental Small Company Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 96 DFA International Real Estate Securities Portfolio Investment Objective The investment objective of the DFA International Real Estate Securities Portfolio is to achieve long-term capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the DFA International Real Estate Securities Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) Management Fee 0.25% Other Expenses 0.03% Total Annual Fund Operating Expenses 0.28% EXAMPLE This Example is meant to help you compare the cost of investing in the DFA International Real Estate Securities Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $29 $90 $157 $356 PORTFOLIO TURNOVER The DFA International Real Estate Securities Portfolio pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the DFA International Real Estate Securities Portfolio’s performance. During the most recent fiscal year, the DFA International Real Estate Securities Portfolio’s portfolio turnover rate was 1% of the average value of its investment portfolio. Principal Investment Strategies The DFA International Real Estate Securities Portfolio, using a market capitalization weighted approach, purchases a broad and diverse set of securities of non-U.S. companies principally engaged in the real estate industry, including developed and emerging markets, with a particular focus on non-U.S. real estate investment trusts (“REITs”) and companies Dimensional Fund Advisors LP (the “Advisor”) considers to be REIT-like entities. A company’s market capitalization is the number of its shares outstanding times its price per share. In general, the higher the relative market capitalization of a real estate company within an eligible country, the greater its 97 representation in the Portfolio. The Advisor may adjust the representation in the DFA International Real Estate Securities Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. The Advisor also may limit or fix the Portfolio’s exposure to a particular country or issuer. The Portfolio considers a company to be principally engaged in the real estate industry if the company’s principal activities include ownership, management, development, construction, or sale of residential, commercial or industrial real estate. REIT and REIT-like entities are types of real estate companies that pool investors’ funds for investment primarily in income producing real estate or real estate related loans or interests. The DFA International Real Estate Securities Portfolio intends to purchase securities of companies associated with developed and emerging markets countries that the Advisor has designated as approved markets for investment. As a non-fundamental policy, under normal circumstances, at least 80% of the Portfolio’s net assets will be invested in securities of companies in the real estate industry. The DFA International Real Estate Securities Portfolio generally considers a company to be principally engaged in the real estate industry if the company (i) derives at least 50% of its revenue or profits from the ownership, management, development, construction, or sale of residential, commercial, industrial, or other real estate; (ii) has at least 50% of the value of its assets invested in residential, commercial, industrial, or other real estate; or (iii) is organized as a REIT or REIT-like entity. The Portfolio also may invest in stapled securities, where one or more of the underlying securities represents interests in a company or subsidiary in the real estate industry. The DFA International Real Estate Securities Portfolio may gain exposure to companies associated with approved markets by purchasing equity securities in the form of depositary receipts, which may be listed or traded outside the issuers domicile country. The DFA International Real Estate Securities Portfolio 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 Portfolio does not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The DFA International Real Estate Securities Portfolio may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Foreign Securities and Currencies Risk:Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The DFA International Real Estate Securities Portfolio does not hedge foreign currency risk. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks 98 may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Risks of Concentrating in the Real Estate Industry:The DFA International Real Estate Securities Portfolio is concentrated in the real estate industry. The exclusive focus by the DFA International Real Estate Securities Portfolio on the real estate industry will cause the Portfolio to be exposed to the general risks of direct real estate ownership. The value of securities in the real estate industry can be affected by changes in real estate values and rental income, property taxes, and tax and regulatory requirements. Also, the value of securities in the real estate industry may decline with changes in interest rates. Investing in REITs and REIT-like entities involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. REITs and REIT-like entities are dependent upon management skill, may not be diversified, and are subject to heavy cash flow dependency and self-liquidation. REITs and REIT-like entities also are subject to the possibility of failing to qualify for tax free pass-through of income. Also, many foreign REIT-like entities are deemed for tax purposes as passive foreign investment companies (PFICs), which could result in the receipt of taxable dividends to shareholders at an unfavorable tax rate. Also, because REITs and REIT-like entities typically are invested in a limited number of projects or in a particular market segment, these entities are more susceptible to adverse developments affecting a single project or market segment than more broadly diversified investments. The performance of the DFA International Real Estate Securities Portfolio may be materially different from the broad equity market. Emerging Markets Risk:Numerous emerging market countries have a history of, and continue to experience serious, and potentially continuing, economic and political problems. Stock markets in many emerging market countries are relatively small, expensive to trade in and generally have higher risks than those in developed markets. Securities in emerging markets also may be less liquid than those in developed markets and foreigners are often limited in their ability to invest in, and withdraw assets from, these markets. Additional restrictions may be imposed under other conditions. Frontier market countries generally have smaller economies or less developed capital markets and, as a result, the risks of investing in emerging market countries are magnified in frontier market countries. Derivatives Risk:Derivatives are instruments, such as futures and foreign exchange forward contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the DFA International Real Estate Securities Portfolio uses derivatives, the Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the DFA International Real Estate Securities Portfolio may lose money and there may be a delay in recovering the loaned securities. The DFA International Real Estate Securities Portfolio could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The DFA International Real Estate Securities Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the DFA International Real Estate Securities Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. 99 The bar chart shows the changes in the DFA International Real Estate Securities Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and since inception returns, both before and after taxes, compare with those of a broad measure of market performance. The DFA International Real Estate Securities Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the DFA International Real Estate Securities Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. DFA International Real Estate Securities Portfolio Institutional Class Shares—Total Returns -40 -60 -20 0 40 60 20 (%) 20122008201020092011 20142013 20162015 -51.92% -7.75% 37.01% 18.09% 33.41% 2.27% 11.10% -3.62% 3.08% January 2008-December 2016 Highest Quarter Lowest Quarter 28.61% (7/09–9/09)-33.03% (10/08–12/08) Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years Since 3/1/07 Inception DFA International Real Estate Securities Portfolio Return Before Taxes 3.08% 8.53% -0.29% Return After Taxes on Distributions -0.21% 5.89% -2.67% Return After Taxes on Distributions and Sale of Portfolio Shares 2.02% 5.66% -1.09% S&P Global ex US REIT Index (1)(net dividends) (reflects no deduction for fees, expenses, or taxes on sales)3.12% 8.30% -0.42% (1)Copyright©2010 Standard & Poor’s Financial Services LLC, a subsidiary of The McGraw-Hill Companies, Inc. All rights reserved. 100 Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the DFA International Real Estate Securities Portfolio. Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as the sub-advisors for the DFA International Real Estate Securities Portfolio. The following individuals are responsible for coordinating the day to day management of the DFA International Real Estate Securities Portfolio: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Mary T. Phillips,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2014. •Allen Pu,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2006. •Bhanu P. Singh,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2012. Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the DFA International Real Estate Securities Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the DFA International Real Estate Securities Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The DFA International Real Estate Securities Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the DFA International Real Estate Securities Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 101 DFA Global Real Estate Securities Portfolio Investment Objective The investment objective of the DFA Global Real Estate Securities Portfolio is to achieve long-term capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the DFA Global Real Estate Securities Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) Management Fee 0.20% Other Expenses 0.02% Acquired Fund Fees and Expenses 0.16% Total Annual Fund Operating Expenses 0.38% Fee Waiver and/or Expense Reimbursement*0.14% Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement 0.24% * Dimensional Fund Advisors LP (the “Advisor”) has agreed to waive certain fees and in certain instances, assume certain expenses of the Portfolio. The Fee Waiver and Expense Assumption Agreement for the Portfolio will remain in effect through February 28, 2018, and may only be terminated by the Fund’s Board of Directors prior to that date. Under certain circumstances, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed up to thirty-six months after such fee waiver and/or expense assumption. EXAMPLE This Example is meant to help you compare the cost of investing in the DFA Global Real Estate Securities Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. The costs for the Portfolio reflect the net expenses of the Portfolio that result from the contractual expense waiver and assumption in the first year only. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $25 $108 $199 $467 PORTFOLIO TURNOVER A mutual fund generally pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when mutual fund shares are held in a taxable account. The DFA Global Real Estate Securities Portfolio does not pay transaction costs when buying and selling shares of the Underlying Funds; however, the Underlying Funds pay transaction costs when buying and selling securities for their portfolio and the DFA Global Real Estate Securities Portfolio pays transaction costs when buying and selling securities directly. These costs, which are not 102 reflected in Annual Fund Operating Expenses or in the Example, affect the DFA Global Real Estate Securities Portfolio’s performance. During the most recent fiscal year, the DFA Global Real Estate Securities Portfolio’s portfolio turnover rate was 2% of the average value of its direct investments portfolio. Principal Investment Strategies The DFA Global Real Estate Securities Portfolio seeks to achieve exposure to a broad portfolio of securities of U.S. and non-U.S. companies in the real estate industry, with a focus on real estate investment trusts (“REITs”) or companies that the Advisor considers to be REIT-like entities. The DFA Global Real Estate Securities Portfolio may pursue its investment objective by investing its assets in the DFA Real Estate Securities Portfolio, DFA International Real Estate Securities Portfolio (the “Underlying Funds”), and/or directly in securities of companies in the real estate industry. Periodically, the Advisor will review the allocations for the DFA Global Real Estate Securities Portfolio in each Underlying Fund and may adjust allocations to the Underlying Funds or may add or remove Underlying Funds in the Portfolio without notice to shareholders. The DFA Global Real Estate Securities Portfolio and Underlying Funds generally consider a company to be principally engaged in the real estate industry if the company (i) derives at least 50% of its revenue or profits from the ownership, management, development, construction, or sale of residential, commercial, industrial, or other real estate; (ii) has at least 50% of the value of its assets invested in residential, commercial, industrial, or other real estate; or (iii) is organized as a REIT or REIT-like entity. REIT and REIT-like entities are types of real estate companies that pool investors’ funds for investment primarily in income producing real estate or real estate related loans or interests. The DFA Global Real Estate Securities Portfolio and each Underlying Fund invest in companies principally engaged in the real estate industry in its designated market using a market capitalization weighted approach. A company’s market capitalization is the number of its shares outstanding times its price per share. In general, the higher the relative market capitalization of a real estate company within an eligible country, the greater its representation in the Portfolio and each Underlying Fund. The Advisor may adjust the representation in the DFA Global Real Estate Securities Portfolio or the Underlying Funds of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. The Advisor also may limit or fix the Portfolio’s exposure to a particular country or issuer. As a non-fundamental policy, under normal circumstances, at least 80% of the Portfolio’s net assets will be invested directly, or indirectly through its investment in the Underlying Funds, in securities of companies in the real estate industry. In addition to, or in place of, investments in the Underlying Funds, the Portfolio also is permitted to invest directly in the same types of securities of companies in the real estate industry that are eligible investments for the Underlying Funds. The DFA Global Real Estate Securities Portfolio and each Underlying Fund intend to purchase securities of companies associated with countries that the Advisor has identified as approved markets for investment for the Portfolio and Underlying Fund. The DFA Global Real Estate Securities Portfolio, directly or indirectly through its investment in the Underlying Funds, invests a substantial portion of its assets in the securities of issuers located in multiple countries throughout the world. The DFA Global Real Estate Securities Portfolio and each Underlying Fund may purchase or sell futures contracts and options on futures contracts for equity securities and indices, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio or Underlying Fund. The Portfolio and Underlying Funds do not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The DFA Global Real Estate Securities Portfolio and the Underlying Funds may lend their portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. 103 Fund of Funds Risk:The investment performance of the DFA Global Real Estate Securities Portfolio is affected by the investment performance of the Underlying Funds in which the DFA Global Real Estate Securities Portfolio invests. The ability of the DFA Global Real Estate Securities Portfolio to achieve its investment objective depends on the ability of the Underlying Funds to meet their investment objectives and on the Advisor’s decisions regarding the allocation of the Portfolio’s assets among Underlying Funds. The Portfolio may allocate assets to an Underlying Fund or asset class that under performs other funds or asset classes. There can be no assurance that the investment objective of the DFA Global Real Estate Securities Portfolio or any Underlying Fund will be achieved. When the Portfolio invests in Underlying Funds, investors are exposed to a proportionate share of the expenses of those Underlying Funds in addition to the expenses of the Portfolio. Through its investments in the Underlying Funds, the DFA Global Real Estate Securities Portfolio is subject to the risks of the Underlying Funds’ investments. The risks of the DFA Global Real Estate Securities Portfolio’s and Underlying Funds’ investments are described below. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio or Underlying Fund that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Foreign Securities and Currencies Risk:Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The Underlying Funds do not hedge foreign currency risk. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Risks of Concentrating in the Real Estate Industry:The DFA Global Real Estate Securities Portfolio is concentrated in the real estate industry. The exclusive focus by DFA Global Real Estate Securities Portfolio on the real estate industry will cause the Portfolio to be exposed to the general risks of direct real estate ownership. The value of securities in the real estate industry can be affected by changes in real estate values and rental income, property taxes, and tax and regulatory requirements. Also, the value of securities in the real estate industry may decline with changes in interest rates. Investing in REITs and REIT-like entities involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. REITs and REIT-like entities are dependent upon management skill, may not be diversified, and are subject to heavy cash flow dependency and self-liquidation. REITs and REIT-like entities also are subject to the possibility of failing to qualify for tax free pass-through of income. Also, many foreign REIT-like entities are deemed for tax purposes as passive foreign investment companies (PFICs), which could result in the receipt of taxable dividends to shareholders at an unfavorable tax rate. Also, because REITs and REIT-like entities typically are invested in a limited number of projects or in a particular market segment, these entities are more susceptible to adverse developments affecting a single project or market segment than more broadly diversified investments. The performance of DFA Global Real Estate Securities Portfolio may be materially different from the broad equity market. Emerging Markets Risk:Numerous emerging market countries have a history of, and continue to experience serious, and potentially continuing, economic and political problems. Stock markets in many emerging market countries are relatively small, expensive to trade in and generally have higher risks than those in developed markets. Securities in emerging markets also may be less liquid than those in developed markets and foreigners are often limited in their ability to invest in, and withdraw assets from, these markets. Additional restrictions may be imposed under other conditions. Frontier market countries generally have smaller economies or less developed capital markets and, as a result, the risks of investing in emerging market countries are magnified in frontier market countries. 104 Derivatives Risk:Derivatives are instruments, such as futures and foreign exchange forward contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the DFA Global Real Estate Securities Portfolio or an Underlying Fund uses derivatives, the Portfolio or Underlying Fund will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio or Underlying Fund could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the Underlying Funds may lose money and there may be a delay in recovering the loaned securities. The Underlying Funds could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. To the extent that the Portfolio holds securities directly and lends those securities, it will be also subject to the foregoing risks with respect to its loaned securities. Cyber Security Risk:The DFA Global Real Estate Securities Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the DFA Global Real Estate Securities Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the DFA Global Real Estate Securities Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and since inception returns, both before and after taxes, compare with those of a broad measure of market performance. The DFA Global Real Estate Securities Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the DFA Global Real Estate Securities Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. 105 DFA Global Real Estate Securities Portfolio Institutional Class Shares—Total Returns -40 -20 0 40 20 (%) 20122009 2010 2011 20142013 2016 32.67% 23.79%23.17% 1.81% 1.77% 22.74% 6.56% 2015 0.69% January 2009-December 2016 Highest Quarter Lowest Quarter 31.45% (7/09–9/09)-25.68% (1/09–3/09) Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years Since 6/4/08 Inception DFA Global Real Estate Securities Portfolio Return Before Taxes 6.56% 10.55% 5.28% Return After Taxes on Distributions 4.43% 8.72% 3.52% Return After Taxes on Distributions and Sale of Portfolio Shares 3.84% 7.50% 3.30% S&P Global REIT Index (1)(net dividends) (reflects no deduction for fees, expenses, or taxes on sales)5.77% 9.77% 4.08% (1)Copyright©2010 Standard & Poor’s Financial Services LLC, a subsidiary of The McGraw-Hill Companies, Inc. All rights reserved. Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the DFA Global Real Estate Securities Portfolio and the Underlying Funds. Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as the sub- advisors for the DFA Global Real Estate Securities Portfolio and one of the Underlying Funds. The following individuals are responsible for coordinating the day to day management of the DFA Global Real Estate Securities Portfolio and the Underlying Funds: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Mary T. Phillips,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2014. 106 •Allen Pu,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2006. •Bhanu P. Singh,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2012. Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the DFA Global Real Estate Securities Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the DFA Global Real Estate Securities Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The DFA Global Real Estate Securities Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the DFA Global Real Estate Securities Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 107 DFA International Small Cap Value Portfolio Investment Objective The investment objective of the DFA International Small Cap Value Portfolio is to achieve long-term capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the DFA International Small Cap Value Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) Management Fee 0.65% Other Expenses 0.03% Total Annual Fund Operating Expenses 0.68% EXAMPLE This Example is meant to help you compare the cost of investing in the DFA International Small Cap Value Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $69 $218 $379 $847 PORTFOLIO TURNOVER The DFA International Small Cap Value Portfolio pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the DFA International Small Cap Value Portfolio’s performance. During the most recent fiscal year, the DFA International Small Cap Value Portfolio’s portfolio turnover rate was 19% of the average value of its investment portfolio. Principal Investment Strategies The DFA International Small Cap Value Portfolio, using a market capitalization weighted approach, purchases securities of small, non-U.S. companies in countries with developed markets that Dimensional Fund Advisors LP (the “Advisor”) determines to be value stocks at the time of purchase. A company’s market capitalization is the number of its shares outstanding times its price per share. In general, the higher the relative market capitalization of a small company within an eligible country, the greater its representation in the Portfolio. The Advisor may adjust the representation in the DFA International Small Cap Value Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, 108 profitability, and other factors that the Advisor determines to be appropriate, given market conditions. Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value (“book to market ratio”). In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. The DFA International Small Cap Value Portfolio intends to purchase securities of small value companies associated with developed market countries that the Advisor has designated as approved markets. As a non-fundamental policy, under normal circumstances, the DFA International Small Cap Value Portfolio will invest at least 80% of its net assets in securities of small companies in the particular markets in which it invests. The Advisor determines the maximum market capitalization of a small company with respect to each country in which the Portfolio invests. In the countries or regions authorized for investment, the Advisor first ranks eligible companies listed on selected exchanges based on the companies’ market capitalizations. The Advisor then determines the universe of eligible securities by defining the maximum market capitalization of a small company that may be purchased by the Portfolio with respect to each country or region. Based on market capitalization data as of December 31, 2016, for the DFA International Small Cap Value Portfolio, the highest maximum market capitalization of a small company in any country in which the DFA International Small Cap Value Portfolio invests would be $5,561 million. This threshold will vary by country or region. For example, based on market capitalization data as of December 31, 2016, the Advisor would consider a small company in Switzerland to have a market capitalization below $4,854 million, a small company in Norway to have a market capitalization below $2,275 million, and a small company in Japan to have a market capitalization below $1,977 million. This threshold will change due to market conditions. The DFA International Small Cap Value Portfolio may gain exposure to companies associated with approved markets by purchasing equity securities in the form of depositary receipts, which may be listed or traded outside the issuer’s domicile country. The DFA International Small Cap Value Portfolio also may purchase or sell futures contracts and options on futures contracts for foreign and U.S. equity securities and indices, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The Portfolio does not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The DFA International Small Cap Value Portfolio may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Foreign Securities and Currencies Risk:Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The DFA International Small Cap Value Portfolio does not hedge foreign currency risk. 109 Value Investment Risk:Value stocks may perform differently from the market as a whole and following a value- oriented investment strategy may cause the Portfolio to at times underperform equity funds that use other investment strategies. Derivatives Risk:Derivatives are instruments, such as futures and foreign exchange forward contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the DFA International Small Cap Value Portfolio uses derivatives, the Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the DFA International Small Cap Value Portfolio may lose money and there may be a delay in recovering the loaned securities. The DFA International Small Cap Value Portfolio could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The DFA International Small Cap Value Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the DFA International Small Cap Value Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the DFA International Small Cap Value Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. The DFA International Small Cap Value Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the DFA International Small Cap Value Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. 110 DFA International Small Cap Value Portfolio Institutional Class Shares—Total Returns -60 0 -40 -20 60 40 20 (%) 2007 2008 2009 2010 2011 2012 2013 2014 2016 2.95% -41.68% 39.51% 18.10% -17.46% 22.26% 32.39% 8.00% -4.99% 2015 3.99% January 2007-December 2016 Highest Quarter Lowest Quarter 31.78% (4/09–6/09)-21.72% (7/11–9/11) Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years DFA International Small Cap Value Portfolio Return Before Taxes 8.00% 11.55% 3.50% Return After Taxes on Distributions 6.53% 10.46% 2.60% Return After Taxes on Distributions and Sale of Portfolio Shares 5.69% 9.09% 2.71% MSCI World ex USA Small Cap Index (net dividends) (reflects no deduction for fees, expenses, or taxes on sales)4.32% 8.96% 2.69% Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the DFA International Small Cap Value Portfolio. Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as the sub-advisors for the DFA International Small Cap Value Portfolio. The following individuals are responsible for coordinating the day to day management of the DFA International Small Cap Value Portfolio: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Arun C. Keswani,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2013. •Mary T. Phillips,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2014. •Bhanu P. Singh,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2012. 111 Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the DFA International Small Cap Value Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the DFA International Small Cap Value Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The DFA International Small Cap Value Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the DFA International Small Cap Value Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 112 International Vector Equity Portfolio Investment Objective The investment objective of the International Vector Equity Portfolio is to achieve long-term capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the International Vector Equity Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) Management Fee 0.45% Other Expenses 0.04% Total Annual Fund Operating Expenses 0.49% EXAMPLE This Example is meant to help you compare the cost of investing in the International Vector Equity Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $50 $157 $274 $616 PORTFOLIO TURNOVER The International Vector Equity Portfolio pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the International Vector Equity Portfolio’s performance. During the most recent fiscal year, the International Vector Equity Portfolio’s portfolio turnover rate was 4% of the average value of its investment portfolio. Principal Investment Strategies The International Vector Equity Portfolio purchases a broad and diverse group of securities of non-U.S. operating companies in developed markets, with a greater emphasis on small capitalization and value companies as compared to their representation in the International Universe. For purposes of this Portfolio, Dimensional Fund Advisors LP (the “Advisor”) defines the International Universe as a market capitalization weighted portfolio of non-U.S. companies in developed markets that have been authorized for investment by the Advisor’s Investment Committee. The Portfolio’s increased exposure to small capitalization and value companies may be achieved by decreasing the allocation of the International Vector Equity Portfolio’s assets to the largest growth companies relative to their weight in the International Universe or by avoiding purchases in that segment of the market, 113 either of which would result in a greater weight allocation to small capitalization and value companies. An equity issuer is considered a growth company primarily because it has a low book value, that is not negative, in relation to its market capitalization. Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value. The Advisor determines company size on a country or region specific basis and based primarily on market capitalization. The Advisor will also establish a minimum market capitalization that a company must meet in order to be considered for purchase, which minimum will change due to market conditions. The International Vector Equity Portfolio intends to purchase securities of companies associated with developed markets countries that the Advisor has designated as approved markets for investment. As a non-fundamental policy, under normal circumstances, the Portfolio will invest at least 80% of its net assets in equity securities. The percentage allocation of the assets of the International Vector Equity Portfolio to securities of the largest growth companies will generally be reduced by between 5% and 50% of their percentage weight in the International Universe. For example, as of December 31, 2016, securities of the largest growth companies in the International Universe comprised approximately 15% of the International Universe and the Advisor allocated approximately 1% of the International Vector Equity Portfolio to securities of the largest growth companies in the International Universe. The percentage by which the Portfolio’s allocation to securities of the largest growth companies is reduced, as compared to their representation in the International Universe, will change due to market movements and other factors. The Advisor may also adjust the representation in the International Vector Equity Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. The International Vector Equity Portfolio may gain exposure to companies associated with approved markets by purchasing equity securities in the form of depositary receipts, which may be listed or traded outside the issuer’s domicile country. The International Vector Equity Portfolio may purchase or sell futures contracts and options on futures contracts for foreign or U.S. equity securities and indices, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The Portfolio does not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The International Vector Equity Portfolio may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Foreign Securities and Currencies Risk:Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign 114 currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The International Vector Equity Portfolio does not hedge foreign currency risk. Value Investment Risk:Value stocks may perform differently from the market as a whole and following a value- oriented investment strategy may cause the Portfolio to at times underperform equity funds that use other investment strategies. Derivatives Risk:Derivatives are instruments, such as futures and foreign exchange forward contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the International Vector Equity Portfolio uses derivatives, the Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the International Vector Equity Portfolio may lose money and there may be a delay in recovering the loaned securities. The International Vector Equity Portfolio could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The International Vector Equity Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the International Vector Equity Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the International Vector Equity Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and since inception returns, both before and after taxes, compare with those of a broad measure of market performance. The International Vector Equity Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the International Vector Equity Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. 115 International Vector Equity Portfolio Institutional Class Shares—Total Returns -60 -20 -40 0 60 40 20 (%) 2016 0.00% 20152009 42.92% 2010 17.30% 2011 -16.96% 2012 18.90% 2013 24.31% 6.84% 2014 -6.27% January 2009-December 2016 Highest Quarter Lowest Quarter 34.37% (4/09–6/09)-21.68% (7/11–9/11) Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years Since 8/14/08 Inception International Vector Equity Portfolio Return Before Taxes 6.84% 8.16% 4.10% Return After Taxes on Distributions 6.03% 7.35% 3.43% Return After Taxes on Distributions and Sale of Portfolio Shares 4.41% 6.35% 3.19% MSCI World ex USA Index (net dividends) (reflects no deduction for fees, expenses, or taxes on sales)2.75% 6.07% 1.83% Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the International Vector Equity Portfolio. Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as the sub-advisors for the International Vector Equity Portfolio. The following individuals are responsible for coordinating the day to day management of the International Vector Equity Portfolio: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Mary T. Phillips,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2014. •Allen Pu,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2006. •Bhanu P. Singh,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2012. 116 Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the International Vector Equity Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the International Vector Equity Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The International Vector Equity Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the International Vector Equity Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 117 World ex U.S. Value Portfolio Investment Objective The investment objective of the World ex U.S. Value Portfolio is to achieve long-term capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the World ex U.S. Value Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) Management Fee 0.47% Other Expenses 0.03% Acquired Fund Fees and Expenses 0.26% Total Annual Fund Operating Expenses 0.76% Fee Waiver and/or Expense Reimbursement*0.23% Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement 0.53% * Dimensional Fund Advisors LP (the “Advisor”) has agreed to waive certain fees and in certain instances, assume certain expenses of the World ex U.S. Value Portfolio. The Fee Waiver and/or Expense Assumption Agreement for the Portfolio will remain in effect through February 28, 2018, and may only be terminated by the Fund’s Board of Directors prior to that date. Under certain circumstances, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed up to thirty-six months after such fee waiver and/or expense assumption. EXAMPLE This Example is meant to help you compare the cost of investing in the World ex U.S. Value Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. The costs for the Portfolio reflect the net expenses of the Portfolio that result from the contractual expense waiver in the first year only. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $54 $220 $400 $921 PORTFOLIO TURNOVER A mutual fund generally pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when mutual fund shares are held in a taxable account. The World ex U.S. Value Portfolio does not pay transaction costs when buying and selling shares of other mutual funds (the “Underlying Funds”); however, the Underlying Funds pay transaction costs when buying and selling securities for their portfolios. The transaction costs incurred by the Underlying Funds, which are not reflected in Annual Fund Operating Expenses 118 or in the Example, affect the Portfolio’s performance. During the most recent fiscal year, the Portfolio’s portfolio turnover rate was 16% based on the weighted average portfolio turnover ratios of each of the Portfolio’s underlying investments. Principal Investment Strategies The World ex U.S. Value Portfolio seeks to achieve its investment objective through exposure to a broad portfolio of securities of non-U.S. companies associated with countries with developed and emerging markets, which may include frontier markets (emerging market countries in an earlier stage of development), that the Advisor believes to be value stocks at the time of purchase. To achieve this exposure, the Advisor will generally purchase shares of The DFA International Value Series (the “DFA International Value Series”), DFA International Small Cap Value Portfolio, and Dimensional Emerging Markets Value Fund (the “Underlying Funds”), which are other funds managed by the Advisor. The Portfolio currently intends to allocate its investments among the Underlying Funds in the following manner: 50% to 80% in the DFA International Value Series; 5% to 20% in the DFA International Small Cap Value Portfolio; and 10% to 30% in the Dimensional Emerging Markets Value Fund. Periodically, the Advisor will review the allocations for the World ex U.S. Value Portfolio in each Underlying Fund and may adjust allocations to the Underlying Funds or may add or remove Underlying Funds in the Portfolio without notice to shareholders. In addition to, or in place of, investments in the Underlying Funds, the Portfolio also is permitted to invest directly in the same types of securities of companies that are described in this Prospectus as eligible investments for the Underlying Funds. The Portfolio and Underlying Funds generally consider securities to be value stocks if they have a high book value in relation to their market value. In assessing market value, the Advisor may consider additional factors such as price to cash flow or price earnings ratios as well as economic conditions and developments in the issuer’s industry. The criteria the Advisor uses for assessing value are subject to change from time to time. The Advisor may consider the relative market capitalization weighting of developed and emerging markets within the universe of eligible securities when allocating Portfolio investments among the Underlying Funds or securities. Using a market capitalization weighted approach, the DFA International Value Series invests in large value companies associated with developed market countries and the DFA International Small Cap Value Portfolio invests in small value companies associated with developed market countries. Generally, the Advisor determines if a company is large or small based on its market capitalization. A company’s market capitalization is the number of its shares outstanding times its price per share. In general, the higher the relative market capitalization of a company meeting the Advisor’s eligibility thresholds within an eligible country or region, the greater its representation in the Underlying Fund. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. The Dimensional Emerging Markets Value Fund may purchase securities of value companies associated with emerging markets, including frontier markets, across all market capitalizations. With respect to each Underlying Fund, the Advisor may limit or fix the Underlying Fund’s exposure to a particular country, region or issuer. The Advisor may adjust the representation in the World ex U.S. Value Portfolio or the Underlying Funds of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. The Portfolio and each Underlying Fund intends to purchase securities of companies associated with countries that the Advisor has identified as approved markets for investment for such Portfolio or Underlying Fund. As a non-fundamental policy, under normal circumstances, at least 80% of the Portfolio’s net assets will be invested directly, or indirectly through its investment in the Underlying Funds, in securities of non-U.S. companies. The Portfolio and Underlying Funds may gain exposure to companies associated with approved markets by purchasing equity securities in the form of depositary receipts which may be domiciled or traded outside the issuer’s domicile country. The World ex U.S. Value Portfolio and each Underlying Fund may purchase or sell futures contracts and options on futures contracts for equity securities and indices, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio or Underlying Fund. The World ex U.S. Value Portfolio and Underlying Funds do not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. 119 The Portfolio and Underlying Funds may lend their portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Fund of Funds Risk:The investment performance of the World ex U.S. Value Portfolio is affected by the investment performance of the Underlying Funds in which the Portfolio invests. The ability of the Portfolio to achieve its investment objective depends on the ability of the Underlying Funds to meet their investment objectives and on the Advisor’s decisions regarding the allocation of the Portfolio’s assets among Underlying Funds. The Portfolio may allocate assets to an Underlying Fund or asset class that underperforms other funds or asset classes. There can be no assurance that the investment objective of the Portfolio or any Underlying Fund will be achieved. When the Portfolio invests in Underlying Funds, investors are exposed to a proportionate share of the expenses of those Underlying Funds in addition to the expenses of the Portfolio. Through its investments in the Underlying Funds, the Portfolio is subject to the risks of the Underlying Funds’ investments. The risks of the World ex U.S. Value Portfolio’s and Underlying Funds’ investments are described below. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio or Underlying Fund that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Foreign Securities and Currencies Risk:Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The Underlying Funds do not hedge foreign currency risk. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Value Investment Risk:Value stocks may perform differently from the market as a whole and following a value- oriented investment strategy may cause the World ex U.S. Value Portfolio and the Underlying Funds to at times underperform equity funds that use other investment strategies. Emerging Markets Risk:Numerous emerging market countries have a history of, and continue to experience serious, and potentially continuing, economic and political problems. Stock markets in many emerging market countries are relatively small, expensive to trade in and generally have higher risks than those in developed markets. Securities in emerging markets also may be less liquid than those in developed markets and foreigners are often limited in their ability to invest in, and withdraw assets from, these markets. Additional restrictions may be imposed under other conditions. Frontier market countries generally have smaller economies or less developed capital markets and, as a result, the risks of investing in emerging market countries are magnified in frontier market countries. Derivatives Risk:Derivatives are instruments, such as futures and foreign exchange forward contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the World ex U.S. Value Portfolio or an Underlying Fund uses derivatives, the Portfolio or Underlying Fund will be exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative 120 may not correlate perfectly with the underlying asset, rate or index, and the Portfolio or Underlying Fund could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, an Underlying Fund may lose money and there may be a delay in recovering the loaned securities. An Underlying Fund could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. To the extent that the Portfolio holds securities directly and lends those securities, it will be also subject to the foregoing risks with respect to its loaned securities. Cyber Security Risk:The World ex U.S. Value Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the World ex U.S. Value Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the World ex U.S. Value Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and since inception returns, both before and after taxes, compare with those of a broad measure of market performance. The World ex U.S. Value Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the World ex U.S. Value Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax- advantaged arrangements, such as 401(k) plans or individual retirement accounts. 121 World ex U.S. Value Portfolio Institutional Class Shares—Total Returns -30 -10 -20 0 30 20 10 (%) 20162011 -19.13% 2012 17.64% 2013 17.02% 10.70% 2014 -6.19% 2015 -8.29% January 2011-December 2016 Highest Quarter Lowest Quarter 12.73% (1/12–3/12)-23.90% (7/11–9/11) Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years Since 8/23/10 Inception World ex U.S. Value Portfolio Return Before Taxes 10.70% 5.56% 3.67% Return After Taxes on Distributions 9.85% 4.83% 2.97% Return After Taxes on Distributions and Sale of Portfolio Shares 6.60% 4.31% 2.84% MSCI All Country World ex USA Index (net dividends) (reflects no deduction for fees, expenses, or taxes on sales)4.50% 5.00% 4.06% Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the World ex U.S. Value Portfolio and the Underlying Funds. Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as the sub-advisors for the World ex U.S. Value Portfolio and the Underlying Funds. The following individuals are responsible for coordinating the day to day management of the Portfolio and Underlying Funds: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Mary T. Phillips,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2014. •Allen Pu,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2006. 122 Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the World ex U.S. Value Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the World ex U.S. Value Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 123 World ex U.S. Targeted Value Portfolio Investment Objective The investment objective of the World ex U.S. Targeted Value Portfolio is to achieve long-term capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the World ex U.S. Targeted Value Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) Management Fee 0.58% Other Expenses 0.18% Total Annual Fund Operating Expenses 0.76% EXAMPLE This Example is meant to help you compare the cost of investing in the World ex U.S. Targeted Value Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions, your costs would be: 1 Year 3 Years 5 Years 10 Years $78 $243 $422 $942 PORTFOLIO TURNOVER A mutual fund generally pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when mutual fund shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the World ex U.S. Targeted Value Portfolio’s performance. During the most recent fiscal year, the World ex U.S. Targeted Value Portfolio’s portfolio turnover rate was 28% of the average value of its investment portfolio. Principal Investment Strategies The World ex U.S. Targeted Value Portfolio seeks to achieve its investment objective through exposure to a broad and diverse portfolio of securities of non-U.S. companies, with a focus on small and mid-cap value companies, associated with countries with developed and emerging markets, which may include frontier markets (emerging market countries in an earlier stage of development). Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value. Dimensional Fund Advisors LP (the “Advisor”) may adjust the representation in the World ex U.S. Targeted Value Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, 124 liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. When constructing the World ex U.S. Targeted Value Portfolio’s investment portfolio, the Advisor intends to consider federal tax implications when making investment decisions with respect to individual securities to seek to provide a tax advantage. When consistent with the Portfolio’s investment policies, the Advisor will buy and sell securities for the Portfolio considering the goals of: (i) delaying and minimizing the realization of net capital gains (e.g., selling stocks with capital losses to offset gains, realized or anticipated); and (ii) maximizing the extent to which any realized net capital gains are long-term in nature (i.e., taxable at lower capital gains tax rates). The World ex U.S. Targeted Value Portfolio may gain exposure to companies associated with approved markets by purchasing equity securities in the form of depositary receipts, which may be listed or traded outside the issuer’s domicile country. The Portfolio may purchase or sell futures contracts and options on futures contracts for approved market or other equity market securities and indices, including those of the United States, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The Portfolio does not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The World ex U.S. Targeted Value Portfolio may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Foreign Securities and Currencies Risk:Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The World ex U.S. Targeted Value Portfolio does not hedge foreign currency risk. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Value Investment Risk:Value stocks may perform differently from the market as a whole and following a value- oriented investment strategy may cause the World ex U.S. Targeted Value Portfolio to at times underperform equity funds that use other investment strategies. Emerging Markets Risk:Numerous emerging market countries have a history of, and continue to experience serious, and potentially continuing, economic and political problems. Stock markets in many emerging market countries are relatively small, expensive to trade in and generally have higher risks than those in developed markets. Securities in emerging markets also may be less liquid than those in developed markets and foreigners are often limited in their ability to invest in, and withdraw assets from, these markets. Additional restrictions may be imposed under other conditions. Frontier market countries generally have smaller economies or less developed capital markets and, as a result, the risks of investing in emerging market countries are magnified in frontier market countries. 125 Tax Advantage Strategy Risk:An investment strategy that considers the tax implications of investment decisions may alter the construction of the World ex U.S. Targeted Value Portfolio and affect portfolio holdings, when compared to other mutual funds that do not take into account potential tax implications. The Advisor anticipates that performance of the Portfolio may deviate from that of mutual funds that do not take into account potential tax implications. Derivatives Risk:Derivatives are instruments, such as futures and foreign exchange forward contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the World ex U.S. Targeted Value Portfolio uses derivatives, the Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the World ex U.S. Targeted Value Portfolio may lose money and there may be a delay in recovering the loaned securities. The Portfolio could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The World ex U.S. Targeted Value Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the World ex U.S. Targeted Value Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the Portfolio’s performance from year to year. The table illustrates how annualized one year and since inception returns, both before and after taxes, compare with those of a broad measure of market performance. The Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the World ex U.S. Targeted Value Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax- advantaged arrangements, such as 401(k) plans or individual retirement accounts. 126 World ex U.S. Targeted Value Portfolio Institutional Class Shares—Total Returns -30 -10 -20 0 30 20 10 (%) 2013 2014 2016 19.91% 10.32% -4.49% 2015 -2.11% January 2013-December 2016 Highest Quarter Lowest Quarter 13.23% (7/13–9/13)-12.29% (7/15–9/15) Annualized Returns (%) Periods ending December 31, 2016 1 Year Since 11/1/12 Inception World ex U.S. Targeted Value Portfolio Return Before Taxes 10.32% 7.04% Return After Taxes on Distributions 9.94% 6.43% Return After Taxes on Distributions and Sale of Portfolio Shares 6.39% 5.44% MSCI All Country World ex USA Small Cap Index (net dividends) (reflects no deduction for fees, expenses, or taxes on sales)3.91% 6.03% Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the World ex U.S. Targeted Value Portfolio. Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as the sub-advisors for the World ex U.S. Targeted Value Portfolio. The following individuals are responsible for coordinating the day to day management of the World ex U.S. Targeted Value Portfolio: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager of the Portfolio since inception. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager of the Portfolio since inception. •Mary T. Phillips,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2014. •Bhanu P. Singh,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2012. •Arun C. Keswani,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2013. 127 Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the World ex U.S. Targeted Value Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the World ex U.S. Targeted Value Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 128 World ex U.S. Core Equity Portfolio Investment Objective The investment objective of the World ex U.S. Core Equity Portfolio is to achieve long-term capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the World ex U.S. Core Equity Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)* Management Fee 0.32% Other Expenses 0.07% Total Annual Fund Operating Expenses 0.39% * The “Management Fee” and “Total Annual Fund Operating Expenses” have been adjusted to reflect the decrease in the management fee payable by the Portfolio from 0.40% to 0.32% effective as of February 28, 2017. EXAMPLE This Example is meant to help you compare the cost of investing in the World ex U.S. Core Equity Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions, your costs would be: 1 Year 3 Years 5 Years 10 Years $40 $125 $219 $493 PORTFOLIO TURNOVER A mutual fund generally pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when mutual fund shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the World ex U.S. Core Equity Portfolio’s performance. During the most recent fiscal year, the World ex U.S. Core Equity Portfolio’s portfolio turnover rate was 1% of the average value of its investment portfolio. Principal Investment Strategies The World ex U.S. Core Equity Portfolio seeks to achieve its investment objective through exposure to a broad and diverse group of securities of non-U.S. companies in countries with developed and emerging markets with a greater emphasis on small capitalization and value companies as compared to their representation in the Non-U.S. Universe. For purposes of the Portfolio, Dimensional Fund Advisors LP (the “Advisor”) defines the Non-U.S. Universe as a market capitalization weighted portfolio of non-U.S. companies in developed and emerging markets that have been authorized for investment as approved markets by the Advisor’s Investment 129 Committee. The Portfolio’s increased exposure to small capitalization and value companies may be achieved by decreasing the allocation of the Portfolio’s assets to the largest growth companies relative to their weight in the Non-U.S. Universe, which would result in a greater weight allocation to small capitalization and value companies. An equity issuer is considered a growth company primarily because it has a low book value, that is not negative, in relation to its market capitalization. Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value. The Advisor determines company size on a country or region specific basis and based primarily on market capitalization. The Advisor may adjust the representation in the World ex U.S. Core Equity Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. As a non-fundamental policy, under normal circumstances, the Portfolio will invest at least 80% of its net assets in non-U.S. equity securities and/or investments that provide exposure to non-U.S. securities. The World ex U.S. Core Equity Portfolio may gain exposure to companies associated with approved markets by purchasing equity securities in the form of depositary receipts, which may be listed or traded outside the issuer’s domicile country. The Portfolio may purchase or sell futures contracts and options on futures contracts for foreign or U.S. equity securities and indices, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The Portfolio does not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The World ex U.S. Core Equity Portfolio may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Value Investment Risk:Value stocks may perform differently from the market as a whole and following a value- oriented investment strategy may cause the World ex U.S. Core Equity Portfolio to at times underperform equity funds that use other investment strategies. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Foreign Securities and Currencies Risk:Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The World ex U.S. Core Equity Portfolio does not hedge foreign currency risk. Emerging Markets Risk:Numerous emerging market countries have a history of, and continue to experience serious, and potentially continuing, economic and political problems. Stock markets in many emerging market countries are relatively small, expensive to trade in and generally have higher risks than those in developed markets. Securities in emerging markets also may be less liquid than those in developed markets and foreigners are often limited in their ability to invest in, and withdraw assets from, these markets. Additional restrictions may be imposed under other conditions. Frontier market countries generally have smaller economies or less 130 developed capital markets and, as a result, the risks of investing in emerging market countries are magnified in frontier market countries. Derivatives Risk:Derivatives are instruments, such as futures and foreign exchange forward contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the World ex U.S. Core Equity Portfolio uses derivatives, the Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the World ex U.S. Core Equity Portfolio may lose money and there may be a delay in recovering the loaned securities. The Portfolio could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The World ex U.S. Core Equity Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the World ex U.S. Core Equity Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the Portfolio’s performance from year to year. The table illustrates how annualized one year and since inception returns, both before and after taxes, compare with those of a broad measure of market performance. The Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the World ex U.S. Core Equity Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax- advantaged arrangements, such as 401(k) plans or individual retirement accounts. 131 World ex U.S. Core Equity Portfolio Institutional Class Shares—Total Returns -10 -5 0 10 5 (%) 2014 -4.86% 2015 -3.80% 6.37% 2016 January 2014-December 2016 Highest Quarter Lowest Quarter 8.06% (7/16–9/16)-12.15% (7/15–9/15) Annualized Returns (%) Periods ending December 31, 2016 1 Year Since 4/9/13 Inception World ex U.S. Core Equity Portfolio Return Before Taxes 6.37% 2.11% Return After Taxes on Distributions 5.65% 1.42% Return After Taxes on Distributions and Sale of Portfolio Shares 4.07% 1.53% MSCI All Country World ex USA Index (net dividends) (reflects no deduction for fees, expenses, or taxes on sales)4.50% 1.67% Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the World ex U.S. Core Equity Portfolio. Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as the sub-advisors for the World ex U.S. Core Equity Portfolio. The following individuals are responsible for coordinating the day to day management of the World ex U.S. Core Equity Portfolio: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager of the Portfolio since inception. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager of the Portfolio since inception. •Mary T. Phillips,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2014. •Allen Pu,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2006. •Bhanu P. Singh,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2012. 132 Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the World ex U.S. Core Equity Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the World ex U.S. Core Equity Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 133 World Core Equity Portfolio Investment Objective The investment objective of the World Core Equity Portfolio (formerly, Dimensional Retirement Equity Fund II) (the “Portfolio”) is to achieve long-term capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the World Core Equity Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) Management Fee 0.30% Other Expenses 0.03% Acquired Fund Fees and Expenses 0.31% Total Annual Fund Operating Expenses 0.64% Fee Waiver and/or Expense Reimbursement*0.29% Total Annual Fund Operating Expenses after Fee Waiver and/or Expense Reimbursement 0.35% * Dimensional Fund Advisors LP (the “Advisor”) has agreed to waive certain fees and in certain instances, assume certain expenses of the World Core Equity Portfolio. The Amended and Restated Fee Waiver and Expense Assumption Agreement for the Portfolio will remain in effect through February 28, 2018, and may only be terminated by the Fund’s Board of Directors prior to that date. Under certain circumstances, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed up to thirty-six months after such fee waiver and/or expense assumption. EXAMPLE This Example is meant to help you compare the cost of investing in the World Core Equity Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. The costs for the Portfolio reflect the net expenses of the Portfolio that result from the contractual expense waiver in the first year only. Although your actual costs may be higher or lower, based on these assumptions, your costs would be: 1 Year 3 Years 5 Years 10 Years $36 $176 $328 $771 PORTFOLIO TURNOVER A mutual fund generally pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when mutual fund shares are held in a taxable account. The World Core Equity Portfolio does not pay transaction costs when buying and selling shares of other mutual funds (the “Underlying Funds”); however, the Underlying Funds pay transaction costs when buying and selling securities for their portfolios. The 134 transaction costs incurred by the Underlying Funds, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the Portfolio’s performance. During the most recent fiscal year, the World Core Equity Portfolio’s turnover rate was 3% based on the weighted average portfolio turnover ratios of each of the Portfolio’s underlying investments. Principal Investment Strategies The World Core Equity Portfolio is a “fund of funds,” which means that the World Core Equity Portfolio generally allocates its assets among other mutual funds managed by the Advisor although it also has the ability to invest directly in securities. The World Core Equity Portfolio seeks to achieve exposure to a broad portfolio of securities of both U.S. companies and non-U.S. companies associated with countries with developed and emerging markets, which may include frontier markets (emerging markets in an earlier stage of development), by primarily purchasing shares of U.S. Core Equity 1 Portfolio, U.S. Large Company Portfolio, U.S. Large Cap Equity Portfolio, International Core Equity Portfolio, Large Cap International Portfolio, Emerging Markets Core Equity Portfolio and The Emerging Markets Series (the “Underlying Funds”). The World Core Equity Portfolio may have exposure to companies in all the market capitalization ranges. The World Core Equity Portfolio typically allocates its investments among the Underlying Funds in the following manner: 35% to 80% in the U.S. Core Equity 1 Portfolio, U.S. Large Cap Equity Portfolio and/or U.S. Large Company Portfolio; 15% to 55% in the International Core Equity Portfolio and/or Large Cap International Portfolio; and 5% to 20% in the Emerging Markets Core Equity Portfolio and/or The Emerging Markets Series. Allocations by the World Core Equity Portfolio among the Underlying Funds within the ranges described above are determined by the relative value of the holdings of the Underlying Funds. Periodically, the Advisor will review the allocations for the World Core Equity Portfolio in each Underlying Fund and may adjust allocations to the Underlying Funds or may add or remove Underlying Funds in the Portfolio without notice to shareholders. As a non-fundamental policy, under normal circumstances, at least 80% of the World Core Equity Portfolio’s net assets will be invested directly, or indirectly through its investment in the Underlying Funds, in equity securities. The World Core Equity Portfolio and each Underlying Fund may purchase or sell futures contracts and options on futures contracts for equity securities and indices, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio or Underlying Fund. The World Core Equity Portfolio and Underlying Funds do not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The World Core Equity Portfolio and each Underlying Fund may invest in exchange-traded funds (ETFs) and similarly structured pooled investments for the purposes of gaining exposure to the equity markets, while maintaining liquidity. In addition to money market instruments and other short-term investments, the World Core Equity Portfolio and each Underlying Fund may invest in affiliated and unaffiliated registered and unregistered money market funds. The World Core Equity Portfolio and Underlying Funds may invest in such money market funds and other short-term investments to manage cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. The World Core Equity Portfolio and Underlying Funds may lend their portfolio securities to generate additional income. A summary of the investment strategies and policies of the Underlying Funds in which the World Core Equity Portfolio invests as of the date of this Prospectus is described in the Portfolio’s Prospectus in the section entitled “ADDITIONAL INFORMATION ON INVESTMENT OBJECTIVES AND POLICIES”. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Fund of Funds Risk:The investment performance of the World Core Equity Portfolio is affected by the investment performance of the Underlying Funds in which the Portfolio invests. The ability of the Portfolio to 135 achieve its investment objective depends on the ability of the Underlying Funds to meet their investment objectives and on the Advisor’s decisions regarding the allocation of the Portfolio’s assets among the Underlying Funds. The Portfolio may allocate assets to an Underlying Fund or asset class that underperforms other funds or asset classes. There can be no assurance that the investment objective of the Portfolio or any Underlying Fund will be achieved. When the Portfolio invests in Underlying Funds, investors are exposed to a proportionate share of the expenses of those Underlying Funds in addition to the expenses of the Portfolio. Through its investments in the Underlying Funds, the Portfolio is subject to the risks of the Underlying Funds’ investments. The risks of the World Core Equity Portfolio’s and Underlying Funds’ investments are described below. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio or Underlying Fund that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Foreign Securities and Currencies Risk:Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The Underlying Funds do not hedge foreign currency risk. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Value Investment Risk:Value stocks may perform differently from the market as a whole and following a value- oriented investment strategy may cause the World Core Equity Portfolio and the Underlying Funds to at times underperform equity funds that use other investment strategies. Emerging Markets Risk:Numerous emerging market countries have a history of, and continue to experience serious, and potentially continuing, economic and political problems. Stock markets in many emerging market countries are relatively small, expensive to trade in and generally have higher risks than those in developed markets. Securities in emerging markets also may be less liquid than those in developed markets and foreigners are often limited in their ability to invest in, and withdraw assets from, these markets. Additional restrictions may be imposed under other conditions. Frontier market countries generally have smaller economies or less developed capital markets and, as a result, the risks of investing in emerging market countries are magnified in frontier market countries. Derivatives Risk:Derivatives are instruments, such as swaps, futures and foreign exchange forward contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the World Core Equity Portfolio or an Underlying Fund uses derivatives, the Portfolio or Underlying Fund will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio or Underlying Fund could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, an Underlying Fund may lose money and there may be a delay in recovering the loaned securities. An Underlying Fund could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. To the extent that the Portfolio holds securities directly and lends those securities, it will be also subject to the foregoing risks with respect to its loaned securities. 136 Cyber Security Risk:The World Core Equity Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the World Core Equity Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the Portfolio’s performance from year to year. The table illustrates how annualized one year and since inception returns, both before and after taxes, compare with those of a broad measure of market performance. The Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the World Core Equity Portfolio’s are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax- advantaged arrangements, such as 401(k) plans or individual retirement accounts. World Core Equity Portfolio Institutional Class Shares—Total Returns 2013 20162014 -40 -20 0 40 20 (%) 29.52% 10.72% 2.48% 2015 -2.46% January 2013-December 2016 Highest Quarter Lowest Quarter 9.34% (10/13–12/13)-9.91% (7/15–9/15) Annualized Returns (%) Periods ending December 31, 2016 1 Year Since 3/7/12 Inception World Core Equity Portfolio Return Before Taxes 10.72% 9.16% Return After Taxes on Distributions 10.01% 8.49% Return After Taxes on Distributions and Sale of Portfolio Shares 6.51% 7.13% MSCI All Country World Index (net dividends) (reflects no deduction for fees, expenses, or taxes on sales)7.86% 7.88% 137 Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the World Core Equity Portfolio and the Underlying Funds. Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as the sub-advisors for the World Core Equity Portfolio and certain of the Underlying Funds. The following individuals are responsible for coordinating the day to day management of the World Core Equity Portfolio: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Allen Pu,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2006. •Mary T. Phillips,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2014. Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the World Core Equity Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The World Core Equity Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the World Core Equity Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax- advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 138 Selectively Hedged Global Equity Portfolio Investment Objective The investment objective of the Selectively Hedged Global Equity Portfolio is to achieve long-term capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the Selectively Hedged Global Equity Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) Management Fee 0.30% Other Expenses 0.02% Acquired Fund Fees and Expenses 0.32% Total Annual Fund Operating Expenses 0.64% Fee Waiver and/or Expense Reimbursement*0.29% Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement 0.35% * Dimensional Fund Advisors LP (the “Advisor”) has agreed to waive certain fees and in certain instances, assume certain expenses of the Selectively Hedged Global Equity Portfolio. The Fee Waiver and/or Expense Assumption Agreement for the Portfolio will remain in effect through February 28, 2018, and may only be terminated by the Fund’s Board of Directors prior to that date. Under certain circumstances, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed up to thirty-six months after such fee waiver and/or expense assumption. EXAMPLE This Example is meant to help you compare the cost of investing in the Selectively Hedged Global Equity Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. The costs for the Portfolio reflect the net expenses of the Portfolio that result from the contractual expense waiver in the first year only. Although your actual costs may be higher or lower, based on these assumptions, your costs would be: 1 Year 3 Years 5 Years 10 Years $36 $176 $328 $771 PORTFOLIO TURNOVER A mutual fund generally pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when mutual fund shares are held in a taxable account. The Portfolio does not pay transaction costs when buying and selling shares of other mutual funds (the “Underlying Funds”); however, the Underlying Funds pay transaction costs when buying and selling securities for their portfolios. The transaction costs incurred by the Underlying Funds, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the 139 Portfolio’s performance. During the most recent fiscal year, the Selectively Hedged Global Equity Portfolio’s portfolio turnover rate was 3% based on the weighted average portfolio turnover ratios of each of the Portfolio’s underlying investments. Principal Investment Strategies The Selectively Hedged Global Equity Portfolio is a “fund of funds,” which means that the Portfolio generally allocates its assets among other mutual funds managed by the Advisor although it also has the ability to invest directly in securities and derivatives. The Portfolio seeks to achieve exposure to a broad portfolio of securities of both U.S. companies and non-U.S. companies associated with countries with developed and emerging markets, including frontier markets (emerging markets in an earlier stage of development), by primarily purchasing shares of U.S. Core Equity 2 Portfolio, International Core Equity Portfolio and Emerging Markets Core Equity Portfolio (the “Underlying Funds”). Periodically, the Advisor will review the allocations for the Selectively Hedged Global Equity Portfolio in each Underlying Fund and may adjust allocations to the Underlying Funds or may add or remove Underlying Funds in the Portfolio without notice to shareholders. The Advisor may consider the relative market capitalization weighting of developed and emerging markets within the universe of eligible securities along with other factors, including different valuation ratios and/or profitability, when allocating Portfolio investments among the Underlying Funds or securities. The Portfolio may have exposure to companies in all the market capitalization ranges. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. As a non-fundamental policy, under normal circumstances, at least 80% of the Selectively Hedged Global Equity Portfolio’s net assets will be invested directly, or indirectly through its investment in the Underlying Funds, in equity securities or investments that provide exposure to equity securities. In addition to, or in place of, investments in the Underlying Funds, the Portfolio is permitted to invest directly in the same types of equity securities of U.S. and non-U.S. companies that are eligible investments for the Underlying Funds. The Selectively Hedged Global Equity Portfolio, directly or indirectly through its investment in the Underlying Funds, invests a substantial portion of its assets in the securities of issuers located in multiple countries throughout the world. The Selectively Hedged Global Equity Portfolio invests directly or indirectly through its investment in the Underlying Funds in securities that may be denominated in foreign currencies. The Selectively Hedged Global Equity Portfolio may hedge some or all of the currency exposure of the foreign securities by entering into foreign forward currency contracts, futures or other derivatives. Currencies may be hedged against the U.S. dollar or non- U.S. dollar currencies. The decision to hedge the Selectively Hedged Global Equity Portfolio’s currency exposure with respect to a foreign market will be based on, among other things, a comparison of the respective foreign and U.S. short-term interest rates and the Portfolio’s existing exposure to a given foreign currency. The Selectively Hedged Global Equity Portfolio and each Underlying Fund also may purchase or sell futures contracts and options on futures contracts, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio or Underlying Fund. The Portfolio and Underlying Funds do not intend to sell futures contracts to establish short positions in individual securities. In order to meet segregation requirements with respect to such derivative transactions, the Selectively Hedged Global Equity Portfolio may hold short-term fixed income obligations. The Selectively Hedged Global Equity Portfolio and Underlying Funds may lend their portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Fund of Funds Risk:The investment performance of the Selectively Hedged Global Equity Portfolio is affected by the investment performance of the Underlying Funds in which the Portfolio invests. The ability of the 140 Selectively Hedged Global Equity Portfolio to achieve its investment objective depends on the ability of the Underlying Funds to meet their investment objectives and on the Advisor’s decisions regarding the allocation of the Portfolio’s assets among the Underlying Funds. The Selectively Hedged Global Equity Portfolio may allocate assets to an Underlying Fund or asset class that underperforms other funds or asset classes. There can be no assurance that the investment objective of the Portfolio or any Underlying Fund will be achieved. When the Portfolio invests in Underlying Funds, investors are exposed to a proportionate share of the expenses of those Underlying Funds in addition to the expenses of the Portfolio. Through its investments in the Underlying Funds, the Portfolio is subject to the risks of the Underlying Funds’ investments. The risks of the Selectively Hedged Global Equity Portfolio’s and Underlying Funds’ investments are described below. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio or Underlying Fund that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Foreign Securities and Currencies Risk:Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The Underlying Funds do not hedge foreign currency risk but the Selectively Hedged Global Equity Portfolio may directly hedge the foreign currency risk it is exposed to through its investment in the Underlying Funds or its direct investment in foreign securities. The Portfolio also may leave some or all of its foreign currency exposure unhedged. Currencies may be hedged against the U.S. dollar or non-U.S. dollar currencies. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Value Investment Risk:Value stocks may perform differently from the market as a whole and following a value- oriented investment strategy may cause the Selectively Hedged Global Equity Portfolio and the Underlying Funds to at times underperform equity funds that use other investment strategies. Emerging Markets Risk:Numerous emerging market countries have a history of, and continue to experience serious, and potentially continuing, economic and political problems. Stock markets in many emerging market countries are relatively small, expensive to trade in and generally have higher risks than those in developed markets. Securities in emerging markets also may be less liquid than those in developed markets and foreigners are often limited in their ability to invest in, and withdraw assets from, these markets. Additional restrictions may be imposed under other conditions. Frontier market countries generally have smaller economies or less developed capital markets and, as a result, the risks of investing in emerging market countries are magnified in frontier market countries. Derivatives Risk:Derivatives are instruments, such as futures and foreign exchange forward contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. Derivatives can be used for hedging (attempting to reduce risk by offsetting one investment position with another) or non-hedging purposes. Hedging with derivatives may increase expenses, and there is no guarantee that a hedging strategy will work. While hedging can reduce or eliminate losses, it can also reduce or eliminate gains or cause losses if the market moves in a manner different from that anticipated by the Selectively Hedged Global Equity Portfolio or if the cost of the derivative outweighs the benefit of the hedge. The use of derivatives for non-hedging purposes may be considered more speculative than other types of investments. When the Selectively Hedged Global Equity Portfolio or an Underlying Fund uses derivatives, the Portfolio or Underlying Fund will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a 141 derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio or Underlying Fund could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, an Underlying Fund may lose money and there may be a delay in recovering the loaned securities. An Underlying Fund could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. To the extent that the Portfolio holds securities directly and lends those securities, it will be also subject to the foregoing risks with respect to its loaned securities. Cyber Security Risk:The Selectively Hedged Global Equity Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the Selectively Hedged Global Equity Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and since inception returns, both before and after taxes, compare with those of a broad measure of market performance. The Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the Selectively Hedged Global Equity Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. Selectively Hedged Global Equity Portfolio Institutional Class Shares—Total Returns 2012 2013 20162014 -30 -20 -10 0 30 20 10 (%) 19.22% 12.84% 24.69% 3.91% 2015 -2.99% January 2012-December 2016 Highest Quarter Lowest Quarter 13.35% (1/12–3/12)-10.68% (7/15–9/15) 142 Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years Since 11/14/11 Inception Selectively Hedged Global Equity Portfolio Return Before Taxes 12.84% 11.08% 10.41% Return After Taxes on Distributions 11.93% 10.03% 9.36% Return After Taxes on Distributions and Sale of Portfolio Shares 7.81% 8.54% 8.00% MSCI All Country World Index (net dividends) (reflects no deduction for fees, expenses, or taxes on sales)7.86% 9.36% 8.80% Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the Selectively Hedged Global Equity Portfolio and the Underlying Funds. Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as the sub- advisors for the Selectively Hedged Global Equity Portfolio and certain of the Underlying Funds. The following individuals are responsible for coordinating the day to day management of the Portfolio and Underlying Funds: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •David A. Plecha,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 1989. •Joseph F. Kolerich,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2001. •Mary T. Phillips,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2014. •Allen Pu,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2006. 143 Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the Selectively Hedged Global Equity Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the Selectively Hedged Global Equity Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 144 Emerging Markets Portfolio Investment Objective The investment objective of the Emerging Markets Portfolio is to achieve long-term capital appreciation. The Emerging Markets Portfolio is a Feeder Portfolio and pursues its objective by investing substantially all of its assets in its corresponding Master Fund, The Emerging Markets Series (the “Emerging Markets Series”) of The DFA Investment Trust Company (the “Trust”), which has the same investment objective and policies as the Portfolio. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the Emerging Markets Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)* Management Fee 0.52% Other Expenses 0.06% Total Annual Fund Operating Expenses 0.58% Fee Waiver and/or Expense Reimbursement 0.10% Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement 0.48% * The “Management Fee” includes an investment management fee payable by the Feeder Portfolio and an investment management fee payable by the Master Fund. For any period when the Feeder Portfolio is invested in other funds managed by Dimensional Fund Advisors LP (the “Advisor”) (collectively, “Underlying Funds”), the Advisor has contractually agreed to permanently waive the Feeder Portfolio’s direct investment management fee to the extent necessary to offset the proportionate share of any Underlying Fund’s investment management fee paid by the Feeder Portfolio through its investment in such Underlying Fund. The amounts set forth under “Other Expenses” and “Total Annual Fund Operating Expenses” reflect the direct expenses of the Feeder Portfolio and the indirect expenses of the Feeder Portfolio’s portion of the expenses of the Master Fund. The “Management Fee” and “Total Annual Fund Operating Expenses” have been adjusted to reflect the decrease in the investment management fee payable by the Feeder Portfolio from 0.50% to 0.42% effective as of February 28, 2017. EXAMPLE This Example is meant to help you compare the cost of investing in the Emerging Markets Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $49 $154 $269 $604 The Example reflects the aggregate annual operating expenses of the Emerging Markets Portfolio and the Emerging Markets Portfolio’s portion of the expenses of the Emerging Markets Series. 145 PORTFOLIO TURNOVER The Emerging Markets Series pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the Emerging Markets Portfolio’s performance. During the most recent fiscal year, the Emerging Markets Series’ portfolio turnover rate was 5% of the average value of its investment portfolio. Principal Investment Strategies The Emerging Markets Portfolio pursues its investment objective by investing substantially all of its assets in the Emerging Markets Series. The Emerging Markets Series purchases a broad market coverage of larger companies associated with emerging markets, which may include frontier markets (emerging market countries in an earlier stage of development), authorized for investment by the Advisor’s Investment Committee (“Approved Markets”). The Advisor’s definition of large varies across countries and is based primarily on market capitalization. A company’s market capitalization is the number of its shares outstanding times its price per share. In each country authorized for investment, the Advisor first ranks eligible companies listed on selected exchanges based on the companies’ market capitalizations. The Advisor then defines the minimum market capitalization for a large company in that country. For example, based on market capitalization data as of December 31, 2016, Mexico had a size threshold of $2,895 million, and Czech Republic had a size threshold of $1,404 million. These thresholds will change due to market conditions. In addition, the Advisor may consider a company’s size, value, and/or profitability relative to other eligible companies when making investment decisions for the Emerging Markets Series. In assessing value, the Advisor may consider factors such as a company’s book value in relation to its market value, as well as price to cash flow or price to earnings ratios. In assessing profitability, the Advisor may consider factors such as that of earnings or profits from operations relative to book value or assets. The criteria the Advisor uses for assessing value or profitability are subject to change from time to time. The Advisor may also adjust the representation in the Emerging Markets Series of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. As a non-fundamental policy, under normal circumstances, the Emerging Markets Series will invest at least 80% of its net assets in emerging markets investments that are defined in the Prospectus as Approved Market securities. The Emerging Markets Series may gain exposure to companies associated with Approved Markets by purchasing equity securities in the form of depositary receipts, which may be listed or traded outside the issuer’s domicile country. The Emerging Markets Series and the Emerging Markets Portfolio each may purchase or sell futures contracts and options on futures contracts for Approved Market or other equity market securities and indices, including those of the United States, to adjust market exposure based on actual or expected cash inflows to or outflows from the Series or Portfolio. The Series and Portfolio do not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The Emerging Markets Series may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. 146 Foreign Securities and Currencies Risk:Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The Emerging Markets Series does not hedge foreign currency risk. Emerging Markets Risk:Numerous emerging market countries have a history of, and continue to experience serious, and potentially continuing, economic and political problems. Stock markets in many emerging market countries are relatively small, expensive to trade in and generally have higher risks than those in developed markets. Securities in emerging markets also may be less liquid than those in developed markets and foreigners are often limited in their ability to invest in, and withdraw assets from, these markets. Additional restrictions may be imposed under other conditions. Frontier market countries generally have smaller economies or less developed capital markets and, as a result, the risks of investing in emerging market countries are magnified in frontier market countries. Derivatives Risk:Derivatives are instruments, such as futures and foreign exchange forward contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the Emerging Markets Series and the Emerging Markets Portfolio use derivatives, the Emerging Markets Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the Emerging Markets Series may lose money and there may be a delay in recovering the loaned securities. The Emerging Markets Series could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The Emerging Markets Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the Emerging Markets Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. The Emerging Markets Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the Emerging Markets Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. 147 Emerging Markets Portfolio Institutional Class Shares—Total Returns -90 -30 -60 0 90 60 30 (%) 2007 2008 2009 2010 2011 2012 2013 2014 2016 36.02% -49.20% 71.77% 21.82% -17.42% 19.16%12.09% -3.12%-1.71% 2015 -15.81% January 2007-December 2016 Highest Quarter Lowest Quarter 33.14% (4/09–6/09)-27.83% (10/08–12/08) Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years Emerging Markets Portfolio Return Before Taxes 12.09% 1.38% 2.49% Return After Taxes on Distributions 11.56% 0.85% 1.80% Return After Taxes on Distributions and Sale of Portfolio Shares 7.23% 1.08% 2.15% MSCI Emerging Markets Index (net dividends) (reflects no deduction for fees, expenses, or taxes on sales)11.19% 1.28% 1.84% Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the Emerging Markets Portfolio and Emerging Markets Series. Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as the sub-advisors for the Emerging Markets Series. The following individuals are responsible for coordinating the day to day management of the Emerging Markets Portfolio and Emerging Markets Series: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Daniel C. Ong,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Mary T. Phillips,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2014. •Bhanu P. Singh,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2012. 148 Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the Emerging Markets Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the Emerging Markets Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The Emerging Markets Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the Emerging Markets Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 149 Emerging Markets Value Portfolio Investment Objective The investment objective of the Emerging Markets Value Portfolio is to achieve long-term capital appreciation. The Emerging Markets Value Portfolio is a Feeder Portfolio and pursues its objective by investing substantially all of its assets in its corresponding Master Fund, the Dimensional Emerging Markets Value Fund (the “Emerging Markets Value Fund”), which has the same investment objective and policies as the Portfolio. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the Emerging Markets Value Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)* Management Fee 0.60% Other Expenses 0.06% Total Annual Fund Operating Expenses 0.66% Fee Waiver and/or Expense Reimbursement 0.10% Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement 0.56% * The “Management Fee” includes an investment management fee payable by the Feeder Portfolio and an investment management fee payable by the Master Fund. For any period when the Feeder Portfolio is invested in other funds managed by Dimensional Fund Advisors LP (the “Advisor”) (collectively, “Underlying Funds”), the Advisor has contractually agreed to permanently waive the Feeder Portfolio’s direct investment management fee to the extent necessary to offset the proportionate share of any Underlying Fund’s investment management fee paid by the Feeder Portfolio through its investment in such Underlying Fund. The amounts set forth under “Other Expenses” and “Total Annual Fund Operating Expenses” reflect the direct expenses of the Feeder Portfolio and the indirect expenses of the Feeder Portfolio’s portion of the expenses of the Master Fund. EXAMPLE This Example is meant to help you compare the cost of investing in the Emerging Markets Value Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $57 $179 $313 $701 The Example reflects the aggregate annual operating expenses of the Emerging Markets Value Portfolio and the Emerging Markets Value Portfolio’s portion of the expenses of the Emerging Markets Value Fund. 150 PORTFOLIO TURNOVER The Emerging Markets Value Fund pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the Emerging Markets Value Portfolio’s performance. During the most recent fiscal year, the Emerging Markets Value Fund’s portfolio turnover rate was 12% of the average value of its investment portfolio. Principal Investment Strategies The Emerging Markets Value Portfolio pursues its investment objective by investing substantially all of its assets in the Emerging Markets Value Fund. The Emerging Markets Value Fund purchases emerging market equity securities that are deemed by the Advisor to be value stocks at the time of purchase and associated with emerging markets, which may include frontier markets (emerging market countries in an earlier stage of development), authorized for investment by the Advisor’s Investment Committee (“Approved Markets”). Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value. The Advisor may also adjust the representation in the Emerging Markets Value Fund of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. As a non-fundamental policy, under normal circumstances, the Emerging Markets Value Fund will invest at least 80% of its net assets in emerging markets investments that are defined in the Prospectus as Approved Markets securities. The Emerging Markets Value Fund may purchase emerging market equity securities across all market capitalizations. The Emerging Markets Value Fund may gain exposure to companies associated with Approved Markets by purchasing equity securities in the form of depositary receipts, which may be listed or traded outside the issuer’s domicile country. The Emerging Markets Value Portfolio and the Emerging Markets Value Fund each may purchase or sell futures contracts and options on futures contracts for Approved Market or other equity market securities and indices, including those of the United States, to adjust market exposure based on actual or expected cash inflows to or outflows from the Emerging Markets Value Portfolio or Emerging Markets Value Fund. The Emerging Markets Value Portfolio and Emerging Markets Value Fund do not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The Emerging Markets Value Fund may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Foreign Securities and Currencies Risk:Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The Emerging Markets Value Fund does not hedge foreign currency risk. 151 Emerging Markets Risk:Numerous emerging market countries have a history of, and continue to experience serious, and potentially continuing, economic and political problems. Stock markets in many emerging market countries are relatively small, expensive to trade in and generally have higher risks than those in developed markets. Securities in emerging markets also may be less liquid than those in developed markets and foreigners are often limited in their ability to invest in, and withdraw assets from, these markets. Additional restrictions may be imposed under other conditions. Frontier market countries generally have smaller economies or less developed capital markets and, as a result, the risks of investing in emerging market countries are magnified in frontier market countries. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Value Investment Risk:Value stocks may perform differently from the market as a whole and following a value- oriented investment strategy may cause the Portfolio to at times underperform equity funds that use other investment strategies. Derivatives Risk:Derivatives are instruments, such as futures and foreign exchange forward contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the Emerging Markets Value Fund and the Emerging Markets Value Portfolio use derivatives, the Emerging Markets Value Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the Emerging Markets Value Fund may lose money and there may be a delay in recovering the loaned securities. The Emerging Markets Value Fund could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The Emerging Markets Value Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the Emerging Markets Value Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. The Emerging Markets Value Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the Emerging Markets Value Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. 152 Emerging Markets Value Portfolio Institutional Class Shares—Total Returns -30 -60 -90 -120 0 30 90 60 120 (%) 20132007 2008 2009 20112010 2012 20152014 2016 45.64% -53.94% 92.28% 22.06% -25.61% 19.36%19.84% -3.80%-4.41% -18.77% January 2007-December 2016 Highest Quarter Lowest Quarter 44.78% (4/09–6/09)-28.51% (10/08–12/08) Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years Emerging Markets Value Portfolio Return Before Taxes 19.84% 1.33% 2.27% Return After Taxes on Distributions 19.24% 0.65% 1.27% Return After Taxes on Distributions and Sale of Portfolio Shares 11.66% 1.05% 1.83% MSCI Emerging Markets Index (net dividends) (reflects no deduction for fees, expenses, or taxes on sales)11.19% 1.28% 1.84% Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the Emerging Markets Value Portfolio and Emerging Markets Value Fund. Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as the sub- advisors for the Emerging Markets Value Fund. The following individuals are responsible for coordinating the day to day management of the Emerging Markets Portfolio and Emerging Markets Value Fund: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Daniel C. Ong,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Mary T. Phillips,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2014. •Bhanu P. Singh,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2012. 153 Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the Emerging Markets Value Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the Emerging Markets Value Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The Emerging Markets Value Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the Emerging Markets Value Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 154 Emerging Markets Small Cap Portfolio Investment Objective The investment objective of the Emerging Markets Small Cap Portfolio is to achieve long-term capital appreciation. The Emerging Markets Small Cap Portfolio is a Feeder Portfolio and pursues its objective by investing substantially all of its assets in its corresponding Master Fund, The Emerging Markets Small Cap Series (the “Emerging Markets Small Cap Series”) of The DFA Investment Trust Company (the “Trust”), which has the same investment objective and policies as the Portfolio. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the Emerging Markets Small Cap Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)* Management Fee 0.85% Other Expenses 0.07% Total Annual Fund Operating Expenses 0.92% Fee Waiver and/or Expense Reimbursement 0.20% Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement 0.72% * The “Management Fee” includes an investment management fee payable by the Feeder Portfolio and an investment management fee payable by the Master Fund. For any period when the Feeder Portfolio is invested in other funds managed by Dimensional Fund Advisors LP (the “Advisor”) (collectively, “Underlying Funds”), the Advisor has contractually agreed to permanently waive the Feeder Portfolio’s direct investment management fee to the extent necessary to offset the proportionate share of any Underlying Fund’s investment management fee paid by the Feeder Portfolio through its investment in such Underlying Fund. The amounts set forth under “Other Expenses” and “Total Annual Fund Operating Expenses” reflect the direct expenses of the Feeder Portfolio and the indirect expenses of the Feeder Portfolio’s portion of the expenses of the Master Fund. EXAMPLE This Example is meant to help you compare the cost of investing in the Emerging Markets Small Cap Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $74 $230 $401 $894 The Example reflects the aggregate annual operating expenses of the Emerging Markets Small Cap Portfolio and the Emerging Markets Small Cap Portfolio’s portion of the Emerging Markets Small Cap Series. 155 PORTFOLIO TURNOVER The Emerging Markets Small Cap Series pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the Emerging Markets Small Cap Portfolio’s performance. During the most recent fiscal year, the Emerging Markets Small Cap Series’ portfolio turnover rate was 18% of the average value of its investment portfolio. Principal Investment Strategies The Emerging Markets Small Cap Portfolio pursues its investment objective by investing substantially all of its assets in the Emerging Markets Small Cap Series. The Emerging Markets Small Cap Series purchases a broad market coverage of smaller companies associated with each emerging market, which may include frontier markets (emerging market countries in an earlier stage of development), authorized for investment by the Advisor’s Investment Committee (“Approved Markets”). The Advisor’s definition of small varies across countries and is based primarily on market capitalization. A company’s market capitalization is the number of its shares outstanding times its price per share. In each country authorized for investment, the Advisor first ranks eligible companies listed on selected exchanges based on the companies’ market capitalizations. The Advisor then defines the maximum market capitalization for a small company in that country. For example, based on market capitalization data as of December 31, 2016, Mexico had a size threshold of $2,895 million, and Greece had a size threshold of $1,425 million. These thresholds will change due to market conditions. The Advisor may also adjust the representation in the Emerging Markets Small Cap Series of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. As a non-fundamental policy, under normal circumstances, the Emerging Markets Small Cap Series will invest at least 80% of its net assets in emerging market investments that are designated in the Prospectus as Approved Market securities of small companies. The Emerging Markets Small Cap Series may gain exposure to companies associated with Approved Markets by purchasing equity securities in the form of depositary receipts, which may be listed or traded outside the issuer’s domicile country. The Emerging Markets Small Cap Series and the Emerging Markets Small Cap Portfolio each may purchase or sell futures contracts and options on futures contracts for Approved Market or other equity market securities and indices, including those of the United States, to adjust market exposure based on actual or expected cash inflows to or outflows from the Series or Portfolio. The Series and Portfolio do not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The Emerging Markets Small Cap Series may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Foreign Securities and Currencies Risk:Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. 156 Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The Emerging Markets Small Cap Series does not hedge foreign currency risk. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Emerging Markets Risk:Numerous emerging market countries have a history of, and continue to experience serious, and potentially continuing, economic and political problems. Stock markets in many emerging market countries are relatively small, expensive to trade in and generally have higher risks than those in developed markets. Securities in emerging markets also may be less liquid than those in developed markets and foreigners are often limited in their ability to invest in, and withdraw assets from, these markets. Additional restrictions may be imposed under other conditions. Frontier market countries generally have smaller economies or less developed capital markets and, as a result, the risks of investing in emerging market countries are magnified in frontier market countries. Derivatives Risk:Derivatives are instruments, such as futures and foreign exchange forward contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the Emerging Markets Small Cap Series and the Emerging Markets Small Cap Portfolio use derivatives, the Emerging Markets Small Cap Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the Emerging Markets Small Cap Series may lose money and there may be a delay in recovering the loaned securities. The Emerging Markets Small Cap Series could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The Emerging Markets Small Cap Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the Emerging Markets Small Cap Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. The Emerging Markets Small Cap Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the Emerging Markets Small Cap Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. 157 Emerging Markets Small Cap Portfolio Institutional Class Shares—Total Returns -120 -60 -30 -90 0 120 60 90 30 (%) 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 38.02% -54.53% 99.74% 30.18% -22.62% 24.44% 10.92% -1.38% 3.00% -8.70% January 2007-December 2016 Highest Quarter Lowest Quarter 47.06% (4/09–6/09)-25.39% (10/08–12/08) Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years Emerging Markets Small Cap Portfolio Return Before Taxes 10.92% 5.06% 4.92% Return After Taxes on Distributions 9.27% 3.88% 3.96% Return After Taxes on Distributions and Sale of Portfolio Shares 6.88% 3.74% 3.90% MSCI Emerging Markets Index (net dividends) (reflects no deduction for fees, expenses, or taxes on sales)11.19% 1.28% 1.84% Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the Emerging Markets Small Cap Portfolio and Emerging Markets Small Cap Series. Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as the sub- advisors for the Emerging Markets Small Cap Series. The following individuals are responsible for coordinating the day to day management of the Emerging Markets Small Cap Portfolio and Emerging Markets Small Cap Series: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Daniel C. Ong,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Mary T. Phillips,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2014. •Bhanu P. Singh,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2012. 158 Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the Emerging Markets Small Cap Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the Emerging Markets Small Cap Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The Emerging Markets Small Cap Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the Emerging Markets Small Cap Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 159 Emerging Markets Core Equity Portfolio Investment Objective The investment objective of the Emerging Markets Core Equity Portfolio is to achieve long-term capital appreciation. Fees and Expenses of the Portfolio This table describes the fees and expenses you may pay if you buy and hold shares of the Emerging Markets Core Equity Portfolio. Shareholder Fees (fees paid directly from your investment):None Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)* Management Fee 0.47% Other Expenses 0.06% Total Annual Fund Operating Expenses 0.53% * The “Management Fee” and “Total Annual Fund Operating Expenses” have been adjusted to reflect the decrease in the management fee payable by the Portfolio from 0.55% to 0.47% effective as of February 28, 2017. EXAMPLE This Example is meant to help you compare the cost of investing in the Emerging Markets Core Equity Portfolio with the cost of investing in other mutual funds. The Example assumes that you invest $10,000 in the Portfolio for the time periods indicated. The Example also assumes that your investment has a 5% return each year and that the Portfolio’s operating expenses remain the same. Although your actual costs may be higher or lower, based on these assumptions your costs would be: 1 Year 3 Years 5 Years 10 Years $54 $170 $296 $665 PORTFOLIO TURNOVER The Emerging Markets Core Equity Portfolio pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its portfolio). A higher portfolio turnover may indicate higher transaction costs and may result in higher taxes when Portfolio shares are held in a taxable account. These costs, which are not reflected in Annual Fund Operating Expenses or in the Example, affect the Emerging Markets Core Equity Portfolio’s performance. During the most recent fiscal year, the Emerging Markets Core Equity Portfolio’s portfolio turnover rate was 3% of the average value of its investment portfolio. Principal Investment Strategies The Emerging Markets Core Equity Portfolio purchases a broad and diverse group of securities associated with emerging markets, which may include frontier markets (emerging market countries in an earlier stage of development), authorized for investment by Dimensional Fund Advisors LP’s (the “Advisor”) Investment Committee (“Approved Markets”), with an increased exposure to securities of small cap issuers and securities that it considers to be value securities. In assessing value, the Advisor may consider factors such as the issuer’s 160 securities having a high book value in relation to their market value, as well as price to cash flow or price to earnings ratios. The criteria the Advisor uses for assessing value are subject to change from time to time. The Advisor may also adjust the representation in the Emerging Markets Core Equity Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. As a non-fundamental policy, under normal circumstances, the Emerging Markets Core Equity Portfolio will invest at least 80% of its net assets in emerging markets equity investments that are defined in the Prospectus as Approved Market securities. The Emerging Markets Core Equity Portfolio may gain exposure to companies in Approved Markets by purchasing equity securities in the form of depositary receipts, which may be listed or traded outside the issuer’s domicile country. The Emerging Markets Core Equity Portfolio may purchase or sell futures contracts and options on futures contracts for Approved Market or other equity market securities and indices, including those of the United States, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The Portfolio does not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The Emerging Markets Core Equity Portfolio may lend its portfolio securities to generate additional income. Principal Risks Because the value of your investment in the Portfolio will fluctuate, there is the risk that you will lose money. The following is a description of principal risks of investing in the Portfolio. Equity Market Risk:Even a long-term investment approach cannot guarantee a profit. Economic, market, political, and issuer-specific conditions and events will cause the value of equity securities, and the Portfolio that owns them, to rise or fall. Stock markets tend to move in cycles, with periods of rising prices and periods of falling prices. Foreign Securities and Currencies Risk:Foreign securities prices may decline or fluctuate because of: (a) economic or political actions of foreign governments, and/or (b) less regulated or liquid securities markets. Investors holding these securities may also be exposed to foreign currency risk (the possibility that foreign currency will fluctuate in value against the U.S. dollar or that a foreign government will convert, or be forced to convert, its currency to another currency, changing its value against the U.S. dollar). The Emerging Markets Core Equity Portfolio does not hedge foreign currency risk. Small Company Risk:Securities of small companies are often less liquid than those of large companies and this could make it difficult to sell a small company security at a desired time or price. As a result, small company stocks may fluctuate relatively more in price. In general, smaller capitalization companies are also more vulnerable than larger companies to adverse business or economic developments and they may have more limited resources. Emerging Markets Risk:Numerous emerging market countries have a history of, and continue to experience serious, and potentially continuing, economic and political problems. Stock markets in many emerging market countries are relatively small, expensive to trade in and generally have higher risks than those in developed markets. Securities in emerging markets also may be less liquid than those in developed markets and foreigners are often limited in their ability to invest in, and withdraw assets from, these markets. Additional restrictions may be imposed under other conditions. Frontier market countries generally have smaller economies or less developed capital markets and, as a result, the risks of investing in emerging market countries are magnified in frontier market countries. Value Investment Risk:Value stocks may perform differently from the market as a whole and following a value- oriented investment strategy may cause the Portfolio to at times underperform equity funds that use other investment strategies. 161 Derivatives Risk:Derivatives are instruments, such as futures and foreign exchange forward contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When the Emerging Markets Core Equity Portfolio uses derivatives, the Portfolio will be directly exposed to the risks of those derivatives. Derivative instruments are subject to a number of risks including counterparty, liquidity, interest rate, market, credit and management risks, and the risk of improper valuation. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and the Portfolio could lose more than the principal amount invested. Securities Lending Risk:Securities lending involves the risk that the borrower may fail to return the securities in a timely manner or at all. As a result, the Emerging Markets Core Equity Portfolio may lose money and there may be a delay in recovering the loaned securities. The Emerging Markets Core Equity Portfolio could also lose money if it does not recover the securities and/or the value of the collateral falls, including the value of investments made with cash collateral. Securities lending also may have certain adverse tax consequences. Cyber Security Risk:The Emerging Markets Core Equity Portfolio’s and its service providers’ use of internet, technology and information systems may expose the Portfolio to potential risks linked to cyber security breaches of those technological or information systems. Cyber security breaches, amongst other things, could allow an unauthorized party to gain access to proprietary information, customer data, or fund assets, or cause the Portfolio and/or its service providers to suffer data corruption or lose operational functionality. Performance The bar chart and table immediately following illustrate the variability of the Emerging Markets Core Equity Portfolio’s returns and are meant to provide some indication of the risks of investing in the Portfolio. The bar chart shows the changes in the Portfolio’s performance from year to year. The table illustrates how annualized one year, five year and ten year returns, both before and after taxes, compare with those of a broad measure of market performance. The Emerging Markets Core Equity Portfolio’s past performance (before and after taxes) is not an indication of future results. Updated performance information for the Portfolio can be obtained by visiting http://us.dimensional.com. The after-tax returns presented in the table for the Emerging Markets Core Equity Portfolio are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax situation and may differ from those shown in the table. In addition, the after-tax returns shown are not relevant to investors who hold shares of the Portfolio through tax-advantaged arrangements, such as 401(k) plans or individual retirement accounts. 162 Emerging Markets Core Equity Portfolio Institutional Class Shares—Total Returns -14.86% -100 -20 -40 -60 -80 0 100 80 60 40 20 (%) 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 37.48% -50.66% 83.58% 23.62% -20.65% 20.49%12.35% -2.64%-0.91% January 2007-December 2016 Highest Quarter Lowest Quarter 40.20% (4/09–6/09)-26.51% (10/08–12/08) Annualized Returns (%) Periods ending December 31, 2016 1 Year 5 Years 10 Years Emerging Markets Core Equity Portfolio Return Before Taxes 12.35% 2.14% 3.11% Return After Taxes on Distributions 11.73% 1.63% 2.68% Return After Taxes on Distributions and Sale of Portfolio Shares 7.33% 1.62% 2.47% MSCI Emerging Markets Index (net dividends) (reflects no deduction for fees, expenses, or taxes on sales)11.19% 1.28% 1.84% Investment Advisor/Portfolio Management Dimensional Fund Advisors LP serves as the investment advisor for the Emerging Markets Core Equity Portfolio. Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as the sub-advisors for the Emerging Markets Core Equity Portfolio. The following individuals are responsible for coordinating the day to day management of the Emerging Markets Core Equity Portfolio: •Joseph H. Chi,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2005. •Jed S. Fogdall,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2004. •Mary T. Phillips,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2014. •Allen Pu,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2006. •Bhanu P. Singh,Senior Portfolio Manager and Vice President of the Advisor, has been a portfolio manager since 2012. 163 Purchase and Redemption of Fund Shares Investors may purchase or redeem shares of the Emerging Markets Core Equity Portfolio on each day that the NYSE is scheduled to be open for business by first contacting the Portfolio’s transfer agent at (888) 576-1167. Shareholders that invest in the Emerging Markets Core Equity Portfolio through a financial intermediary should contact their financial intermediary regarding purchase and redemption procedures. The Emerging Markets Core Equity Portfolio generally is available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions and a limited number of certain other investors as approved from time to time by the Advisor. All investments are subject to approval of the Advisor. Tax Information The dividends and distributions you receive from the Emerging Markets Core Equity Portfolio are taxable and generally will be taxed as ordinary income, capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account, in which case distributions generally will be taxed as ordinary income when withdrawn from the plan or account. Payments to Financial Intermediaries If you purchase the Portfolio through a broker-dealer or other financial intermediary (such as a bank), the Portfolio and its related companies may pay the intermediary for the sale of the Portfolio shares and related services. These payments may create a conflict of interest by influencing the financial intermediary to recommend the Portfolio over another investment. Ask your financial advisor or visit your financial intermediary’s website for more information. 164 Additional Information on Investment Objectives and Policies The two registrants described in this Prospectus offer a variety of investment portfolios. Each of the registrants’ Portfolios has its own investment objective and policies, and is the equivalent of a separate mutual fund. The U.S. Large Company Portfolio and DFA International Value Portfolio are offered by Dimensional Investment Group Inc. The other Portfolios contained in this Prospectus are offered by DFA Investment Dimensions Group Inc. The Portfolios described in this Prospectus are designed for long-term investors. The U.S. Targeted Value Portfolio also offers two additional classes of shares, Class R1 shares and Class R2 shares, and the DFA International Value Portfolio and Emerging Markets Value Portfolio also offer one additional class of shares, Class R2 shares. Investment Terms Used in the Prospectus Below are the definitions of some terms that the Advisor uses to describe the investment strategies for certain Portfolios. Free Float generally describes the number of publicly traded shares of a company. Momentum generally describes the past performance of a stock relative to other stocks. Trading Strategies generally refers to the ability to execute purchases and sales of stocks in a cost-effective manner. Profitability generally measures a company’s profit in relation to the size of the business. U.S. Large Company Portfolio U.S. Large Company Portfolio seeks, as its investment objective, to approximate the total investment return of the S&P 500 ®Index. The U.S. Large Company Portfolio generally invests in the stocks that comprise the S&P 500®Index in approximately the proportions they are represented in the S&P 500 ®Index. Ordinarily, portfolio companies will not be sold except to reflect additions or deletions of the companies that comprise the S&P 500 ®Index, including as a result of mergers, reorganizations and similar transactions and, to the extent necessary, to provide cash to pay redemptions of the U.S. Large Company Portfolio’s shares. The U.S. Large Company Portfolio may invest in exchange-traded funds (ETFs) and similarly structured pooled investments for the purpose of gaining exposure to the U.S. stock market while maintaining liquidity. In addition to money market instruments and other short-term investments, the U.S. Large Company Portfolio may invest in affiliated and unaffiliated registered and unregistered money market funds to manage cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. For information concerning Standard & Poor’s Rating Group, a division of The McGraw Hill Companies (“S&P”), and disclaimers of S&P with respect to the U.S. Large Company Portfolio, see “Standard & Poor’s—Information and Disclaimers.” Enhanced U.S. Large Company Portfolio Enhanced U.S. Large Company Portfolio seeks, as its investment objective, to achieve a total return which exceeds the total return performance of the S&P 500 ®Index. The Portfolio may invest in all of the stocks represented in the S&P 500 ®Index, options on stock indices, stock index futures, options on stock index futures, swap agreements on stock indices and shares of investment companies, such as exchange-traded funds (ETFs), that invest in stocks represented in the S&P 500 ®Index or other similar stock indices. The Portfolio generally invests in S&P 500 ®futures contracts and fixed income obligations. The Portfolio may, from time to time, also invest in options on stock indices, stock index futures, options on stock index futures and swap agreements based on indices other than, but similar to, the S&P 500 ®Index (such instruments whether or not based on the 165 S&P 500 ®Index hereinafter collectively referred to as “Index Derivatives”). For information concerning S&P, and disclaimers of S&P with respect to the Enhanced U.S. Large Company Portfolio, see “Standard & Poor’s— Information and Disclaimers.” The Enhanced U.S. Large Company Portfolio may invest a substantial portion of its assets in Index Derivatives. Assets of the Portfolio may be invested in fixed income obligations including: 1.U.S. Government Obligations—Debt securities issued by the U.S. Treasury which are direct obligations of the U.S. Government, including bills, notes and bonds. 2.U.S. Government Agency Obligations—Issued or guaranteed by U.S. government-sponsored instrumentalities and federal agencies, which have different levels of credit support. The U.S. government agency obligations include, but are not limited to, securities issued by agencies and instrumentalities of the U.S. Government that are supported by the full faith and credit of the United States, such as the Federal Housing Administration and Ginnie Mae, including Ginnie Mae pass-through certificates. Other securities issued by agencies and instrumentalities sponsored by the U.S. Government may be supported only by the issuer’s right to borrow from the U.S. Treasury, subject to certain limits, such as securities issued by Federal Home Loan Banks, or are supported only by the credit of such agencies, such as Freddie Mac and Fannie Mae. 3.Corporate Debt Obligations—Nonconvertible corporate debt securities (e.g., bonds and debentures), which have received an investment grade rating by Moody’s Investors Service, Inc. (“Moody’s”), Standard & Poor’s Rating Group (“S&P”), or Fitch Ratings Ltd. (“Fitch”), or an equivalent rating assigned by another nationally recognized statistical rating organization (“NRSRO”), or, if unrated, have been determined by the Advisor to be of comparable quality. 4.Bank Obligations—Obligations of U.S. banks and savings and loan associations and dollar-denominated obligations of U.S. subsidiaries and branches of foreign banks, such as certificates of deposit (including marketable variable rate certificates of deposit), time deposits and bankers’ acceptances. Bank certificates of deposit will only be acquired from banks having assets in excess of $1,000,000,000. 5.Commercial Paper—Rated, at the time of purchase, A3 or better by S&P or Prime3 or better by Moody’s, or F3 or better by Fitch, or an equivalent rating assigned by another NRSRO, or, if unrated, issued by a corporation having an outstanding unsecured debt issue rated at least Baa3 by Moody’s or BBB- by S&P or Fitch. 6.Repurchase Agreements—Instruments through which the Portfolio purchases securities (“underlying securities”) from a bank or a registered U.S. government securities dealer, with an agreement by the seller to repurchase the securities at an agreed price, plus interest at a specified rate. The underlying securities will be limited to U.S. government and agency obligations described in (1) and (2) above. The Enhanced U.S. Large Company Portfolio will not enter into a repurchase agreement with a duration of more than seven days if, as a result, more than 10% of the value of the Enhanced U.S. Large Company Portfolio’s total assets would be so invested. In addition, a repurchase agreement with a duration of more than seven days will be subject to the Portfolio’s illiquid securities policy. The Enhanced U.S. Large Company Portfolio also will only invest in repurchase agreements with a bank if the bank has at least $1,000,000,000 in assets and is approved by the Investment Committee of the Advisor. The Advisor will monitor the market value of the securities plus any accrued interest thereon so that they will at least equal the repurchase price. 7.Foreign Government and Agency Obligations—Bills, notes, bonds and other debt securities issued or guaranteed by foreign governments, or their agencies and instrumentalities. 8.Supranational Organization Obligations—Debt securities of supranational organizations such as the European Investment Bank, the Inter-American Development Bank or the World Bank, which are chartered to promote economic development. 9.Foreign Issuer Obligations—Debt securities of non-U.S. issuers rated AA- or better by S&P or Fitch, Aa3 or better by Moody’s, or an equivalent rating assigned by another NRSRO, or, if unrated, securities that have been determined by the Advisor to be of comparable quality. 10.Eurodollar Obligations—Debt securities of domestic or foreign issuers denominated in U.S. dollars but not trading in the United States. 11.Money Market Funds—The Enhanced U.S. Large Company Portfolio may invest in affiliated and unaffiliated registered and unregistered money market funds. 166 The categories of investments that may be acquired by the Enhanced U.S. Large Company Portfolio may include both fixed and floating rate securities. Floating rate securities bear interest at rates that vary with prevailing market rates. Interest rate adjustments are made periodically (e.g., every six months), usually based on a money market index such as the London Interbank Offered Rate (LIBOR) or the Treasury bill rate. The percentage of assets of the Enhanced U.S. Large Company Portfolio that will be invested in S&P 500 ®Index stocks, Index Derivatives, fixed income investments and in shares of other investment companies may vary from time to time, within the discretion of the Advisor and according to restraints imposed by the federal securities laws and regulations governing mutual funds. The Enhanced U.S. Large Company Portfolio will maintain a segregated account consisting of liquid assets (or, as permitted by applicable interpretations of the Securities and Exchange Commission (the “SEC”), enter into offsetting positions) to cover its open positions in Index Derivatives to avoid leveraging by the Portfolio. The Enhanced U.S. Large Company Portfolio will enter into positions in futures and options on futures only to the extent such positions are permissible with respect to applicable rules of the Commodity Futures Trading Commission without registering the Portfolio as a commodity pool operator. In addition, the Portfolio may not be able to utilize Index Derivatives to the extent otherwise permissible or desirable because of constraints imposed by the Internal Revenue Code of 1986, as amended (the “Code”), or by unanticipated illiquidity in the marketplace for such instruments. It is the position of the SEC that over-the-counter options are illiquid. Accordingly, the Enhanced U.S. Large Company Portfolio will invest in such options only to the extent consistent with its 15% limit on investment in illiquid securities. The Enhanced U.S. Large Company Portfolio may invest in exchange-traded funds (ETFs) and similarly structured pooled investments for the purpose of gaining exposure to the U.S. equity markets, while maintaining liquidity. In addition to money market instruments and other short-term investments, the Portfolio may invest in affiliated and unaffiliated registered and unregistered money market funds to manage cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. The Portfolio’s investments in the securities of other investment companies, including ETFs and money market funds, may involve the duplication of certain fees and expenses. Standard & Poor’s—Information and Disclaimers.The U.S. Large Company Portfolio and the Enhanced U.S. Large Company Portfolio are not sponsored, endorsed, sold or promoted by S&P. S&P makes no representation or warranty, express or implied, to the owners of the U.S. Large Company Portfolio or the Enhanced U.S. Large Company Portfolio or any member of the public regarding the advisability of investing in securities generally or in the U.S. Large Company Portfolio or the Enhanced U.S. Large Company Portfolio particularly or the ability of the S&P 500 ®Index to track general stock market performance. S&P’s only relationship to the U.S. Large Company Portfolio or the Enhanced U.S. Large Company Portfolio is the licensing of certain trademarks and trade names of S&P and of the S&P 500 ®Index which is determined, composed and calculated by S&P without regard to the U.S. Large Company Portfolio or the Enhanced U.S. Large Company Portfolio. S&P has no obligation to take the needs of the U.S. Large Company Portfolio or the Enhanced U.S. Large Company Portfolio or their respective owners into consideration in determining, composing or calculating the S&P 500 ®Index. S&P is not responsible for and has not participated in the determination of the prices and amount of the U.S. Large Company Portfolio or the Enhanced U.S. Large Company Portfolio or the issuance or sale of the U.S. Large Company Portfolio or the Enhanced U.S. Large Company Portfolio or in the determination or calculation of the equation by which the U.S. Large Company Portfolio or the Enhanced U.S. Large Company Portfolio are to be converted into cash. S&P has no obligation or liability in connection with the administration, marketing or trading of the U.S. Large Company Portfolio or the Enhanced U.S. Large Company Portfolio. S&P DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE S&P 500 ®INDEX OR ANY DATA INCLUDED THEREIN AND S&P SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. S&P MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY LICENSEE, OWNERS OF THE PRODUCT, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P 500 ®INDEX OR ANY DATA INCLUDED THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A 167 PARTICULAR PURPOSE OR USE WITH RESPECT TO THE S&P 500 ®INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL S&P HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. U.S. Large Cap Equity Portfolio The investment objective of the U.S. Large Cap Equity Portfolio is to achieve long-term capital appreciation. Ordinarily, the U.S. Large Cap Equity Portfolio purchases a broad and diverse group of readily marketable securities of U.S. companies that the Advisor determines to be large capitalization companies within the U.S. Universe. The Advisor generally defines the U.S. Universe as a market capitalization weighted portfolio of U.S. operating companies listed on the NYSE, NYSE MKT LLC, Nasdaq Global Market ®, Nasdaq Capital Market ®,or such other securities exchanges deemed appropriate by the Advisor. In addition, the Advisor may consider a company’s size, value, and/or profitability relative to other eligible companies when making investment decisions for the U.S. Large Cap Equity Portfolio. In assessing value, the Advisor may consider factors such as a company’s book value in relation to its market value, as well as price to cash flow or price to earnings ratios. In assessing profitability, the Advisor may consider factors such as that of earnings or profits from operations relative to book value or assets. The criteria the Advisor uses for assessing value or profitability are subject to change from time to time. The Advisor may also adjust the representation in the U.S. Large Cap Equity Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. On not less than a semi-annual basis, the Advisor will review total market capitalization to determine those companies whose stock may be eligible for investment. Generally, the U.S. Large Cap Equity Portfolio does not intend to purchase or sell securities based on the prospects for the economy, the securities markets or the individual issuers whose shares are eligible for purchase. The Portfolio may sell portfolio securities when the issuer’s market capitalization falls below that of the issuer with the minimum market capitalization that is then eligible for purchase by the Portfolio. The total market capitalization range used by the Advisor for the U.S. Large Cap Equity Portfolio, as described above, generally applies at the time of purchase. The Portfolio is not required to dispose of a security if the security’s issuer is no longer within the total market capitalization range criteria. Similarly, the Advisor is not required to sell a security even if the decline in the market capitalization reflects a serious financial difficulty or potential or actual insolvency of the company. Securities that do meet the market capitalization criteria nevertheless may be sold at any time when, in the Advisor’s judgment, circumstances warrant their sale. See “Portfolio Transactions—All Portfolios.” The U.S. Large Cap Equity Portfolio may invest in exchange-traded funds (ETFs) and similarly structured pooled investments for the purpose of gaining exposure to the U.S. stock market while maintaining liquidity. In addition to money market instruments and other short-term investments, the Portfolio may invest in affiliated and unaffiliated registered and unregistered money market funds to manage cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. U.S. Large Cap Value Portfolio U.S. Small Cap Value Portfolio U.S. Targeted Value Portfolio The investment objective of each of the U.S. Large Cap Value Portfolio, U.S. Small Cap Value Portfolio and the U.S. Targeted Value Portfolio (the “U.S. Value Portfolios”) is to achieve long-term capital appreciation. The U.S. Large Cap Value Portfolio is a “Feeder Portfolio,” which is a Portfolio that does not generally buy individual securities directly. Instead, it invests in a corresponding fund, or “Master Fund,” that in turn purchases stocks and other securities. The U.S. Large Cap Value Portfolio pursues its investment objectives by investing substantially all of its assets in its corresponding Master Fund, The U.S. Large Cap Value Series (the “Large Cap Value Series”) of The DFA Investment Trust Company (the “Trust”), which has the same investment objective and policies as the U.S. Large Cap Value Portfolio. The U.S. Targeted Value Portfolio and the U.S. Small Cap Value Portfolio 168 generally will pursue their investment objective by investing directly in securities of U.S. companies. Ordinarily, each of the Large Cap Value Series, U.S. Small Cap Value Portfolio and the U.S. Targeted Value Portfolio will invest its assets in a broad and diverse group of readily marketable securities of U.S. companies which the Advisor determines to be value stocks at the time of purchase. Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value (a “book to market ratio”). In assessing value, the Advisor may consider additional factors, such as price to cash flow or price to earnings ratios, as well as economic conditions and developments in the issuer’s industry. The criteria the Advisor uses for assessing value are subject to change from time to time. The Large Cap Value Series, U.S. Small Cap Value Portfolio and U.S. Targeted Value Portfolio will purchase securities that are listed on the U.S. national securities exchanges or traded on the over-the-counter market. Each of the Large Cap Value Series, U.S. Small Cap Value Portfolio and U.S. Targeted Value Portfolio uses a market capitalization weighted approach. See “Market Capitalization Weighted Approach” in this Prospectus. On not less than a semi-annual basis, for each of the Large Cap Value Series, U.S. Small Cap Value Portfolio and U.S. Targeted Value Portfolio, the Advisor will calculate book to market ratios and review total market capitalization to determine those companies whose stock may be eligible for investment. Generally, the Large Cap Value Series, U.S. Small Cap Value Portfolio and U.S. Targeted Value Portfolio do not intend to purchase or sell securities based on the prospects for the economy, the securities markets or the individual issuers whose shares are eligible for purchase. The Large Cap Value Series may sell portfolio securities when the issuer’s market capitalization falls below that of the issuer with the minimum market capitalization that is then eligible for purchase by that Series. Each of the U.S. Targeted Value Portfolio and the U.S. Small Cap Value Portfolio may sell portfolio securities when the issuer’s market capitalization increases to a level that exceeds that of the issuer with the largest market capitalization that is then eligible for investment by that Portfolio. In addition, the Large Cap Value Series may sell portfolio securities when their book to market ratios fall below those of the security with the lowest such ratio that is then eligible for purchase by that Series. The U.S. Targeted Value Portfolio and the U.S. Small Cap Value Portfolio may also sell portfolio securities in the same circumstances, however, each of these funds may retain securities of issuers with relatively smaller market capitalizations for longer periods, despite a decrease in the issuers’ book to market ratios. The total market capitalization ranges, and the value criteria used by the Advisor for the Large Cap Value Series, U.S. Small Cap Value Portfolio and U.S. Targeted Value Portfolio, as described above, generally apply at the time of purchase by the Large Cap Value Series, U.S. Small Cap Value Portfolio and U.S. Targeted Value Portfolio. Large Cap Value Series, U.S. Small Cap Value Portfolio and U.S. Targeted Value Portfolio are not required to dispose of a security if the security’s issuer is no longer within the total market capitalization range or does not meet current value criteria. Similarly, the Advisor is not required to sell a security even if the decline in the market capitalization reflects a serious financial difficulty or potential or actual insolvency of the company. Securities that do meet the market capitalization and/or value criteria nevertheless may be sold at any time when, in the Advisor’s judgment, circumstances warrant their sale. See “Portfolio Transactions—All Portfolios” in this Prospectus. The Large Cap Value Series, U.S. Small Cap Value Portfolio and U.S. Targeted Value Portfolio each may invest in exchange-traded funds (ETFs) and similarly structured pooled investments for the purpose of gaining exposure to the U.S. stock market while maintaining liquidity. In addition to money market instruments and other short-term investments, the U.S. Large Cap Value Series, U.S. Small Cap Value Portfolio and U.S. Targeted Value Portfolio each may invest in affiliated and unaffiliated registered and unregistered money market funds to manage cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. 169 U.S. Core Equity 1 Portfolio U.S. Core Equity 2 Portfolio U.S. Vector Equity Portfolio The investment objective of the U.S. Core Equity 1 Portfolio, the U.S. Core Equity 2 Portfolio and U.S. Vector Equity Portfolio is to achieve long-term capital appreciation. The U.S. Core Equity 1 Portfolio, the U.S. Core Equity 2 Portfolio and the U.S. Vector Equity Portfolio each seeks to achieve its investment objective by purchasing a broad and diverse group of securities of U.S. companies with an increased exposure to small capitalization and value companies relative to the U.S. Universe. While both the U.S. Core Equity 1 Portfolio and the U.S. Core Equity 2 Portfolio (the “U.S. Core Portfolios”) seek increased exposure to small capitalization and value companies, U.S. Core Equity 2 Portfolio’s emphasis on small capitalization and value companies is greater than that of U.S. Core Equity 1 Portfolio. The Advisor generally defines the U.S. Universe as a market capitalization weighted portfolio of U.S. operating companies listed on the NYSE, NYSE MKT LLC, Nasdaq Global Market ®, Nasdaq Capital Market ®, and such other U.S. national securities exchanges deemed appropriate by the Advisor (U.S. Universe). The increased exposure to small and value companies may be achieved by decreasing the allocation of a Portfolio’s assets to the largest U.S. growth companies relative to their weight in the U.S. Universe, which would result in a greater weight allocation to small capitalization and value companies. Additionally, for the U.S. Vector Equity Portfolio, increased exposure to small and value companies may be achieved by avoiding purchases in that segment of the market represented by the largest U.S. growth companies. An equity issuer is considered a growth company primarily because it has a low book value, that is not negative, in relation to its market capitalization. Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value. In assessing growth and value, the Advisor may consider additional factors, such as price-to-cash-flow or price-to-earnings ratios, as well as economic conditions and developments in the issuer’s industry. The Advisor may also adjust the representation in the U.S. Core Portfolios or the U.S. Vector Equity Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. The U.S. Core Portfolios and the U.S. Vector Equity Portfolio will purchase securities that are listed on the NYSE, NYSE MKT LLC, Nasdaq Global Market ®, Nasdaq Capital Market ®, or such other securities exchanges deemed appropriate by the Advisor. The U.S. Core Equity 1 Portfolio, The U.S. Core Equity 2 Portfolio and U.S. Vector Equity Portfolio each may invest in exchange-traded funds (ETFs) and similarly structured pooled investments for the purpose of gaining exposure to the U.S. stock market while maintaining liquidity. In addition to money market instruments and other short-term investments, each Portfolio may invest in affiliated and unaffiliated registered and unregistered money market funds to manage the Portfolio’s cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. U.S. Small Cap Portfolio U.S. Micro Cap Portfolio Each of the U.S. Small Cap Portfolio and the U.S. Micro Cap Portfolio (the “U.S. Small Company Portfolios”) has an investment objective to achieve long-term capital appreciation. The U.S. Small Company Portfolios provide investors with access to securities portfolios consisting of small U.S. companies. Company size will be determined for purposes of the U.S. Small Company Portfolios on the basis of a company’s market capitalization, which will be calculated by multiplying the price of a company’s stock by the number of its shares of outstanding common stock. As of the date of this Prospectus, for purposes of the U.S. Small Cap Portfolio, the Advisor considers small cap companies to be companies whose market capitalizations are generally in the lowest 10% of total market capitalization or companies whose market capitalizations are smaller than the 1,000th largest U.S. company, 170 whichever results in the higher market capitalization break. The U.S. Small Cap Portfolio also may purchase securities of foreign issuers that are traded in the U.S. securities markets, but such investments may not exceed 5% of the gross assets of the Portfolio. Generally, it is the intention of the Portfolio to purchase securities of eligible companies using a market capitalization weighted approach. See “Portfolio Construction—Small Company Funds.” As of the date of this Prospectus, for purposes of the U.S. Micro Cap Portfolio, the Advisor considers micro cap companies to be companies whose market capitalizations are generally in the lowest 5% of total market capitalization or companies whose market capitalizations are smaller than the 1,500th largest U.S. company, whichever results in the higher market capitalization break. The U.S. Micro Cap Portfolio may purchase securities of foreign issuers which are traded in the U.S. securities markets, but such investments may not exceed 5% of the gross assets of the Portfolio. There is some overlap in the companies in which the U.S. Micro Cap Portfolio and the U.S. Small Cap Portfolio invest. Generally, it is the intention of the Portfolio to purchase the stock of eligible companies using a market capitalization weighted approach. See “Portfolio Construction—Small Company Funds.” For the discussion of portfolio construction and portfolio transactions for the U.S. Small Company Portfolios, see “Portfolio Construction—Small Company Funds.” Each U.S. Small Company Portfolio may invest in exchange-traded funds (ETFs) and similarly structured pooled investments for the purpose of gaining exposure to the U.S. stock market while maintaining liquidity. In addition to money market instruments and other short-term investments, each U.S. Small Company Portfolio may invest in affiliated and unaffiliated registered and unregistered money market funds to manage the Portfolio’s cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. DFA Real Estate Securities Portfolio The investment objective of the DFA Real Estate Securities Portfolio is to achieve long-term capital appreciation. The DFA Real Estate Securities Portfolio will concentrate investments in readily marketable equity securities of companies whose principal activities include ownership, management, development, construction, or sale of residential, commercial or industrial real estate. The DFA Real Estate Securities Portfolio will purchase shares of real estate investment trusts (“REITs”) and REIT-like entities. REITs and REIT-like entities pool investors’ funds for investment primarily in income producing real estate or real estate related loans or interests. A REIT is not taxed on income distributed to shareholders if it complies with several requirements relating to its organization, ownership, assets, and income and a requirement that it distribute to its shareholders at least 90% of its taxable income (other than net capital gains) for each taxable year. REITs can generally be classified as Equity REITs, Mortgage REITs and Hybrid REITs. Equity REITs invest the majority of their assets directly in real property and derive their income primarily from rents. Equity REITs can also realize capital gains by selling properties that have appreciated in value. Mortgage REITs invest the majority of their assets in real estate mortgages and derive their income primarily from interest payments. Hybrid REITs combine the characteristics of both Equity REITs and Mortgage REITs. At the present time, the Portfolio intends to invest mainly in Equity REITs. On at least a semi-annual basis, the Advisor will identify a schedule of eligible investments consisting of equity securities of companies in the real estate industry described above. It is the intention of the Portfolio to invest in the securities of eligible companies using a market capitalization weighted approach. See “Market Capitalization Weighted Approach.” If securities must be sold in order to obtain funds to make redemption payments, such securities may be repurchased by the DFA Real Estate Securities Portfolio, as additional cash becomes available to it. However, the Portfolio has retained the right to borrow to make redemption payments and is also authorized to redeem its shares in kind. See “REDEMPTION OF SHARES.” Further, because the securities of certain companies whose shares are eligible for purchase are thinly traded, the Portfolio might not be able to purchase the number of shares that strict adherence to market capitalization weighting might require. 171 Investments will not be based upon an issuer’s dividend payment policy or record. However, many of the companies whose securities will be included in the DFA Real Estate Securities Portfolio do pay dividends. It is anticipated, therefore, that the Portfolio will receive dividend income. Periodically, the Advisor may expand the investments eligible for the Portfolio to include equity securities of companies in sectors of the real estate industry in addition to those described above as eligible for investment as of the date of this Prospectus. The DFA Real Estate Securities Portfolio may invest in exchange-traded funds (ETFs) and similarly structured pooled investments for the purpose of gaining exposure to the U.S. stock market while maintaining liquidity. In addition to money market instruments and other short-term investments, the Portfolio may invest in affiliated and unaffiliated registered and unregistered money market funds to manage the Portfolio’s cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. INTERNATIONAL PORTFOLIOS Approved Markets.As of the date of this Prospectus, the countries listed in the following tables for each international Feeder Portfolio and its corresponding Master Fund (an “International Master Fund”) and each non-Feeder Portfolio are designated as “Approved Markets” for which the International Master Fund or Portfolio is authorized to invest. The Advisor will determine in its discretion when and whether to invest in countries that have been authorized as Approved Markets, depending on a number of factors, including, but not limited to, asset growth in a Master Fund/Portfolio, constraints imposed within Approved Markets, and other characteristics of each country’s markets. The Investment Committee of the Advisor also may designate other countries as Approved Markets for investment in the future, in addition to the countries listed in the tables. Also, an International Master Fund or Portfolio may continue to hold investments in countries that are not currently designated as Approved Markets, but had been authorized for investment in the past, and may reinvest distributions received in connection with such existing investments in such previously Approved Markets. Emerging Markets approved for investment may include countries in an earlier stage of development that are sometimes referred to as frontier markets. 172 Developed MarketsCountriesLarge CapInternationalPortfolioDFAInternationalValuePortfolio &DFAInternationalValue SeriesInternationalCoreEquityPortfolioJapaneseSmallCompanyPortfolio&JapaneseSmallCompanySeriesAsia PacificSmallCompanyPortfolio&Asia PacificSmallCompanySeriesCanadianSmallCompanySeriesU.K. SmallCompanyPortfolio&U.K. SmallCompanySeriesContinentalSmallCompanyPortfolio &ContinentalSmallCompanySeriesDFAInternationalSmall CapValuePortfolioInternationalVector EquityPortfolioAustraliaInvests Invests Invests — Invests — —— Invests InvestsAustriaInvests Invests Invests ——— — Invests Invests InvestsBelgiumInvests Invests Invests ——— — Invests Invests InvestsCanadaInvests Invests Invests —— Invests —— Invests InvestsDenmarkInvests Invests Invests ——— — Invests Invests InvestsFinlandInvests Invests Invests ——— — Invests Invests InvestsFranceInvests Invests Invests ——— — Invests Invests InvestsGermanyInvests Invests Invests ——— — Invests Invests InvestsHong KongInvests Invests Invests — Invests — —— Invests InvestsIrelandInvests Invests Invests ——— — Invests Invests InvestsIsraelInvests Invests Invests ——— — Invests Invests InvestsItalyInvests Invests Invests ——— — Invests Invests InvestsJapanInvests Invests Invests Invests —— —— Invests InvestsNetherlandsInvests Invests Invests ——— — Invests Invests InvestsNew Zealand Invests Invests Invests — Invests — —— Invests InvestsNorwayInvests Invests Invests ——— — Invests Invests InvestsPortugalInvests Invests Invests ——— — Invests Invests InvestsSingaporeInvests Invests Invests — Invests — —— Invests InvestsSpainInvests Invests Invests ——— — Invests Invests InvestsSwedenInvests Invests Invests ——— — Invests Invests InvestsSwitzerlandInvests Invests Invests ——— — Invests Invests InvestsUnited Kingdom Invests Invests Invests ——— Invests — Invests InvestsUnited States—————— ————173 Emerging Markets Countries Emerging Markets Portfolio & Emerging Markets Series Emerging Markets Value Portfolio & Emerging Markets Value Fund Emerging Markets Small Cap Portfolio & Emerging Markets Small Cap Series Emerging Markets Core Equity Portfolio Brazil Invests Invests Invests Invests Chile Invests Invests Invests Invests China Invests Invests Invests Invests Colombia Invests Invests Invests Invests Czech Republic Invests Invests —Invests Egypt Invests ——Invests Greece Invests Invests Invests Invests Hungary Invests Invests Invests Invests India Invests Invests Invests Invests Indonesia Invests Invests Invests Invests Malaysia Invests Invests Invests Invests Mexico Invests Invests Invests Invests Peru Invests ——Invests Philippines Invests Invests Invests Invests Poland Invests Invests Invests Invests Russia Invests Invests —Invests South Africa Invests Invests Invests Invests South Korea Invests Invests Invests Invests Taiwan Invests Invests Invests Invests Thailand Invests Invests Invests Invests Turkey Invests Invests Invests Invests 174 Developed and Emerging Markets Countries DFA International Real Estate Securities Portfolio DFA Global Real Estate Securities Portfolio World ex U.S. Value Portfolio World ex U.S. Targeted Value Portfolio World ex U.S. Core Equity Portfolio World Core Equity Portfolio DEVELOPED MARKETS Australia Invests Invests Invests Invests Invests Invests Austria — — Invests Invests Invests Invests Belgium Invests Invests Invests Invests Invests Invests Canada Invests Invests Invests Invests Invests Invests Denmark — — Invests Invests Invests Invests Finland — — Invests Invests Invests Invests France Invests Invests Invests Invests Invests Invests Germany Invests Invests Invests Invests Invests Invests Hong Kong Invests Invests Invests Invests Invests Invests Ireland Invests Invests Invests Invests Invests Invests Israel — — Invests Invests Invests Invests Italy Invests Invests Invests Invests Invests Invests Japan Invests Invests Invests Invests Invests Invests Netherlands Invests Invests Invests Invests Invests Invests New Zealand Invests Invests Invests Invests Invests Invests Norway — — Invests Invests Invests Invests Portugal — — Invests Invests Invests Invests Singapore Invests Invests Invests Invests Invests Invests Spain Invests Invests Invests Invests Invests Invests Sweden — — Invests Invests Invests Invests Switzerland — — Invests Invests Invests Invests United Kingdom Invests Invests Invests Invests Invests Invests United States — Invests — — — Invests EMERGING MARKETS Brazil — — Invests Invests Invests Invests Chile — — Invests Invests Invests Invests China Invests Invests Invests Invests Invests Invests Colombia — — Invests Invests Invests Invests Czech Republic — — Invests — Invests Invests Egypt — — — — Invests Invests Greece Invests Invests Invests Invests Invests Invests Hungary — — Invests Invests Invests Invests India — — Invests Invests Invests Invests Indonesia — — Invests Invests Invests Invests Malaysia Invests Invests Invests Invests Invests Invests Mexico Invests Invests Invests Invests Invests Invests Peru — — — — Invests Invests Philippines — — Invests Invests Invests Invests Poland — — Invests Invests Invests Invests Russia — — Invests — Invests Invests South Africa Invests Invests Invests Invests Invests Invests South Korea — — Invests Invests Invests Invests Taiwan Invests Invests Invests Invests Invests Invests Thailand — — Invests Invests Invests Invests Turkey Invests Invests Invests Invests Invests Invests 175 The International Master Funds and Portfolios invest in securities of Approved Markets (as identified in the tables above) listed on bona fide securities exchanges or traded on the over-the-counter markets. These exchanges or over-the-counter markets may be either within or outside the issuer’s domicile country. For example, the securities may be listed or traded in the form of European Depositary Receipts, Global Depositary Receipts, American Depositary Receipts, or other types of depositary receipts (including non-voting depositary receipts) or may be listed on bona fide securities exchanges in more than one country. An International Master Fund or Portfolio will consider for purchase securities that are associated with an Approved Market, and include, among others: (a) securities of companies that are organized under the laws of, or maintain their principal place of business in, an Approved Market; (b) securities for which the principal trading market is in an Approved Market; (c) securities issued or guaranteed by the government of an Approved Market, its agencies or instrumentalities, or the central bank of such country or territory; (d) securities denominated in an Approved Market currency issued by companies to finance operations in Approved Markets; (e) securities of companies that derive at least 50% of their revenues or profits from goods produced or sold, investments made, or services performed in Approved Markets or have at least 50% of their assets in Approved Markets; (f) equity securities of companies in Approved Markets in the form of depositary shares; (g) securities of pooled investment vehicles that invest primarily in securities of Approved Markets or derivative instruments that derive their value from securities of Approved Markets; or (h) securities included in the Portfolio’s benchmark index. Securities of Approved Markets may include securities of companies that have characteristics and business relationships common to companies in other countries or regions. As a result, the value of the securities of such companies may reflect economic and market forces in such other countries or regions as well as in the Approved Markets. The Advisor, however, will select only those companies that, in its view, have sufficiently strong exposure to economic and market forces in Approved Markets. For example, the Advisor may invest in companies organized and located in the United States or other countries or regions outside of Approved Markets, including companies having their entire production facilities outside of Approved Markets, when such companies meet the criteria discussed above to be considered associated with Approved Markets. Large Cap International Portfolio The investment objective of the Large Cap International Portfolio is to achieve long-term capital appreciation by investing in securities of non-U.S. large companies. Under normal market conditions, the Large Cap International Portfolio intends to invest at least 40% of its assets in three or more non-U.S. countries by investing in securities of companies associated with such countries. The Large Cap International Portfolio invests its assets in securities of companies associated with Approved Markets (For a description of the securities and countries approved for investment, see “International Portfolios—Approved Markets”). The Large Cap International Portfolio intends to purchase securities of large companies in Europe, Australia, Canada, Israel and the Far East. The Advisor determines company size on a country or region specific basis and based primarily on market capitalization. In the countries or regions authorized for investment, the Advisor first ranks eligible companies listed on selected exchanges based on the companies’ market capitalizations. The Advisor then determines the universe of eligible securities by defining the minimum market capitalization of a large company that may be purchased by the Large Cap International Portfolio with respect to each country or region. Based on market capitalization data as of December 31, 2016, for the Large Cap International Portfolio, the lowest minimum market capitalization of a large company in any country or region in which the Large Cap International Portfolio invests would be $1,977 million. This threshold will vary by country or region. For example, based on market capitalization data as of December 31, 2016, the Advisor would consider a large company in the European Monetary Union (the “EMU”) to have a market capitalization of at least $5,561 million, a large company in Norway to have a market capitalization of at least $2,275 million, and a large company in Switzerland to have a market capitalization of at least $4,854 million. These dollar amounts will change due to market conditions. The Advisor may consider a company’s size, value, and/or profitability relative to other eligible companies when making investment decisions for the Large Cap International Portfolio. In assessing value, the Advisor may consider factors such as a company’s book value in relation to its market value, as well as price to cash flow or price to earnings ratios. In assessing profitability, the Advisor may consider factors such as that of earnings or profits from operations relative to book value or assets. The criteria the Advisor uses for assessing value or profitability are subject to change from time to time. The Advisor may also adjust the representation in the Large Cap International Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. The weightings 176 of certain companies and countries in the Large Cap International Portfolio may vary from their weightings in international indices, such as those published by FTSE International, MSCI or Citigroup. The Large Cap International Portfolio does not seek current income as an investment objective and investments will not be based upon an issuer’s dividend payment policy or record. However, many of the companies whose securities will be included in the Portfolio do pay dividends. It is anticipated, therefore, that the Large Cap International Portfolio will receive dividend income. The Large Cap International Portfolio may invest in exchange-traded funds (ETFs) and similarly structured pooled investments for the purpose of gaining exposure to the equity markets while maintaining liquidity. In addition to money market instruments and other short-term investments, the Large Cap International Portfolio may invest in affiliated and unaffiliated registered and unregistered money market funds to manage the Portfolio’s cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. DFA International Value Portfolio The investment objective of the DFA International Value Portfolio is to achieve long-term capital appreciation. The DFA International Value Portfolio invests substantially all of its assets in The DFA International Value Series of the Trust (the “International Value Series”), which has the same investment objective and policies as the Portfolio. The International Value Series seeks to achieve its objective by purchasing securities of large non-U.S. companies that the Advisor determines to be value stocks at the time of purchase. Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value. In assessing value, the Advisor may consider additional factors such as price to cash flow or price to earnings ratios as well as economic conditions and developments in the issuer’s industry. The criteria the Advisor uses for assessing value are subject to change from time to time. Under normal market conditions, the International Value Series intends to invest at least 40% of its assets in three or more non-U.S. countries by investing in securities of companies associated with such countries. The International Value Series invests its assets in securities of companies associated with Approved Markets (For a description of the securities and countries approved for investment, see “International Portfolios—Approved Markets”). In the countries or regions authorized for investment, the Advisor first ranks eligible companies listed on selected exchanges based on the companies’ market capitalizations. The Advisor then determines the universe of eligible securities by defining the minimum market capitalization of a large company that may be purchased by the International Value Series with respect to each country or region. Based on market capitalization data as of December 31, 2016, for the DFA International Value Series, the lowest minimum market capitalization of a large company in any country or region in which the DFA International Value Series invests would be $1,977 million. This threshold will vary by country or region. For example, based on market capitalization data as of December 31, 2016, the Advisor considered a large company in the EMU to have a market capitalization of at least $5,561 million, a large company in Norway to have a market capitalization of at least $2,275 million, and a large company in Switzerland to have a market capitalization of at least $4,854 million. These dollar amounts will change due to market conditions. The International Value Series intends to purchase securities within each applicable country using a market capitalization weighted approach. The Advisor, using this approach and its judgment, will seek to set country weights based on the relative market capitalization of eligible large companies within each country. See “Market Capitalization Weighted Approach.” The weightings of countries in the International Value Series may vary from their weightings in international indices, such as those published by FTSE International, MSCI or Citigroup. The International Value Series does not seek current income as an investment objective and investments will not be based upon an issuer’s dividend payment policy or record. However, many of the companies whose securities will be included in the International Value Series do pay dividends. It is anticipated, therefore, that the International Value Series will receive dividend income. 177 The International Value Series may invest in exchange-traded funds (ETFs) and similarly structured pooled investments for the purpose of gaining exposure to the equity markets while maintaining liquidity. In addition to money market instruments and other short-term investments, the International Value Series may invest in affiliated and unaffiliated registered and unregistered money market funds to manage cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. International Core Equity Portfolio The investment objective of the International Core Equity Portfolio is to achieve long-term capital appreciation. The International Core Equity Portfolio seeks to achieve its investment objective by purchasing a broad and diverse group of securities of non-U.S. companies with an increased exposure to small capitalization and value companies relative to the International Universe. For purposes of the International Core Equity Portfolio, the Advisor defines the International Universe as a market capitalization weighted portfolio of non-U.S. companies in developed markets that have been authorized for investment by the Advisor’s Investment Committee (International Universe). See “International Portfolios—Approved Markets.” The increased exposure to small capitalization and value companies may be achieved by decreasing the allocation of the International Core Equity Portfolio’s assets to the largest growth companies relative to their weight in the International Universe, which would result in a greater weight allocation to small capitalization and value companies. An equity issuer is considered a growth company primarily because it has a low book value, that is not negative, in relation to its market capitalization. Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value. In assessing growth and value, the Advisor may consider additional factors, such as price-to-cash-flow or price-to-earnings ratios, as well as economic conditions and developments in the issuer’s industry. The Advisor may also adjust the representation in the International Core Equity Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. Under normal market conditions, the International Core Equity Portfolio intends to invest at least 40% of its assets in three or more non-U.S. countries by investing in securities of companies associated with such countries. The International Core Equity Portfolio may invest in exchange-traded funds (ETFs) and similarly structured pooled investments for the purpose of gaining exposure to the equity markets while maintaining liquidity. In addition to money market instruments and other short-term investments, the International Core Equity Portfolio may invest in affiliated and unaffiliated registered and unregistered money market funds to manage cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. Global Small Company Portfolio The Global Small Company Portfolio is a “fund of funds,” which means the Portfolio generally allocates its assets among other funds managed by the Advisor, although it has the ability to invest directly in securities and derivatives. The Global Small Company Portfolio seeks to achieve its investment objective of providing investors with access to securities portfolios consisting of a broad range of equity securities of primarily small United States, Canadian, Japanese, United Kingdom, Continental European, Asia Pacific, and Emerging Markets companies. The Portfolio also may have some exposure to small capitalization equity securities associated with other countries or regions. The Global Small Company Portfolio pursues its investment objective by investing substantially all of its assets in the following Underlying Funds: The Asia Pacific Small Company Series, The Canadian Small Company Series, The Continental Small Company Series, The Emerging Markets Small Cap Series, The Japanese Small Company Series, The United Kingdom Small Company Series (each a series of the Trust), and U.S. Small Cap Portfolio (a series of DFA Investment Dimensions Group, Inc.). For a complete description of the investment objectives and policies, portfolio structure and transactions for each Underlying Fund, see “International Small Company Portfolio—The Canadian Small Company Series”; “International Small Company Portfolios—Japanese Small Company Portfolio; Asia Pacific Small Company Portfolio; 178 United Kingdom Small Company Portfolio; and Continental Small Company Portfolio”; “Emerging Markets Small Cap Portfolio”; “U.S. Small Cap Portfolio.” The Global Small Company Portfolio typically allocates its investments among the Underlying Funds in the following manner: 30% to 60% in the U.S. Small Cap Portfolio; 5% to 30% in The Continental Small Company Series; 5% to 25% in The Emerging Markets Small Cap Series; 0% to 20% in The Japanese Small Company Series; 0% to 20% in The United Kingdom Small Company Series; 0% to 15% in The Asia Pacific Company Series; and 0% to 10% in The Canadian Small Company Series. When deciding allocations to the Underlying Funds, the Global Small Company Portfolio takes into account, among other factors, the aggregate market capitalizations and adjustments for free float of the eligible universe of securities within each region. Periodically, the Advisor will review the allocations for the Portfolio in each Underlying Fund and may adjust allocations to the Underlying Funds or may add or remove Underlying Funds in the Portfolio without notice to shareholders. Certain Underlying Funds invest in small companies using a market capitalization weighted approach in each country or region designated by the Advisor as an approved market for investment. A company’s market capitalization is the number of its shares outstanding times its price per share. In general, the higher the relative market capitalization of a small company within an eligible country or region, the greater its representation in the Underlying Fund. The Advisor may adjust the representation in the Underlying Funds of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability and other factors that the Advisor determines to be appropriate, given market conditions. In determining weights of each company in the Portfolio, the Advisor may take into account the market capitalization of each company adjusted for ownership by insiders and other shareholders deemed to be holding strategic positions in the company (free float adjustment), the past performance of the shares of the company (momentum), and the Advisor’s ability to trade the company shares efficiently (trading strategies). In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. Under normal circumstances, the Portfolio, directly or through its investments in the Underlying Funds, may invest up to 60% of its net assets in U.S. companies (unless market conditions are not deemed favorable by the Advisor, in which case the Portfolio, directly or through its investments in the Underlying Funds, may invest up to 70% of its net assets in U.S. companies). As a non-fundamental policy, under normal circumstances, the Global Small Company Portfolio, directly or through its investments in the Underlying Funds, will invest at least 80% of its net assets in securities of small companies. Under normal market conditions, whether directly or through its investment in the Underlying Funds, the Global Small Company Portfolio will have exposure to companies associated with at least three approved markets (i.e., including the United States). The Portfolio and each Underlying Fund may gain exposure to companies associated with approved markets by purchasing equity securities in the form of depositary receipts, which may be listed or traded outside the issuer’s domicile country. The Portfolio and each Underlying Fund also may use derivatives, such as futures contracts and options on futures contracts for equity securities and indices of its approved markets or other equity market securities or indices, including those of the United States, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio or Underlying Fund. The Portfolio and Underlying Funds do not intend to use derivatives for purposes of speculation or leveraging investment returns. In addition to, or in place of, investments in the Underlying Funds, the Portfolio also is permitted to invest directly in the same types of securities that are described in this Prospectus as eligible investments for the Underlying Funds. In addition to money market instruments and other short-term investments, the Portfolio and each Underlying Fund may invest in affiliated and unaffiliated registered and unregistered money market funds to manage the Portfolio’s or Underlying Fund’s cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in money market funds may involve a duplication of certain fees and expenses. International Small Company Portfolios The International Small Company Portfolio is a “fund of funds,” which means that it uses assets to purchase other mutual funds (the “Underlying Funds”). The International Small Company Portfolio and The Canadian Small Company Series (the “Canadian Small Company Series”), The Japanese Small Company Series (the “Japanese 179 Small Company Series”), The Asia Pacific Small Company Series (the “Asia Pacific Small Company Series”), The United Kingdom Small Company Series (the “United Kingdom Small Company Series”) and The Continental Small Company Series (the “Continental Small Company Series”) of the Trust (the latter five being referred to hereinafter as the “Underlying Funds”) each have an investment objective to achieve long-term capital appreciation. The Portfolios that invest in such Underlying Funds (the “International Small Company Portfolios”) provide investors with access to securities portfolios consisting of small Canadian, Japanese, United Kingdom, European (including the Mediterranean) and Asia Pacific companies. Company size will be determined for purposes of these Portfolios and Underlying Funds on the basis of a company’s market capitalization, which will be calculated by multiplying the number of outstanding shares of the company by the price per share of the company’s stock. International Small Company Portfolio The International Small Company Portfolio seeks to achieve its investment objective by investing virtually all of its assets in Underlying Funds, in such relative proportions as determined by the Advisor from time to time. For a complete description of the investment objectives and policies, portfolio structure and transactions for each Underlying Fund, see “International Small Company Portfolio—The Canadian Small Company Series”; “International Small Company Portfolios—Japanese Small Company Portfolio; Asia Pacific Small Company Portfolio; United Kingdom Small Company Portfolio; and Continental Small Company Portfolio.” The International Small Company Portfolio is designed for investors who wish to achieve their investment objective of capital appreciation by participating in the investment performance of a broad range of equity securities of Canadian, Japanese, United Kingdom, European (including the Mediterranean) and Asia Pacific small companies. As of the date of this Prospectus, the International Small Company Portfolio invests in the shares of the Underlying Funds within the following percentage ranges: Underlying Funds Investment Range Canadian Small Company Series 0-20% Japanese Small Company Series 10-35% Asia Pacific Small Company Series 0-25% United Kingdom Small Company Series 10-30% Continental Small Company Series 25-50% The allocation of the assets of International Small Company Portfolio to be invested in the Underlying Funds will be determined by the Advisor on at least a semi-annual basis. In setting the target allocation, the Advisor will first consider the market capitalizations of all eligible companies in each of the Underlying Funds. The Advisor will calculate the market capitalizations for each Underlying Fund in the manner described below for the Canadian Small Company Series and for each other Underlying Fund under “International Small Company Portfolios— Japanese Small Company Portfolio; Asia Pacific Small Company Portfolio; United Kingdom Small Company Portfolio; Continental Small Company Portfolio.” Periodically, the Advisor will review the allocations for the International Small Company Portfolio in each Underlying Fund and may adjust allocations to the Underlying Funds or may add or remove Underlying Funds in the Portfolio without notice to shareholders. As a non-fundamental policy, under normal circumstances, the International Small Company Portfolio, through its investments in the Underlying Funds, will invest at least 80% of its net assets in securities of small companies. The Canadian Small Company Series.The Canadian Small Company Series generally will purchase a broad and diverse group of readily marketable securities of Canadian small companies. The Canadian Small Company Series invests in securities of companies associated with Canada, which is the Canadian Small Company Series’ Approved Market (For a description of the securities approved for investment, see “International Portfolios— Approved Markets), listed or traded in the form of European Depositary Receipts, Global Depositary Receipts, American Depositary Receipts or other types of depositary receipts (including non-voting depositary receipts) or dual listed securities. The Advisor measures company size based primarily on market capitalization. The Advisor first ranks eligible companies by market capitalization. The Advisor then determines the universe of eligible securities by defining the maximum market capitalization of a small company in Canada. Based on market 180 capitalization data as of December 31, 2016, the Advisor would consider Canadian small companies to be those companies with a market capitalization of $2,936 million or below. This dollar amount will change due to market conditions. As a non-fundamental policy, under normal circumstances, the Canadian Small Company Series will invest at least 80% of its net assets in securities of Canadian small companies. The Advisor will also establish a minimum market capitalization that a company must meet in order to be considered for purchase, which minimum will change due to market conditions. The Canadian Small Company Series intends to invest in stock of eligible companies using a market capitalization weighted approach. See “Portfolio Construction—Small Company Funds.” The Canadian Small Company Series may invest in exchange-traded funds (ETFs) and similarly structured pooled investments that provide exposure to the Canadian equity market or other equity markets, including the United States, for the purpose of gaining exposure to the equity markets while maintaining liquidity. In addition to money market instruments and other short-term investments, the Canadian Small Company Series may invest in affiliated and unaffiliated registered and unregistered money market funds to manage cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. Japanese Small Company Portfolio The Japanese Small Company Portfolio invests all of its assets in the Japanese Small Company Series, which has the same investment objective and policies as the Portfolio. The Japanese Small Company Series generally will purchase a broad and diverse group of readily marketable securities of Japanese small companies. The Japanese Small Company Series invests in securities of companies associated with Japan, which is the Japanese Small Company Series’ Approved Market (For a description of the securities approved for investment, see “International Portfolios—Approved Markets”). The Advisor measures company size based primarily on market capitalization. The Advisor first ranks eligible companies by market capitalization. The Advisor then determines the universe of eligible securities by defining the maximum market capitalization of a small company in Japan. Based on market capitalization data as of December 31, 2016, the Advisor would consider Japanese small companies to be those companies with a market capitalization below $1,977 million. This dollar amount will change due to market conditions. As a non-fundamental policy, under normal circumstances, the Japanese Small Company Series will invest at least 80% of its net assets in securities of Japanese small companies. The Advisor will also establish a minimum market capitalization that a company must meet in order to be considered for purchase, which minimum will change due to market conditions. The Japanese Small Company Series intends to invest in the stock of eligible companies using a market capitalization weighted approach. See “Portfolio Construction—Small Company Funds.” The Japanese Small Company Series may invest in exchange-traded funds (ETFs) and similarly structured pooled investments that provide exposure to the Japanese equity market or other equity markets, including the United States, for the purpose of gaining exposure to the equity markets while maintaining liquidity. In addition to money market instruments and other short-term investments, the Japanese Small Company Series may invest in affiliated and unaffiliated registered and unregistered money market funds to manage the Series’ cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. Asia Pacific Small Company Portfolio The Asia Pacific Small Company Portfolio invests all of its assets in the Asia Pacific Small Company Series, which has the same investment objective and policies as the Portfolio. The Asia Pacific Small Company Series generally will purchase securities of a broad and diverse group of small companies located in Australia, New Zealand and Pacific Rim Asian countries. The Asia Pacific Small Company Series invests in securities of companies associated with Approved Markets (For a description of the securities and countries approved for investment, see “International Portfolios—Approved Markets”). The Advisor measures company size on a country specific basis and based primarily on market capitalization. In the countries authorized for investment, the Advisor first ranks eligible companies based on the companies’ market capitalizations. The Advisor then determines the universe of 181 eligible securities by defining the maximum market capitalization of a small company that may be purchased by the Asia Pacific Small Company Series with respect to each country authorized for investment. Based on market capitalization data as of December 31, 2016, for the Asia Pacific Small Company Series, the highest maximum market capitalization of a small company in any country in which the Asia Pacific Small Company Series invests would be $3,688 million. This threshold will vary by country. Based on market capitalization data as of December 31, 2016, the Advisor would consider Asia Pacific small companies to be those companies with a market capitalization below $2,613 million in Australia, $3,360 million in Hong Kong, $2,025 million in New Zealand and $3,688 million in Singapore. These dollar amounts will change due to market conditions. As a non-fundamental policy, under normal circumstances, the Asia Pacific Small Company Series will invest at least 80% of its net assets in securities of small companies located in Australia, New Zealand and Pacific Rim Asian countries. The Advisor will also establish a minimum market capitalization that a company must meet in order to be considered for purchase, which minimum will change due to market conditions. The Asia Pacific Small Company Series intends to invest in eligible companies using a market capitalization weighted approach. The Advisor may, in its discretion, either limit further investments in a particular country or divest the Asia Pacific Small Company Series of holdings in a particular country. See “Portfolio Construction—Small Company Funds.” The Asia Pacific Small Company Series may invest in exchange-traded funds (ETFs) and similarly structured pooled investments that provide exposure to Asia Pacific equity markets or other equity markets, including the United States, for the purpose of gaining exposure to the equity markets while maintaining liquidity. In addition to money market instruments and other short-term investments, the Asia Pacific Small Company Series may invest in affiliated and unaffiliated registered and unregistered money market funds to manage the cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. United Kingdom Small Company Portfolio The United Kingdom Small Company Portfolio invests all of its assets in the United Kingdom Small Company Series, which has the same investment objective and policies as the Portfolio. The United Kingdom Small Company Series generally will purchase a broad and diverse group of readily marketable securities of United Kingdom small companies. The United Kingdom Small Company Series invests in securities of companies associated with the United Kingdom, which is the United Kingdom Small Company Series’ Approved Market (For a description of the securities approved for investment, see “International Portfolios—Approved Markets”). The Advisor measures company size based primarily on the market capitalization of companies in the United Kingdom. The Advisor first ranks eligible companies by market capitalization. The Advisor then determines the universe of eligible securities by defining the maximum market capitalization of a small company in the United Kingdom. Based on market capitalization data as of December 31, 2016, the Advisor would consider United Kingdom small companies to be those companies with a market capitalization below $4,486 million. This dollar amount will change due to market conditions. As a non-fundamental policy, under normal circumstances, the United Kingdom Small Company Series will invest at least 80% of its net assets in securities of United Kingdom small companies. The Advisor will also establish a minimum market capitalization that a company must meet in order to be considered for purchase, which minimum will change due to market conditions. The United Kingdom Small Company Series intends to invest in stock of eligible companies using a market capitalization weighted approach. See “Portfolio Construction—Small Company Funds.” The United Kingdom Small Company Series may invest in exchange-traded funds (ETFs) and similarly structured pooled investments that provide exposure to the United Kingdom equity market or other equity markets, including the United States, for the purpose of gaining exposure to the equity markets while maintaining liquidity. In addition to money market instruments and other short-term investments, the United Kingdom Small Company Series may invest in affiliated and unaffiliated registered and unregistered money market funds to manage cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. 182 Continental Small Company Portfolio The Continental Small Company Portfolio invests all of its assets in the Continental Small Company Series, which has the same investment objective and policies as the Portfolio. The Continental Small Company Series generally will purchase readily marketable securities of a broad and diverse group of small European companies. The Series also may invest in up to 20% of its net assets in small companies associated with non-European countries that the Advisor has identified as authorized for investment. The Continental Small Company Series invests in securities of companies associated with Approved Markets (For a description of the securities and countries approved for investment, see “International Portfolios—Approved Markets”). The Advisor determines company size on a country or region specific basis and based primarily on market capitalization. In the countries or regions authorized for investment, the Advisor first ranks eligible companies listed on selected exchanges based on the companies’ market capitalizations. The Advisor then determines the universe of eligible securities by defining the maximum market capitalization of a small company that may be purchased by the Continental Small Company Series with respect to each country or region. Based on market capitalization data as of December 31, 2016, for the Continental Small Company Series, the highest maximum market capitalization of a small company in any country or region in which the Continental Small Company Series invests would be $5,561 million. This threshold will vary by country or region. For example, based on market capitalization data as of December 31, 2016, the Advisor would consider a small company in the EMU to have a market capitalization below $5,561 million, a small company in Norway to have a market capitalization below $2,275 million, and a small company in Switzerland to have a market capitalization below $4,854 million. These dollar amounts will change due to market conditions. As a non-fundamental policy, under normal circumstances, the Continental Small Company Series will invest at least 80% of its net assets in securities of small companies located in continental Europe. The Advisor will establish a minimum market capitalization that a company must meet in order to be considered for purchase, which minimum will change due to market conditions. The Continental Small Company Series intends to invest in the stock of eligible companies using a market capitalization weighted approach. The Advisor may in its discretion either limit further investments in a particular country or divest the Continental Small Company Series of holdings in a particular country. See “Portfolio Construction—Small Company Funds.” The Continental Small Company Series may invest in exchange-traded funds (ETFs) and similarly structured pooled investments that provide exposure to the continental European equity markets or other equity markets, including the United States, for the purpose of gaining exposure to the equity markets while maintaining liquidity. In addition to money market instruments and other short-term investments, the Continental Small Company Series may invest in affiliated and unaffiliated registered and unregistered money market funds to manage cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. DFA International Real Estate Securities Portfolio The investment objective of the DFA International Real Estate Securities Portfolio is to achieve long-term capital appreciation. The Portfolio will concentrate its investments in a broad and diverse set of securities of non-U.S. companies principally engaged in the real estate industry with a particular focus on non-U.S. REITs and companies the Advisor considers to be REIT-like entities. The DFA International Real Estate Securities Portfolio considers a company to be principally engaged in the real estate industry if the company’s principal activities include ownership, management, development, construction, or sale of residential, commercial or industrial real estate. REITs and REIT-like entities are types of real estate companies that pool investors’ funds for investment primarily in income producing real estate or real estate related loans or interests. Under normal market conditions, the DFA International Real Estate Portfolio intends to invest at least 40% of its assets in three or more non-U.S. countries by investing in securities of companies associated with such countries. The DFA International Real Estate Securities Portfolio purchases non-U.S. real estate securities of companies associated with Approved Markets (For a description of the securities and countries approved for investment, see “International Portfolios—Approved Markets”). On at least a semi-annual basis, the Advisor will identify a schedule of eligible investments consisting of equity securities of non-U.S. companies in the real estate industry as described above. It is the intention of the DFA 183 International Real Estate Securities Portfolio to invest in the securities of eligible companies generally using a market capitalization weighted approach to determine individual security weights and country weights. See “Market Capitalization Weighted Approach.” The use of a market capitalization weighted approach may result in the Portfolio having more than 25% of its assets in companies located in a single country. If securities must be sold in order to obtain funds to make redemption payments, such securities may be repurchased by the DFA International Real Estate Securities Portfolio, as additional cash becomes available to the Portfolio. However, the Portfolio has retained the right to borrow to make redemption payments and also is authorized to redeem its shares in kind. See “REDEMPTION OF SHARES.” Further, because the securities of certain companies whose shares are eligible for purchase are thinly traded, the Portfolio might not be able to purchase the number of shares that would otherwise be purchased using strict market capitalization weighting. Investments will not be based upon an issuer’s dividend payment policy or record. However, many of the companies whose securities will be included in the DFA International Real Estate Securities Portfolio do pay dividends. It is anticipated, therefore, that the Portfolio will receive dividend income. Periodically, the Advisor may expand the investments eligible for the DFA International Real Estate Securities Portfolio to include equity securities of eligible companies and additional countries to respond to market events, new listings and/or new legal structures in non-U.S. markets, among others. The DFA International Real Estate Securities Portfolio may invest in exchange-traded funds (ETFs) and similarly structured pooled investments that provide exposure to equity markets, including the United States, both within and outside the real estate industry, and for the purposes of gaining exposure to the equity markets, while maintaining liquidity. In addition to money market instruments and other short-term investments, the DFA International Real Estate Securities Portfolio may invest in affiliated and unaffiliated registered and unregistered money market funds to manage the Portfolio’s cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. DFA Global Real Estate Securities Portfolio The investment objective of the DFA Global Real Estate Securities Portfolio is to achieve long-term capital appreciation. The DFA Global Real Estate Securities Portfolio seeks to achieve exposure to a broad portfolio of securities of U.S. and non-U.S. companies in the real estate industry, with a focus on REITs or companies that the Advisor considers to be REIT-like entities. The DFA Global Real Estate Securities Portfolio may pursue its investment objective by investing its assets in the DFA Real Estate Securities Portfolio, DFA International Real Estate Securities Portfolio (the “Underlying Funds”), and/or directly in securities of companies in the real estate industry. For a complete description of the investment objectives and policies, portfolio structure and transactions for each of the Underlying Funds, see “DFA Real Estate Securities Portfolio” and the “DFA International Real Estate Securities Portfolio.” The DFA Global Real Estate Securities Portfolio and each Underlying Fund may purchase or sell futures contracts and options on futures contracts for equity securities and indices, and such investments may or may not provide exposure to the real estate industry. The Portfolio and Underlying Funds do not intend to sell futures contracts to establish short positions in individual securities. The DFA Global Real Estate Securities Portfolio and each Underlying Fund may invest in exchange-traded funds (ETFs) and similarly structured pooled investments that provide exposure to equity markets, including the United States, both within and outside the real estate industry, and for the purposes of gaining exposure to the equity markets, while maintaining liquidity. In addition to money market instruments and other short-term investments, the DFA Global Real Estate Securities Portfolio and each Underlying Fund may invest in affiliated and unaffiliated registered and unregistered money market funds to manage cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. On at least a semi-annual basis, the Advisor will identify a schedule of eligible investments consisting of equity securities of all companies in the real estate industry eligible for investment by the DFA Global Real Estate Securities Portfolio and each Underlying Fund. It is the intention of the DFA Global Real Estate Securities 184 Portfolio and each Underlying Fund to invest in the securities of eligible companies using a market capitalization weighted approach to determine security weights and country weights. See “Market Capitalization Weighted Approach.” DFA International Small Cap Value Portfolio The investment objective of the DFA International Small Cap Value Portfolio is to achieve long-term capital appreciation. The DFA International Small Cap Value Portfolio seeks to achieve its objective by purchasing the securities of small, non-U.S. companies that the Advisor determines to be value stocks at the time of purchase. Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value. In assessing value, the Advisor may consider additional factors such as price to cash flow or price to earnings ratios, as well as economic conditions and developments in the issuer’s industry. The criteria the Advisor uses for measuring value are subject to change from time to time. The DFA International Small Cap Value Portfolio intends to purchase securities of small companies in countries with developed markets. Under normal market conditions, the DFA International Small Cap Value Portfolio intends to invest at least 40% of its assets in three or more non-U.S. countries by investing in securities of companies associated with such countries. The DFA International Small Cap Value Portfolio invests its assets in securities of companies associated with Approved Markets (For a description of the securities and countries approved for investment, see “International Portfolios—Approved Markets”). The DFA International Small Cap Value Portfolio intends to invest in the stock of eligible companies using a market capitalization weighted approach. The Advisor, using this approach and its judgment, will seek to set country weights based on the relative market capitalizations of eligible small companies within each country. See “Market Capitalization Weighted Approach.” The weightings of countries in the DFA International Small Cap Value Portfolio may vary from their weightings in international indices, such as those published by FTSE International, MSCI or Citigroup. The DFA International Small Cap Value Portfolio does not seek current income as an investment objective and investments will not be based upon an issuer’s dividend payment policy or record. However, many of the companies whose securities will be included in the Portfolio do pay dividends. It is anticipated, therefore, that the Portfolio will receive dividend income. The DFA International Small Cap Value Portfolio may invest in exchange-traded funds (ETFs) and similarly structured pooled investments for the purpose of gaining exposure to the equity markets while maintaining liquidity. In addition to money market instruments and other short-term investments, the Portfolio may invest in affiliated and unaffiliated registered and unregistered money market funds to manage the Portfolio’s cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. International Vector Equity Portfolio The investment objective of the International Vector Equity Portfolio is to achieve long-term capital appreciation. The International Vector Equity Portfolio’s investment objective may be changed without shareholder approval. The International Vector Equity Portfolio seeks to achieve its investment objective by purchasing a broad and diverse group of securities of non-U.S. operating companies, with an increased exposure to small capitalization and value companies relative to the International Universe. For purposes of the International Vector Equity Portfolio, the Advisor defines the International Universe as a market capitalization weighted portfolio of non-U.S. companies associated with developed markets that have been authorized for investment by the Advisor’s Investment Committee (International Universe). See “International Portfolios—Approved Markets.” An equity issuer is considered a growth company primarily because it has a low book value, that is not negative, in relation to its market capitalization. Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value. In assessing growth and value, the Advisor may 185 consider additional factors, such as price-to-cash-flow or price-to-earnings ratios, as well as economic conditions and developments in the issuer’s industry. The Advisor may also adjust the representation in the International Vector Equity Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. The criteria the Advisor uses for assessing growth and value are subject to change from time to time. The International Vector Equity Portfolio does not seek current income as an investment objective and investments will not be based upon an issuer’s dividend payment policy or record. However, many of the companies whose securities will be included in the Portfolio do pay dividends. It is anticipated, therefore, that the Portfolio will receive dividend income. Under normal market conditions, the International Vector Equity Portfolio intends to invest at least 40% of its assets in three or more non-U.S. countries by investing in securities of companies associated with such countries. The International Vector Equity Portfolio may invest in exchange-traded funds (ETFs) and similarly structured pooled investments for the purpose of gaining exposure to the equity markets, including the U.S. equity market, while maintaining liquidity. In addition to money market instruments and other short-term investments, the International Vector Equity Portfolio may invest in affiliated and unaffiliated registered or unregistered money market funds to manage the Portfolio’s cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. World ex U.S. Value Portfolio The investment objective of the World ex U.S. Value Portfolio is to achieve long-term capital appreciation. The World ex U.S. Value Portfolio is a “fund of funds,” which means that the Portfolio generally allocates its assets among other mutual funds managed by the Advisor though it also has the ability to invest directly in securities. The World ex U.S. Value Portfolio seeks to achieve exposure to a broad portfolio of securities of non-U.S. companies associated with countries with developed and emerging markets, which may include frontier markets (emerging markets in an earlier stage of development), that the Advisor believes to be value stocks at the time of purchase by primarily purchasing shares of The DFA International Value Series (the “International Value Series”), DFA International Small Cap Value Portfolio, and Dimensional Emerging Markets Value Fund (the “Underlying Funds”). For a complete description of the investment objectives and policies, portfolio structure and transactions for each of the Underlying Funds, see “DFA International Value Portfolio,” “DFA International Small Cap Value Portfolio” and “Emerging Markets Value Portfolio.” Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value. In assessing value, the Advisor may consider additional factors such as price to cash flow or price to earnings ratios, as well as economic conditions and developments in the issuer’s industry. The criteria the Advisor uses for assessing value are subject to change from time to time. The World ex U.S. Value Portfolio typically allocates its investments among the Underlying Funds in the following manner: 50% to 80% in the International Value Series; 5% to 20% in the DFA International Small Cap Value Portfolio; and 10% to 30% in the Dimensional Emerging Markets Value Fund. The International Value Series and DFA International Small Cap Value Portfolio invest in the securities of eligible companies using a market capitalization weighted approach to determine security weights and country weights. See “Market Capitalization Weighted Approach.” The Advisor will determine in its discretion when and whether to invest in markets that have been authorized as Approved Markets for each Underlying Fund, depending on a number of factors, including, but not limited to, asset growth in the Underlying Fund, constraints imposed in Approved Markets, and other characteristics of each such market. The Investment Committee of the Advisor also may authorize other markets for investment in the future, in addition to the Approved Markets identified above, or may remove one or more markets from the list of Approved Markets for an Underlying Fund. Also, an Underlying Fund may continue to hold investments in 186 countries that are not currently designated as Approved Markets, but had been authorized for investment in the past, and may reinvest distributions received in connection with such existing investments in such previously Approved Markets. For a description of the securities approved for investment, see “International Portfolios— Approved Markets.” In addition to, or in place of, investments in the Underlying Funds, the World ex U.S. Value Portfolio also is permitted to invest directly in the same types of securities of companies that are described in this Prospectus as eligible investments for the Underlying Funds. The value criteria used by the Advisor, as described above, generally apply at the time of purchase by the World ex U.S. Value Portfolio or an Underlying Fund. The World ex U.S. Value Portfolio and Underlying Funds are not required to dispose of a security if the security’s issuer does not meet current value criteria. Similarly, the Advisor is not required to sell a security even if the decline in the market capitalization reflects a serious financial difficulty or potential or actual insolvency of the company. Securities which do meet the value criteria nevertheless may be sold at any time when, in the Advisor’s judgment, circumstances warrant their sale. See “Portfolio Transactions—All Portfolios.” The World ex U.S. Value Portfolio and each Underlying Fund may purchase or sell futures contracts and options on futures contracts for equity securities and indices to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio or Underlying Fund. The World ex U.S. Value Portfolio and Underlying Funds do not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The World ex U.S. Value Portfolio and each Underlying Fund may invest in exchange-traded funds (ETFs) and similarly structured pooled investments for the purposes of gaining exposure to the equity markets, while maintaining liquidity. In addition to money market instruments and other short-term investments, the World ex U.S. Value Portfolio and each Underlying Fund may invest in affiliated and unaffiliated registered and unregistered money market funds to manage cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. World ex U.S. Targeted Value Portfolio The investment objective of the World ex U.S. Targeted Value Portfolio is to achieve long-term capital appreciation. The Portfolio seeks to achieve its investment objective by purchasing a broad and diverse group of mostly small and mid-sized non-U.S. companies associated with countries with developed and emerging markets, which may include frontier markets (emerging markets in an earlier stage of development), that the Advisor believes to be value stocks at the time of purchase and have been authorized for investment as Approved Markets by the Advisor’s Investment Committee. (For a description of the securities and countries approved for investment, see “International Portfolios—Approved Markets”). Under normal market conditions, the World ex U.S. Targeted Value Portfolio intends to invest at least 40% of its assets in three or more non-U.S. countries by investing in securities of companies associated with such countries. The World ex U.S. Targeted Value Portfolio intends to purchase securities of small and mid-sized companies in countries with developed and emerging markets that the Advisor believes to be value stocks at the time of purchase. Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value. In assessing value, the Advisor may consider additional factors, such as price-to- cash-flow or price-to-earnings ratios, as well as economic conditions and developments in the issuer’s industry. The Advisor determines what constitutes a small or mid-sized company on a country- or region-specific basis and based primarily on market capitalization. The Advisor may adjust the representation in the World ex U.S. Targeted Value Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. In determining which emerging market countries are eligible markets for the World ex U.S. Targeted Value Portfolio, the Advisor may consider various factors, including, without limitation, the data, analysis, and 187 classification of countries published or disseminated by the International Bank for Reconstruction and Development (commonly known as the World Bank), the International Finance Corporation, FTSE International, MSCI, and Citigroup. Approved emerging markets may not include all such emerging markets. In determining whether to approve emerging markets for investment, the Advisor may take into account, among other things, market liquidity, relative availability of investor information, government regulation, including fiscal and foreign exchange repatriation rules and the availability of other access to these markets for the Portfolio. The World ex U.S. Targeted Value Portfolio may invest in exchange-traded funds (ETFs) and similarly structured pooled investments for the purpose of gaining exposure to the equity markets, including the United States, while maintaining liquidity. The Portfolio also may purchase or sell futures contracts and options on futures contracts for equity securities and indices, including those of the United States, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The Portfolio does not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. In addition to money market instruments and other short-term investments, the Portfolio may invest in affiliated and unaffiliated registered and unregistered money market funds to manage the Portfolio’s cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. Consideration of Tax Implications. When constructing its investment portfolio, the World ex U.S. Targeted Value Portfolio intends to consider federal tax implications when making investment decisions with respect to individual securities to seek to provide a tax advantage. When selling securities, the Portfolio typically will select the highest cost shares of the specific security in order to minimize the realization of capital gains. In certain cases, the highest cost shares may produce a short-term capital gain. Since short-term capital gains generally are taxed at higher tax rates than long-term capital gains, the highest cost shares with a long-term holding period may be disposed of instead. The Portfolio, when possible, will generally refrain from disposing of a security until the long-term holding period for capital gains for tax purposes has been satisfied. Additionally, the Portfolio, when consistent with its investment and tax policies, may sell securities in order to realize capital losses. Realized capital losses can be used to offset realized capital gains, thus reducing capital gains distributions. The Advisor may delay buying the stock of a company that meets applicable investment criteria in order to avoid dividend income, and may sell the stock of a company that meets applicable investment criteria in order to realize a capital loss. Also, the Portfolio may dispose of securities whenever the Advisor determines that disposition is consistent with the Portfolio’s tax and investment management strategies or is otherwise in the best interest of the Portfolio. As part of its investment decisions, the Advisor may also consider the effects of holding periods and securities lending, among other factors, that may affect the tax characteristics of the income received. Although the Advisor intends to manage the World ex U.S. Targeted Value Portfolio in a manner that considers the effects of the realization of capital gains and taxable dividend income each year, the Portfolio may nonetheless distribute taxable gains and dividends to shareholders. Of course, realization of capital gains is not entirely within the Advisor’s control. Capital gains distributions may vary considerably from year to year. The Portfolio may be required to distribute taxable realized gains from a prior year, even if the Portfolio has a net realized loss for the year of distribution. Furthermore, the redeeming shareholders will be required to pay taxes on their capital gains, if any, on a redemption of the Portfolio’s shares, whether paid in cash or in kind, if the amount received on redemption is greater than the amount of the shareholder’s tax basis in the shares redeemed. World ex U.S. Core Equity Portfolio The investment objective of the World ex U.S. Core Equity Portfolio is to achieve long-term capital appreciation. The Portfolio seeks to achieve its investment objective by purchasing a broad and diverse group of securities of non-U.S. companies with an increased exposure to small capitalization and value companies relative to the Non- U.S. Universe. For purposes of this Portfolio, the Advisor defines the “Non-U.S. Universe” as a market capitalization weighted portfolio of non-U.S. companies in developed and emerging markets, which may include frontier markets, that have been authorized for investment as Approved Markets by the Advisor’s Investment 188 Committee. (For a description of the securities and countries approved for investment, see “International Portfolios—Approved Markets”). The increased exposure to small capitalization and value companies for the World ex U.S. Core Equity Portfolio may be achieved by decreasing the allocation of the Portfolio’s assets to the largest growth companies relative to their weight in the Non-U.S. Universe. An equity issuer is considered a growth company primarily because it has a low book value, that is not negative, in relation to its market capitalization. Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value. In assessing growth and value, the Advisor may consider additional factors, such as price-to-cash-flow or price-to-earnings ratios, as well as economic conditions and developments in the issuer’s industry. The criteria the Advisor uses for assessing whether a company is a value company or growth company are subject to change from time to time. The Advisor may adjust the representation in the World ex U.S. Core Equity Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. In determining which emerging market countries are eligible markets for the World ex U.S. Core Equity Portfolio, the Advisor may consider various factors, including, without limitation, the data, analysis, and classification of countries published or disseminated by the International Bank for Reconstruction and Development (commonly known as the World Bank), the International Finance Corporation, FTSE International, MSCI, and Citigroup. Approved Markets may not include all such emerging markets. In determining whether to approve emerging markets for investment, the Advisor may take into account, among other things, market liquidity, relative availability of investor information, government regulation, including fiscal and foreign exchange repatriation rules and the availability of other access to these markets for the Portfolio. The World ex U.S. Core Equity Portfolio may invest in exchange-traded funds (ETFs) and similarly structured pooled investments for the purpose of gaining exposure to the equity markets, including the United States, while maintaining liquidity. The Portfolio may purchase or sell futures contracts and options on futures contracts for foreign or U.S. equity securities and indices, to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio. The Portfolio does not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The Portfolio may engage in foreign currency transactions for the purposes of settling the Portfolio’s purchases and sales of foreign securities. In addition to money market instruments and other short-term investments, the Portfolio may invest in affiliated and unaffiliated registered and unregistered money market funds to manage the Portfolio’s cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. World Core Equity Portfolio The investment objective of the World Core Equity Portfolio is to achieve long-term capital appreciation. The World Core Equity Portfolio is a “fund of funds,” which means that the Portfolio generally allocates its assets among other mutual funds managed by the Advisor though it also has the ability to invest directly in securities. The World Core Equity Portfolio seeks to achieve exposure to a broad portfolio of securities of both U.S. companies and non-U.S. companies associated with countries with developed and emerging markets, which may include frontier markets (emerging markets in an earlier stage of development), by primarily purchasing shares of U.S. Core Equity 1 Portfolio, U.S. Large Company Portfolio, U.S. Large Cap Equity Portfolio, International Core Equity Portfolio, Large Cap International Portfolio, Emerging Markets Core Equity Portfolio and The Emerging Markets Series (the “Underlying Funds”). The World Core Equity Portfolio may have exposure to companies in all the market capitalization ranges. For a complete description of the investment objectives and policies, portfolio structure and transactions for each of the Underlying Funds, see “U.S. Core Equity 1 Portfolio,” “U.S. Large Company Portfolio,” “U.S. Large Cap Equity Portfolio,” “International Core Equity Portfolio,” “Large Cap International Portfolio,” “Emerging Markets Core Equity Portfolio”and “Emerging Markets Portfolio.” 189 Securities are considered value stocks primarily because a company’s shares have a high book value in relation to their market value. In assessing value, the Advisor may consider additional factors such as price to cash flow or price to earnings ratios, as well as economic conditions and developments in the issuer’s industry. The criteria the Advisor uses for assessing value are subject to change from time to time. The World Core Equity Portfolio typically allocates its investments among the Underlying Funds in the following manner: 35% to 80% in the U.S. Core Equity 1 Portfolio, U.S. Large Cap Equity Portfolio and/or U.S. Large Company Portfolio; 15% to 55% in the International Core Equity Portfolio and/or Large Cap International Portfolio; and 5% to 20% in the Emerging Markets Core Equity Portfolio and/or The Emerging Markets Series. The Advisor will determine in its discretion when and whether to invest in markets that have been authorized as Approved Markets for each Underlying Fund, depending on a number of factors, including, but not limited to, asset growth in the Underlying Fund, constraints imposed in Approved Markets, and other characteristics of each such market. The Investment Committee of the Advisor also may authorize other markets for investment in the future, in addition to the Approved Markets identified above, or may remove one or more markets from the list of Approved Markets for an Underlying Fund. Also, an Underlying Fund may continue to hold investments in countries that are not currently designated as Approved Markets, but had been authorized for investment in the past, and may reinvest distributions received in connection with such existing investments in such previously Approved Markets. For a description of the securities approved for investment, see “International Portfolios— Approved Markets.” In addition to, or in place of, investments in the Underlying Funds, the World Core Equity Portfolio also is permitted to invest directly in the same types of securities of companies that are described in this Prospectus as eligible investments for the Underlying Funds. The value criteria used by the Advisor, as described above, generally apply at the time of purchase by the World Core Equity Portfolio or an Underlying Fund. The World Core Equity Portfolio and Underlying Funds are not required to dispose of a security if the security’s issuer does not meet current value criteria. Similarly, the Advisor is not required to sell a security even if the decline in the market capitalization reflects a serious financial difficulty or potential or actual insolvency of the company. Securities which do meet the value criteria nevertheless may be sold at any time when, in the Advisor’s judgment, circumstances warrant their sale. See “Portfolio Transactions—All Portfolios.” The World Core Equity Portfolio and each Underlying Fund may purchase or sell futures contracts and options on futures contracts for equity securities and indices to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio or Underlying Fund. The World Core Equity Portfolio and Underlying Funds do not intend to sell futures contracts to establish short positions in individual securities or to use derivatives for purposes of speculation or leveraging investment returns. The World Core Equity Portfolio and each Underlying Fund may invest in exchange-traded funds (ETFs) and similarly structured pooled investments for the purposes of gaining exposure to the equity markets, while maintaining liquidity. In addition to money market instruments and other short-term investments, the World Core Equity Portfolio and each Underlying Fund may invest in affiliated and unaffiliated registered and unregistered money market funds. The World Core Equity Portfolio and Underlying Funds may invest in such money market funds and other short-term investments to manage cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. Selectively Hedged Global Equity Portfolio The investment objective of the Selectively Hedged Global Equity Portfolio is to achieve long-term capital appreciation. The Selectively Hedged Global Equity Portfolio is a “fund of funds,” which means that the Portfolio generally allocates its assets among other mutual funds managed by the Advisor although it also has the ability to invest directly in securities and derivatives. The Selectively Hedged Global Equity Portfolio seeks to achieve exposure to a broad portfolio of securities of both U.S. companies and non-U.S. companies associated with countries with developed and emerging markets, including frontier markets (emerging markets in an earlier stage of development), by primarily purchasing shares of U.S. Core Equity 2 Portfolio, International Core Equity 190 Portfolio and Emerging Markets Core Equity Portfolio (the “Underlying Funds”). For a complete description of the investment objectives and policies, portfolio structure and transactions for each of the Underlying Funds, see “U.S. Core Equity 2 Portfolio,” “International Core Equity Portfolio” and “Emerging Markets Core Equity Portfolio.” Because many of the Selectively Hedged Global Portfolio’s investments may be denominated in foreign currencies, the Portfolio may also enter into forward foreign currency contracts to attempt to protect against uncertainty in the level of future foreign currency rates, to hedge against fluctuations in currency exchange rates or to transfer balances from one currency to another. Alternatively, the Portfolio may leave all or some of the currency exposure unhedged. In regard to currency hedging, it is generally not possible to precisely match the foreign currency exposure of such forward foreign currency contracts to the value of the securities involved due to fluctuations in the market values of such securities and cash flows into and out of the Portfolio between the date a forward foreign currency contract is entered into and the date it expires. The decision to hedge the Portfolio’s currency exposure with respect to a foreign market will be based on, among other things, a comparison of the respective foreign and U.S. short-term interest rates and the Portfolio’s existing exposure to a given foreign currency. The Selectively Hedged Global Equity Portfolio and each Underlying Fund also may invest in exchange-traded funds (ETFs) and similarly structured pooled investments for the purposes of gaining exposure to the equity markets, while maintaining liquidity. In addition to money market instruments and other short-term investments, the Selectively Hedged Global Equity Portfolio and each Underlying Fund may invest in affiliated and unaffiliated registered and unregistered money market funds to manage cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. The Selectively Hedged Global Equity Portfolio and Underlying Funds may lend their portfolio securities to generate additional income. In addition to, or in place of, investments in the Underlying Funds, the Portfolio also is permitted to invest directly in the same types of securities of companies that are as eligible investments for the Underlying Funds. Emerging Markets Portfolio Emerging Markets Value Portfolio Emerging Markets Small Cap Portfolio Emerging Markets Core Equity Portfolio The investment objective of the Emerging Markets Portfolio, the Emerging Markets Value Portfolio, the Emerging Markets Small Cap Portfolio, and the Emerging Markets Core Equity Portfolio is to achieve long-term capital appreciation. The Emerging Markets Portfolio is a Feeder Portfolio and pursues its objective by investing substantially all of its assets in its corresponding Master Fund, The Emerging Markets Series of the Trust (the “Emerging Markets Series”), which has the same investment objective and policies as the Portfolio. The Emerging Markets Small Cap Portfolio is a Feeder Portfolio and pursues its objective by investing substantially all of its assets in its corresponding Master Fund, The Emerging Markets Small Cap Series of the Trust (the “Emerging Markets Small Cap Series”), which has the same investment objective and policies as the Portfolio. The Emerging Markets Value Portfolio is a Feeder Portfolio and pursues its objective by investing substantially all of its assets in its corresponding Master Fund, Dimensional Emerging Markets Value Fund (the “Emerging Markets Value Fund”), which has the same investment objective and policies as the Portfolio. The Emerging Markets Value Fund pursues its objective through investment primarily in emerging market equity securities. The Emerging Markets Series, the Emerging Markets Small Cap Series, and the Emerging Markets Value Fund are referred to collectively as the “Emerging Markets Master Funds.” Each of the Emerging Markets Master Funds and the Emerging Markets Core Equity Portfolio seeks to achieve its investment objective by investing in companies associated with emerging markets, which may include frontier markets (emerging market countries in an earlier stage of development), designated as Approved Markets by the Investment Committee of the Advisor (For a description of the securities and countries approved for investment, see “International Portfolios— Approved Markets”). Each Emerging Markets Master Fund and the Emerging Markets Core Equity Portfolio invests its assets primarily in Approved Market equity securities listed on bona fide securities exchanges or actively traded on over-the-counter markets. 191 The Emerging Markets Value Fund seeks to achieve its objective by purchasing emerging market equity securities that are deemed by the Advisor to be value stocks at the time of purchase. Securities are considered value stocks primarily because they have a high book value in relation to their market value. In assessing value, the Advisor may consider additional factors, such as price to cash flow or price to earnings ratios, as well as economic conditions and developments in the issuer’s industry. The criteria the Advisor uses for assessing value are subject to change from time to time. The Emerging Markets Core Equity Portfolio will seek to purchase a broad and diverse group of securities, with an increased exposure to securities of small cap issuers and securities that it considers to be value securities. In assessing value, the Advisor may consider factors such as the issuer’s securities having a high book value in relation to their market value, as well as price to cash flow or price to earnings ratios. The criteria the Advisor uses for assessing value are subject to change from time to time. In determining what countries are eligible markets for the Emerging Markets Master Funds and the Emerging Markets Core Equity Portfolio, the Advisor may consider various factors, including without limitation, the data, analysis, and classification of countries published or disseminated by the International Bank for Reconstruction and Development (commonly known as the World Bank), the International Finance Corporation, FTSE International, MSCI and Citigroup. Approved Markets may not include all such emerging markets. In determining whether to approve markets for investment, the Advisor may take into account, among other things, market liquidity, relative availability of investor information, government regulation, including fiscal and foreign exchange repatriation rules and the availability of other access to these markets for the Emerging Markets Series, the Emerging Markets Small Cap Series, the Emerging Markets Value Fund and the Emerging Markets Core Equity Portfolio. Pending the investment of new capital in Approved Markets securities, the Emerging Markets Master Funds and the Emerging Markets Core Equity Portfolio will typically invest in money market instruments or other highly liquid debt instruments including those denominated in U.S. dollars (including, without limitation, repurchase agreements). In addition, each Emerging Markets Master Fund and the Emerging Markets Core Equity Portfolio, may, for liquidity, or for temporary defensive purposes during periods in which market or economic or political conditions warrant, purchase highly liquid debt instruments or hold freely convertible currencies, although each Emerging Markets Master Fund and the Emerging Markets Core Equity Portfolio do not expect the aggregate of all such amounts to exceed 20% of their net assets under normal circumstances. The Emerging Markets Master Funds and Emerging Markets Core Equity Portfolio also may invest up to 10% of their total assets in shares of other investment companies that invest in one or more Approved Markets, although they intend to do so only where access to those markets is otherwise significantly limited. In some Approved Markets, it may be necessary or advisable for an Emerging Markets Master Fund or the Emerging Markets Core Equity Portfolio to establish a wholly owned subsidiary or a trust for the purpose of investing in the local markets. The Emerging Markets Series and Emerging Markets Small Cap Series seek broad market diversification. The decision to include or exclude the shares of an issuer will be made primarily on the basis of such issuer’s relative market capitalization determined by reference to other companies located in the same country. Company size is measured in terms of reference to other companies located in the same country and in terms of local currencies in order to eliminate the effect of variations in currency exchange rates. In addition, the Emerging Markets Series may consider a company’s book value in relation to its market value (a “book to market ratio”). The Emerging Markets Core Equity Portfolio seeks broad market diversification with an increased exposure to securities of small cap issuers and securities that it considers to be value securities. Generally, changes in the composition and relative ranking (in terms of book to market ratio) of the stocks which are eligible for purchase by the Emerging Markets Value Fund take place with every trade when the securities markets are open for trading due primarily to price changes of such securities. On a periodic basis, the Advisor will identify value stocks that are eligible for investment and re-evaluate eligible value stocks no less than semi-annually. 192 For each of the Emerging Markets Master Funds and the Emerging Markets Core Equity Portfolio, the Advisor may also adjust the representation in the Master Fund or Portfolio of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. The Emerging Markets Master Funds and the Emerging Markets Core Equity Portfolio do not seek current income as an investment objective, and investments will not be based upon an issuer’s dividend payment policy or record. However, many of the companies whose securities will be included in an Emerging Markets Master Fund or the Emerging Markets Core Equity Portfolio do pay dividends. It is anticipated, therefore, that the Emerging Markets Master Funds and the Emerging Markets Core Equity Portfolio will receive dividend income. The Emerging Markets Master Funds and Emerging Markets Core Equity Portfolio may also invest in exchange- traded funds (ETFs) and similarly structured pooled investments that provide exposure to Approved Markets or other equity markets, including the United States, for the purposes of gaining exposure to the equity markets while maintaining liquidity. In addition to money market instruments and other short-term investments, the Emerging Markets Master Funds and Emerging Markets Core Equity Portfolio may invest in affiliated and unaffiliated registered and unregistered money market funds to manage cash pending investment in other securities or to maintain liquidity for the payment of redemptions or other purposes. Investments in ETFs and money market funds may involve a duplication of certain fees and expenses. MARKET CAPITALIZATION WEIGHTED APPROACH The portfolio structures of the U.S. Large Cap Value Series, each U.S. Value Portfolio, each U.S. Small Company Portfolio, the DFA Real Estate Securities Portfolio, the International Value Series, the DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, each International Small Company Portfolio Underlying Fund and the DFA International Small Cap Value Portfolio involve market capitalization weighting in determining individual security weights and, where applicable, country or region weights. Market capitalization weighting means each security is generally purchased based on the issuer’s relative market capitalization. Market capitalization weighting may be modified by the Advisor for a variety of reasons. The Advisor may adjust the representation in a Portfolio, Underlying Fund or Series of an eligible company, or exclude a company, after considering such factors as free float, momentum, trading strategies, liquidity, profitability, and other factors that the Advisor determines to be appropriate, given market conditions. In assessing profitability, the Advisor may consider different ratios, such as that of earnings or profits from operations relative to book value or assets. The Advisor may deviate from market capitalization weighting to limit or fix the exposure of a Portfolio or Master Fund to a particular issuer to a maximum proportion of the assets of the Portfolio or Master Fund. The Advisor may exclude the stock of a company that meets applicable market capitalization criterion if the Advisor determines, in its judgment, that the purchase of such stock is inappropriate in light of other conditions. These adjustments will result in a deviation from traditional market capitalization weighting. Adjustment for free float modifies market capitalization weighting to exclude the share capital of a company that is not freely available for trading in the public equity markets. For example, the following types of shares may be excluded: (i) those held by strategic investors (such as governments, controlling shareholders and management), (ii) treasury shares, or (iii) shares subject to foreign ownership restrictions. Furthermore, the Advisor may reduce the relative amount of any security held in order to retain sufficient portfolio liquidity. A portion, but generally not in excess of 20% of assets, may be invested in interest bearing obligations, such as money market instruments, thereby causing further deviation from market capitalization weighting. A further deviation may occur due to holdings in securities received in connection with corporate actions. Block purchases of eligible securities may be made at opportune prices, even though such purchases exceed the number of shares that, at the time of purchase, adherence to a market capitalization weighted approach would otherwise require. In addition, securities eligible for purchase or otherwise represented in a Portfolio or Master Fund may be acquired in exchange for the issuance of shares. See “PURCHASE OF SHARES—In-Kind 193 Purchases.” While such transactions might cause a deviation from market capitalization weighting, they would ordinarily be made in anticipation of further growth of assets. Generally, changes in the composition and relative ranking (in terms of market capitalization) of the stocks that are eligible for purchase take place with every trade when the securities markets are open for trading due, primarily, to price changes of such securities. On at least a semi-annual basis, the Advisor will identify companies whose stock is eligible for investment by a Portfolio or Master Fund. Additional investments generally will not be made in securities that have changed in value sufficiently to be excluded from the Advisor’s then current market capitalization requirement for eligible portfolio securities. This may result in further deviation from market capitalization weighting. Such deviation could be substantial if a significant amount of holdings of a Portfolio or Master Fund change in value sufficiently to be excluded from the requirement for eligible securities, but not by a sufficient amount to warrant their sale. Country weights may be based on the total market capitalization of companies within each country. The country weights may take into consideration the free float of companies within a country or whether these companies are eligible to be purchased for the particular strategy. In addition, to maintain a satisfactory level of diversification, the Investment Committee may limit or fix the exposure to a particular country or region to a maximum proportion of the assets of that vehicle. Country weights may also vary due to general day-to-day trading patterns and price movements. The weighting of countries may vary from their weighting in published international indices. PORTFOLIO CONSTRUCTION—SMALL COMPANY FUNDS Each of the U.S. Small Company Portfolios, the International Small Company Portfolios and the International Small Company Underlying Funds (collectively the “Small Company Funds”) intends to invest in the securities of eligible companies using a market capitalization weighted approach. See “Market Capitalization Weighted Approach.” The following discussion applies to the investment policies of the Small Company Funds. The decision to include or exclude the shares of an issuer will generally be made on the basis of such issuer’s relative market capitalization determined by reference to other companies located in the same country or region. Company size is measured in terms of local currencies in order to eliminate the effect of variations in currency exchange rates. If securities must be sold in order to obtain funds to make redemption payments, such securities may be repurchased, as additional cash becomes available. In most instances, however, management would anticipate selling securities which had appreciated sufficiently to be eligible for sale and, therefore, would not need to repurchase such securities. Generally, current income is not sought as an investment objective and investments will not be based upon an issuer’s dividend payment policy or record. However, many of the companies whose securities will be selected for investment do pay dividends. It is anticipated, therefore, that dividend income will be received. PORTFOLIO TRANSACTIONS—ALL PORTFOLIOS In general, securities will not be purchased or sold based on the prospects for the economy, the securities markets or the individual issuers whose shares are eligible for purchase. Securities which have depreciated in value since their acquisition will not be sold solely because prospects for the issuer are not considered attractive or due to an expected or realized decline in securities prices in general. Securities generally will not be sold solely to realize short-term profits, but when circumstances warrant, they may be sold without regard to the length of time held. Securities, including those eligible for purchase, may be disposed of, however, at any time when, in the Advisor’s judgment, circumstances warrant their sale, including but not limited to tender offers, mergers and similar transactions, or bids made for block purchases at opportune prices. Generally, securities will be purchased with the expectation that they will be held for longer than one year and will be held until such time as they are no longer considered an appropriate holding in light of the investment policy of each Portfolio and Master Fund. 194 In attempting to respond to adverse market, economic, political, or other conditions, a Portfolio or Master Fund may, from time to time, invest its assets in a temporary defensive manner that is inconsistent with the Portfolio’s or Master Fund’s principal investment strategies. In these circumstances, the Portfolio or Master Fund (and in turn, its corresponding Feeder Portfolio) may be unable to achieve its investment objective. Certain Portfolios and Master Funds may exclude securities of certain REITs and utilities. ADDITIONAL INFORMATION REGARDING INVESTMENT RISKS Derivatives Risk:Derivatives are instruments, such as futures, foreign exchange forward contracts and swaps, whose value is derived from that of other assets, rates or indices. Derivatives can be used for hedging (attempting to reduce risk by offsetting one investment position with another) or non-hedging purposes. Hedging with derivatives may increase expenses, and there is no guarantee that a hedging strategy will work. While hedging can reduce or eliminate losses, it can also reduce or eliminate gains or cause losses if the market moves in a manner different from that anticipated by a Portfolio, Master Fund or Underlying Fund or if the cost of the derivative outweighs the benefit of the hedge. The use of derivatives for non-hedging purposes may be considered to carry more risk than other types of investments. When a Portfolio, Master Fund or Underlying Fund uses derivatives, the Portfolio, Master Fund or Underlying Fund will be directly exposed to the risks of those derivatives. Derivatives expose a Portfolio, Master Fund or Underlying Fund to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty. The possible lack of a liquid secondary market for derivatives and the resulting inability of a Portfolio, Master Fund or Underlying Fund to sell or otherwise close a derivatives position could expose the Portfolio, Master Fund or Underlying Fund to losses and could make derivatives more difficult for the Portfolio, Master Fund or Underlying Fund to value accurately. Some derivatives are more sensitive to interest rate changes and market price fluctuations than other securities. A Portfolio, Master Fund or Underlying Fund could also suffer losses related to its derivatives positions as a result of unanticipated market movements, which losses are potentially unlimited. The Advisor may not be able to predict correctly the direction of securities prices, interest rates and other economic factors, which could cause a Portfolio’s, Master Fund’s or Underlying Fund’s derivatives positions to lose value. Valuation of derivatives may also be more difficult in times of market turmoil since many investors and market makers may be reluctant to purchase derivatives or quote prices for them. Changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index, and a Portfolio, Master Fund or Underlying Fund could lose more than the principal amount invested. Other Information COMMODITY POOL OPERATOR EXEMPTION Each Portfolio, Master Fund and Underlying Fund is operated by a person that has claimed an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act (“CEA”) with respect to the Portfolios, Master Funds, and Underlying Funds described in this Prospectus, and, therefore, such person is not subject to registration or regulation as a pool operator under the CEA with respect to such Portfolios, Master Funds, and Underlying Funds. FUND OF FUNDS PORTFOLIO TURNOVER The portfolio turnover rate provided for the International Small Company Portfolio, World ex U.S. Value Portfolio, World Core Equity Portfolio and Selectively Hedged Global Equity Portfolio under the heading “Portfolio Turnover” for the respective Portfolio is unaudited. The portfolio turnover rate presented for each Fund of Funds, excluding the DFA Global Real Estate Securities Portfolio, was derived from the portfolio turnover rates of the Underlying Funds in which the Fund of Funds invests. The portfolio turnover rate of the DFA Global Real Estate Securities Portfolio’s direct investments portfolio is audited. 195 Securities Loans All of the Portfolios, Master Funds and Underlying Funds are authorized to lend securities to qualified brokers, dealers, banks and other financial institutions for the purpose of earning additional income, although inasmuch as the Feeder Portfolios will only hold shares of a corresponding Master Fund, these Portfolios do not intend to lend those shares. While a Portfolio, Master Fund or Underlying Fund may earn additional income from lending securities, such activity is incidental to the investment objective of a Portfolio, Master Fund or Underlying Fund. For information concerning the revenue from securities lending, see “SECURITIES LENDING REVENUE.” The value of securities loaned may not exceed 33 1⁄3% of the value of a Portfolio’s or Master Fund’s total assets, which includes the value of collateral received. To the extent a Portfolio, Master Fund or Underlying Fund loans a portion of its securities, a Portfolio, Master Fund or Underlying Fund will receive collateral consisting generally of cash or U.S. government securities. Collateral received will be maintained by marking to market daily and (i) in an amount 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) in an amount generally equal to 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) in an amount generally equal to 105% of the current market value of the loaned securities with respect to foreign securities. Subject to their stated investment policies, the Portfolios, Master Funds and Underlying Funds will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the “Money Market Series), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. The Portfolios, Master Funds and Underlying Funds may also invest such collateral in securities of the U.S. Government or its agencies, repurchase agreements collateralized by securities of the U.S. Government or its agencies, and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage backed securities. In addition, the Portfolios, Master Funds and Underlying Funds 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. See the statement of additional information (“SAI”) for a further discussion of the tax consequences related to securities lending. A Portfolio, Master Fund or Underlying Fund will be entitled to recall a loaned security in time to vote proxies or otherwise obtain rights to vote proxies of loaned securities if the Portfolio, Master Fund or Underlying Fund knows a material event will occur. In the event of the bankruptcy of the borrower, DFA Investment Dimensions Group, Inc., Dimensional Investment Group Inc. (each a “Fund” and collectively the “Funds”), the Emerging Markets Value Fund or the Trust could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value. See “Principal Risks—Securities Lending Risks” for a discussion of the risks related to securities lending. 196 Securities Lending Revenue During the fiscal year ended October 31, 2016, the following Portfolios received the following net revenues from a securities lending program (see “SECURITIES LOANS”), which constituted a percentage of the average daily net assets of the Portfolio: Portfolio Net Revenue Percentage of Net Assets U.S. Large Company Portfolio $881,000 0.01% U.S. Large Cap Equity Portfolio $178,000 0.02% U.S. Large Cap Value Portfolio*$2,879,000 0.02% U.S. Small Cap Value Portfolio $8,455,000 0.07% U.S. Targeted Value Portfolio $6,652,000 0.09% U.S. Core Equity 1 Portfolio $8,606,000 0.06% U.S. Core Equity 2 Portfolio $11,265,000 0.07% U.S. Vector Equity Portfolio $3,297,000 0.09% U.S. Small Cap Portfolio $16,878,000 0.14% U.S. Micro Cap Portfolio $5,807,000 0.12% DFA Real Estate Securities Portfolio $784,000 0.01% Large Cap International Portfolio $3,010,000 0.09% DFA International Value Portfolio*$7,093,000 0.11% International Core Equity Portfolio $26,239,000 0.17% International Small Company Portfolio*$27,016,000 0.28% Japanese Small Company Portfolio*$930,000 0.21% Asia Pacific Small Company Portfolio*$818,000 0.37% United Kingdom Small Company Portfolio*$31,000 0.09% Continental Small Company Portfolio*$1,089,000 0.36% DFA International Real Estate Securities Portfolio $1,972,000 0.05% DFA Global Real Estate Securities Portfolio $192,000 0.00% DFA International Small Cap Value Portfolio $24,293,000 0.20% International Vector Equity Portfolio $3,343,000 0.20% World ex U.S. Value Portfolio*$201,000 0.12% World ex U.S. Targeted Value Portfolio $266,000 0.11% World ex U.S. Core Equity Portfolio $2,478,000 0.18% Emerging Markets Portfolio*$6,581,000 0.15% Emerging Markets Value Portfolio*$30,263,000 0.20% Emerging Markets Small Cap Portfolio*$38,125,000 0.77% Emerging Markets Core Equity Portfolio $52,227,000 0.33% * A Portfolio with a corresponding Master Fund or Underlying Fund(s) that is taxed as a partnership. “Net Revenue” reflects the proportional share of the securities lending revenue generated by the Master Fund or Underlying Fund(s) that was received by the Portfolio. 197 Management of the Funds The Advisor serves as investment advisor to the Portfolios and the Master Funds. Pursuant to an Investment Management Agreement with each Portfolio and Master Fund, the Advisor is responsible for the management of their respective assets. With respect to an Investment Management Agreement with each Feeder Portfolio, the Advisor manages the portion of each Feeder Portfolio’s assets that are retained by the Feeder Portfolio for direct investment and, at its discretion, may make a determination to withdraw a Feeder Portfolio’s investment from its corresponding Master Fund to invest in another Master Fund or manage all the Feeder Fund’s assets directly if the Advisor believes it is in the best interests of the Feeder Portfolio and its shareholders to do so. As of the date of this Prospectus, each Feeder Portfolio invests substantially all of its assets in its corresponding Master Fund. The Portfolios and the Master Funds are managed using a team approach. The investment team includes the Investment Committee of the Advisor, portfolio managers and trading personnel. The Investment Committee is composed primarily of certain officers and directors of the Advisor who are appointed annually. As of the date of this Prospectus, the Investment Committee has ten members. Investment strategies for all Portfolios and all Master Funds are set by the Investment Committee, which meets on a regular basis and also as needed to consider investment issues. The Investment Committee also sets and reviews all investment related policies and procedures and approves any changes in regards to approved countries, security types and brokers. In accordance with the team approach used to manage the portfolios, the portfolio managers and portfolio traders implement the policies and procedures established by the Investment Committee. The portfolio managers and portfolio traders also make daily investment decisions regarding the portfolios based on the parameters established by the Investment Committee. The individuals named in a Portfolio’s “INVESTMENT ADVISOR/PORTFOLIO MANAGEMENT” section coordinate the efforts of all other portfolio managers or trading personnel with respect to the day to day management of such Portfolio. Mr. Chi is a Senior Portfolio Manager and Vice President of the Advisor and the Chairman of the Investment Committee. Mr. Chi has an MBA and BS from the University of California, Los Angeles and also a JD from the University of Southern California. Mr. Chi joined the Advisor as a portfolio manager in 2005 and has been responsible for the International Portfolios since 2010 and the Domestic Portfolios (except the Enhanced U.S. Large Company Portfolio) since 2012. Mr. Fogdall is a Senior Portfolio Manager and Vice President of the Advisor and a member of the Investment Committee. Mr. Fogdall has an MBA from the University of California, Los Angeles and a BS from Purdue University. Mr. Fogdall joined the Advisor as a portfolio manager in 2004 and has been responsible for the International Portfolios since 2010 and the Domestic Portfolios (except the Enhanced U.S. Large Company Portfolio) since 2012. Mr. Hohn is a Portfolio Manager and Vice President of the Advisor. Mr. Hohn holds an MBA from the University of California, Los Angeles, an MS from the University of Southern California and a BS from Iowa State University. Mr. Hohn joined the Advisor in 2012, has been a portfolio manager since 2015, and has been responsible for the US Large Company Portfolio since 2017. Mr. Smart is a Senior Portfolio Manager and Vice President of the Advisor. Mr. Smart holds an MBA from the University of Chicago Booth School of Business, and a BA from the University of San Diego. Mr. Smart joined the Advisor in 2007, has been a portfolio manager since 2010, and has been responsible for the U.S. Large Company Portfolio, U.S. Large Cap Equity Portfolio and U.S. Large Cap Value Portfolio since 2015 and the U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio and DFA Real Estate Securities Portfolio since 2017. Mr. Schneider is a Senior Portfolio Manager and Vice President of the Advisor. Mr. Schneider holds an MBA from the University of Chicago Booth School of Business, an MS from the University of Minnesota, and a BS from Iowa State University. Mr. Schneider joined the Advisor in 2011, has been a portfolio manager since 2013, and has 198 been responsible for the U.S. Small Cap Value Portfolio, U.S. Targeted Value Portfolio and U.S. Micro Cap Portfolio since 2015 and the U.S. Small Cap Portfolio since 2017. Ms. Phillips is a Senior Portfolio Manager and Vice President of the Advisor and a member of the Investment Committee. Ms. Phillips holds an MBA from the University of Chicago Booth School of Business and a BA from the University of Puget Sound. Ms. Phillips joined the Advisor in 2012, has been a portfolio manager since 2014, and has been responsible for the Large Cap International Portfolio and DFA International Value Portfolio since 2015, and the World ex U.S. Value Portfolio since 2016 and the remaining International Portfolios since 2017. Mr. Pu is a Senior Portfolio Manager and Vice President of the Advisor. Mr. Pu has an MBA from the University of California, Los Angeles, an MS and PhD from Caltech, and a BS from Cooper Union for the Advancement of Science and Art. Mr. Pu joined the Advisor as a portfolio manager in 2006 and has been responsible for the International Core Equity Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, International Vector Equity Portfolio, World ex U.S. Core Equity Portfolio, World Core Equity Portfolio and Emerging Markets Core Equity Portfolio since 2015 and the Global Small Company Portfolio, World ex U.S. Value Portfolio and Selectively Hedged Global Equity Portfolio since 2017. Mr. Keswani is a Senior Portfolio Manager and Vice President of the Advisor. Mr. Keswani holds an MBA from the Massachusetts Institute of Technology Sloan School of Management, an MS from Pennsylvania State University, and a BS from Purdue University. Mr. Keswani joined the Advisor in 2011, has been a portfolio manager since 2013, and has been responsible for the International Small Company Portfolio, Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, United Kingdom Small Company Portfolio, Continental Small Company Portfolio and DFA International Small Cap Value Portfolio since 2015, and the World ex U.S. Targeted Value Portfolio since 2016. Mr. Ong is a Senior Portfolio Manager and Vice President of the Advisor. Mr. Ong holds an MBA from the University of Chicago Booth School of Business and a BA from the University of California, Irvine. Mr. Ong joined the Advisor in 2005, has been a portfolio manager since 2005, and has been responsible for the Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio and Emerging Markets Value Portfolio since 2015. Mr. Singh is a Senior Portfolio Manager and Vice President of the Advisor. Mr. Singh received his MBA from the University of Chicago and his BA from the University of California, Los Angeles. Mr. Singh joined the Advisor originally in 2003, has been a portfolio manager since 2012 and has been responsible for the International Portfolios (except the World ex U.S. Value Portfolio, World Core Equity Portfolio and Selectively Hedged Global Equity Portfolio) since 2015. Mr. Plecha is a Senior Portfolio Manager and Vice President of the Advisor and a member of the Investment Committee. Mr. Plecha received his BS from the University of Michigan at Ann Arbor in 1983 and his MBA from the University of California at Los Angeles in 1987. Mr. Plecha has been a portfolio manager since 1989 and responsible for the Enhanced U.S. Large Company Portfolio and the Selectively Hedged Global Equity Portfolio since 2012. Mr. Kolerich is a Senior Portfolio Manager and Vice President of the Advisor and a member of the Investment Committee. Mr. Kolerich has an MBA from the University of Chicago Booth School of Business and a BS from Northern Illinois University. Mr. Kolerich joined the Advisor as a portfolio manager in 2001 and has been responsible for the Enhanced U.S. Large Company Portfolio and the Selectively Hedged Global Equity Portfolio since 2012. The Portfolios’ SAI provides information about each portfolio manager’s compensation, other accounts managed by the portfolio manager, and the portfolio manager’s ownership of Fund shares. The Advisor provides the Portfolios, the Master Funds and Underlying Funds with a trading department and selects brokers and dealers to effect securities transactions. Securities transactions are placed with a view to obtaining best price and execution. The Advisor’s address is 6300 Bee Cave Road, Building One, Austin, TX 78746. A discussion regarding the basis for the Boards of Trustees/Directors approving the Investment 199 Management Agreements with respect to the Portfolios and Master Funds, is available in the semi-annual reports for the Portfolios and Master Funds for the fiscal period ending April 30, 2016. The Funds and the Master Funds bear all of their own fees, expenses, charges, assessments, taxes, and other costs incurred in their operations, whether incurred directly by the Funds or incurred by the Advisor on their behalf. The expenses payable by the Funds shall include, but are not limited to: services of their independent registered public accounting firm, legal counsel to the Funds and their disinterested trustees/directors, fees and expenses of disinterested trustees/directors, employees and consultants, accounting and pricing costs (including the daily calculations of net asset value), brokerage fees, commissions and transfer taxes in connection with the acquisition and disposition of portfolio securities, taxes and other governmental fees levied against the Funds, insurance premiums, investment fees and expenses of the Funds, including the interest expense of borrowing money, the costs incidental to meetings of their shareholders and trustees/directors, the cost of filing their registration statements under the federal securities laws and the cost of any other filings required under federal and state securities laws, the costs of preparing, printing and mailing proxies, shareholder reports, prospectuses, statements of additional information and other fund documents, transfer and dividend disbursing agency, administrative services and custodian fees, including the expenses of issuing, repurchasing or redeeming their shares, fees and expenses of securities lending agents and the oversight of the securities lending activities of the Funds, fees and expenses associated with trade administration oversight services with respect to reconciliations and the oversight of settlement and collateral management, litigation, regulatory examinations/proceedings and other extraordinary or nonrecurring expenses, and other expenses properly payable by the Funds, except as provided in the Fee Waiver and Expense Assumption Agreements for certain classes of the Portfolios. Expenses allocable to a particular Portfolio or Master Fund or class of a Portfolio are so allocated. The expenses of a Fund which are not allocable to a particular Portfolio or class of a Portfolio are to be borne by each Portfolio or class of a Portfolio of the Fund on the basis of its relative net assets. Similarly, the expenses of the Trust which are not allocable to a particular Series are to be borne by each Master Fund on the basis of its relative net assets. The Advisor has been engaged in the business of providing investment management services since May 1981. The Advisor is currently organized as a Delaware limited partnership and is controlled and operated by its general partner, Dimensional Holdings Inc., a Delaware corporation. The Advisor controls Dimensional Fund Advisors Ltd. (“DFAL”) and DFA Australia Limited (“DFA Australia”). As of January 31, 2017, assets under management for all Dimensional affiliated advisors totaled approximately $472 billion. MANAGEMENT FEES The “Annual Fund Operating Expenses” table describes the fees incurred by a Portfolio (not including the Large Cap International Portfolio, International Core Equity Portfolio, World ex U.S. Core Equity Portfolio, Emerging Markets Portfolio and Emerging Markets Core Equity Portfolio) for the services provided by the Advisor for the fiscal year ended October 31, 2016 or, with respect to the Global Small Company Portfolio, the anticipated fees to be incurred by the Portfolio for the services provided by the Advisor for the first full fiscal year. The “Management Fee” listed in the table for the Non-Feeder Portfolios provides the investment management fee that was payable by the respective Portfolio to the Advisor. The “Management Fee” listed in the table for each Feeder Portfolio includes the investment management fees that were payable to the Advisor by the Portfolio and the Portfolio’s Master Fund. The Advisor, not the Portfolios and Master Funds listed below, compensates the sub- advisors. The “Annual Fund Operating Expenses”tables for the Large Cap International Portfolio, International Core Equity Portfolio, World ex U.S. Core Equity Portfolio, Emerging Markets Portfolio and Emerging Markets Core Equity Portfolio describe the management fee to be paid by each Portfolio as a result of a decrease in the management fee payable by each Portfolio effective February 28, 2017. The rate of the management fee payable to the Advisor by the Large Cap International Portfolio was reduced from 0.25% to 0.20% of the Portfolio’s average daily net assets on an annualized basis effective February 28, 2017. The rate of the management fee payable to the Advisor by the International Core Equity Portfolio was reduced from 0.35% to 0.27% of the Portfolio’s average daily net assets on an annualized basis effective February 28, 2017. The rate of the management fee payable to the Advisor by the World ex U.S. Core Equity Portfolio was reduced from 0.40% to 0.32% of the Portfolio’s average daily net assets on an annualized basis effective February 28, 2017. The rate of the management fee payable to the Advisor by the Emerging Markets Portfolio was reduced from 0.50% to 200 0.42% of the Portfolio’s average daily net assets on an annualized basis effective February 28, 2017. The rate of the management fee payable to the Advisor by the Emerging Markets Core Equity Portfolio was reduced from 0.55% to 0.47% of the Portfolio’s average daily net assets on an annualized basis effective February 28, 2017. Investment Services—The Global Small Company Portfolio, the Japanese Small Company Series, the Asia Pacific Small Company Series, the International Core Equity Portfolio, the DFA International Real Estate Securities Portfolio, the DFA Global Real Estate Portfolio, the International Vector Equity Portfolio, the Large Cap International Portfolio, the International Value Series, the DFA International Small Cap Value Portfolio, the World ex U.S. Value Portfolio, the World ex U.S. Targeted Value Portfolio, the World ex U.S. Core Equity Portfolio, the World Core Equity Portfolio, the Selectively Hedged Global Equity Portfolio, the Emerging Markets Series, the Emerging Markets Small Cap Series, the Emerging Markets Core Equity Portfolio and the Dimensional Emerging Markets Value Fund Pursuant to Sub-Advisory Agreements with the Advisor, DFA Australia, Level 43 Gateway, 1 Macquarie Place, Sydney, New South Wales 2000, Australia, has the authority and responsibility to select brokers and dealers to execute securities transactions for the Global Small Company Portfolio, Japanese Small Company Series, Asia Pacific Small Company Series, International Core Equity Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Portfolio, International Vector Equity Portfolio, the Large Cap International Portfolio, the International Value Series, the DFA International Small Cap Value Portfolio, the World ex U.S. Value Portfolio, the World ex U.S. Targeted Value Portfolio, the World ex U.S. Core Equity Portfolio, the World Core Equity Portfolio, the Selectively Hedged Global Equity Portfolio, the Emerging Markets Series, the Emerging Markets Small Cap Series, the Emerging Markets Core Equity Portfolio and the Dimensional Emerging Markets Value Fund. DFA Australia’s duties include the maintenance of a trading desk for each Series or Portfolio and the determination of the best and most efficient means of executing securities transactions. On at least a semi-annual basis, the Advisor reviews the holdings of the Japanese Small Company Series, Asia Pacific Small Company Series, International Core Equity Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Portfolio, International Vector Equity Portfolio, the Large Cap International Portfolio, the International Value Series, the DFA International Small Cap Value Portfolio, the World ex U.S. Value Portfolio, the World ex U.S. Targeted Value Portfolio, the World ex U.S. Core Equity Portfolio, the World Core Equity Portfolio, the Selectively Hedged Global Equity Portfolio, the Emerging Markets Series, the Emerging Markets Small Cap Series, the Emerging Markets Core Equity Portfolio and the Dimensional Emerging Markets Value Fund, and reviews the trading process and the execution of securities transactions. The Advisor is responsible for determining those securities which are eligible for purchase and sale by each Series and Portfolio and may delegate this task, subject to its own review, to DFA Australia. DFA Australia maintains and furnishes to the Advisor information and reports on securities of international companies, including its recommendations of securities to be added to the securities that are eligible for purchase by each Series and Portfolio as well as making recommendations and elections on corporate actions. Investment Services—The Global Small Company Portfolio, the United Kingdom Small Company Series, the Continental Small Company Series, the International Core Equity Portfolio, the DFA International Real Estate Securities Portfolio, the DFA Global Real Estate Securities Portfolio, the International Vector Equity Portfolio, the Large Cap International Portfolio, the International Value Series, the DFA International Small Cap Value Portfolio, the World ex U.S. Value Portfolio, the World ex U.S. Targeted Value Portfolio, the World ex U.S. Core Equity Portfolio, the World Core Equity Portfolio, the Selectively Hedged Global Equity Portfolio, the Emerging Markets Series, the Emerging Markets Small Cap Series, the Emerging Markets Core Equity Portfolio and the Dimensional Emerging Markets Value Fund Pursuant to Sub-Advisory Agreements with the Advisor, DFAL, 20 Triton Street, Regent’s Place, London, NW13BF, United Kingdom, a company that is organized under the laws of England, has the authority and responsibility to select brokers or dealers to execute securities transactions for the Global Small Company Portfolio, United Kingdom Small Company Series, Continental Small Company Series, International Core Equity Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, International Vector Equity Portfolio, the Large Cap International Portfolio, the International Value Series, the DFA International Small Cap Value Portfolio, the World ex U.S. Value Portfolio, the World ex U.S. Targeted Value Portfolio, the World ex U.S. Core Equity Portfolio, the World Core Equity Portfolio, the Selectively Hedged Global 201 Equity Portfolio, the Emerging Markets Series, the Emerging Markets Small Cap Series, the Emerging Markets Core Equity Portfolio and the Dimensional Emerging Markets Value Fund. DFAL’s duties include the maintenance of a trading desk for the Series and Portfolio and the determination of the best and most efficient means of executing securities transactions. On at least a semi-annual basis, the Advisor reviews the holdings of the United Kingdom Small Company Series, Continental Small Company Series, International Core Equity Portfolio, DFA Global Real Estate Securities Portfolio, International Vector Equity Portfolio, DFA International Real Estate Securities Portfolio, the Large Cap International Portfolio, the International Value Series, the DFA International Small Cap Value Portfolio, the World ex U.S. Value Portfolio, the World ex U.S. Targeted Value Portfolio, the World ex U.S. Core Equity Portfolio, the World Core Equity Portfolio, the Selectively Hedged Global Equity Portfolio, the Emerging Markets Series, the Emerging Markets Small Cap Series, the Emerging Markets Core Equity Portfolio and the Dimensional Emerging Markets Value Fund and reviews the trading process and the execution of securities transactions. The Advisor is responsible for determining those securities which are eligible for purchase and sale by each Series and Portfolio and may delegate this task, subject to its own review, to DFAL. DFAL maintains and furnishes to the Advisor information and reports on securities of United Kingdom and European equity market companies, including its recommendations of securities to be added to the securities that are eligible for purchase by each Series and Portfolio as well as making recommendations and elections on corporate actions. DFAL is a member of the Financial Conduct Authority, a self-regulatory organization for investment managers operating under the laws of England. Manager of Managers Structure The Advisor, the Funds, and, on behalf of certain Master Funds, the Trust or Dimensional Emerging Markets Value Fund, have received an exemptive order from the SEC for a manager of managers structure that allows the Advisor to appoint, remove or change Dimensional Wholly-Owned Sub-advisors (defined below), and enter into, amend and terminate sub-advisory agreements with Dimensional Wholly-Owned Sub-advisors, without prior shareholder approval, but subject to Board approval. A “Dimensional Wholly-Owned Sub-advisor” includes (1) sub-advisors that are wholly-owned by the Advisor (i.e., an indirect or direct “wholly-owned subsidiary” (as such term is defined in the Investment Company Act of 1940 (the “1940 Act”)) of the Advisor, or (2) a sister company of the Advisor that is an indirect or direct “wholly-owned subsidiary” (as such term is defined in the 1940 Act) of the same company that, indirectly or directly, wholly owns the Advisor) (“Dimensional Wholly-Owned Sub- advisors”). A Board only will approve a change with respect to sub-advisors if the Directors conclude that such arrangements would be in the best interests of the shareholders of the Large Cap International Portfolio, DFA International Value Portfolio or Series, International Core Equity Portfolio, Global Small Company Portfolio International Small Company Portfolio, Japanese Small Company Portfolio or Series, Asia Pacific Small Company Portfolio or Series, United Kingdom Small Company Portfolio or Series, Continental Small Company Portfolio or Series, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, DFA International Small Cap Value Portfolio, International Vector Equity Portfolio, World ex U.S. Value Portfolio, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio, World Core Equity Portfolio, Selectively Hedged Global Equity Portfolio, Emerging Markets Portfolio or Series, Emerging Markets Value Portfolio or Fund, Emerging Markets Small Cap Portfolio or Series or Emerging Markets Core Equity Portfolio (the “MOM-Eligible Portfolios”). As described above, DFA Australia and/or DFAL, each a Dimensional Wholly-Owned Sub-advisor, currently serve as sub-advisors to each MOM-Eligible Portfolio or its Underlying Fund(s) or Master Fund. If a new Dimensional Wholly-Owned Sub-advisor is hired for a MOM-Eligible Portfolio or its Master Fund, shareholders will receive information about the new sub-advisor within 90 days of the change. The exemptive order allows greater flexibility for the Advisor to utilize, if desirable, personnel throughout the worldwide organization enabling a MOM-Eligible Portfolio to operate more efficiently. The Advisor will not hire unaffiliated sub-advisors without prior shareholder approval and did not request the ability to do so in its application to the SEC for an exemptive order to allow the manager of managers structure. The use of the manager of managers structure with respect to a MOM-Eligible Portfolio is subject to certain conditions set forth in the SEC exemptive order. Under the manager of managers structure, the Advisor has the ultimate responsibility, subject to oversight by the applicable Board, to oversee the Dimensional Wholly-Owned Sub-advisors and recommend their hiring, termination and replacement. The Advisor will provide general management services to a MOM-Eligible Portfolio, including overall supervisory responsibility for the general management and investment of the Portfolio’s assets. Subject to review and approval of the applicable Board, the Advisor will (a) set a MOM-Eligible Portfolio’s overall investment strategies, (b) evaluate, select, and 202 recommend Dimensional Wholly-Owned Sub-advisors to manage all or a portion of a MOM-Eligible Portfolio’s assets, and (c) implement procedures reasonably designed to ensure that Dimensional Wholly-Owned Sub- advisors comply with a MOM-Eligible Portfolio’s investment objective, policies and restrictions. Subject to review by the applicable Board, the Advisor will (a) when appropriate, allocate and reallocate a MOM-Eligible Portfolio’s assets among multiple Dimensional Wholly-Owned Sub-advisors; and (b) monitor and evaluate the performance of Dimensional Wholly-Owned Sub-advisors. SHAREHOLDER SERVICES On behalf of a Portfolio, the Funds may enter into shareholder servicing agreements with financial intermediaries to provide shareholder servicing, recordkeeping, account maintenance and other services to Institutional Class shareholders of the Portfolio. For the array of services provided to Institutional Class shareholders of a Portfolio, the Funds may pay such financial intermediaries a fee for such services. These expenses will be included in “Other Expenses” in the “Annual Fund Operating Expenses” table. FEE WAIVER AND EXPENSE ASSUMPTION AGREEMENTS Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption Agreement (the “Fee Waiver Agreement”), the Advisor has contractually agreed to waive certain fees, and in certain instances, assume certain expenses of the Portfolios, as described in the notes below. The Fee Waiver Agreement for the non-Feeder Portfolios below, and a portion of the Fee Waiver Agreement for certain Feeder Portfolios below, will remain in effect through February 28, 2018, 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 a Fund or the Advisor. The Fee Waiver Agreement with respect to the total management fees paid by the Feeder Portfolios, as described in the notes below, will remain in effect permanently, unless terminated by a Fund. 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. U.S. Large Company Portfolio The Advisor has contractually agreed to waive all or a portion of its management fee to the extent necessary to reduce the ordinary operating expenses (excluding expenses incurred through investment in other investment companies) (“Portfolio Expenses”) of the U.S. Large Company Portfolio so that the Portfolio Expenses, on an annualized basis, do not exceed the rate listed below as a percentage of the Portfolio’s average net assets (the “Annualized Expense Ratio”). At any time that the annualized Portfolio Expenses of the Portfolio are less than the Annualized Expense Ratio identified below, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that the amount of such recovery will not cause the annualized Portfolio Expenses of the Portfolio to exceed the applicable Annualized Expense Ratio identified below. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. Portfolio Annualized Expense Ratio U.S. Large Company Portfolio 0.08% U.S. Large Cap Value Portfolio DFA International Value Portfolio Emerging Markets Portfolio Emerging Markets Value Portfolio Emerging Markets Small Cap Portfolio The Advisor has contractually agreed to permanently waive all or a portion of the management fee of each Portfolio listed below 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 203 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 the rate listed below as a percentage of the average net assets of a class of a Portfolio on an annualized basis. Portfolio Expense Limitation Amount U.S. Large Cap Value Portfolio 0.25% DFA International Value Portfolio 0.40% Emerging Markets Portfolio 0.42% Emerging Markets Value Portfolio 0.50% Emerging Markets Small Cap Portfolio 0.65% With respect to the Emerging Markets Portfolio, in addition to the permanent fee waiver described above for the Portfolio, 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 0.49% 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 applicable Expense Limitation Amount for such class of shares of the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the applicable Expense Limitation Amount. Except, the Portfolio is not obligated to reimburse the Advisor for fees waived in connection with the permanent fee waiver. Also, the Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. U.S. Targeted Value Portfolio The Advisor has contractually agreed to waive its management fee and to assume the U.S. Targeted Value Portfolio’s Institutional Class Shares’ 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 Institutional Class Shares to the rate listed below as a percentage of the Portfolio’s average net assets of the Institutional Class Shares on an annualized basis (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of the Portfolio’s Institutional Class Shares are less than the Expense Limitation Amount identified below, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses of the Institutional Class Shares to exceed the applicable Expense Limitation Amount identified below. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. Portfolio Expense Limitation Amount U.S. Targeted Value Portfolio 0.50% 204 U.S. Large Cap Equity Portfolio U.S. Core Equity 1 Portfolio U.S. Core Equity 2 Portfolio U.S. Vector Equity Portfolio DFA Real Estate Securities Portfolio Large Cap International Portfolio International Core Equity Portfolio DFA International Real Estate Securities Portfolio International Vector Equity Portfolio Emerging Markets Core Equity Portfolio The Advisor has contractually agreed to waive all or a portion of its management fee and assume the ordinary operating expenses of a class of each of the following Portfolios (excluding the expenses that the Portfolio incurs indirectly through its investment in other investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of a class of each Portfolio, on an annualized basis, to the rates listed below as a percentage of a class of the respective Portfolio’s average net assets (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of a class of a Portfolio are less than the applicable Expense Limitation Amount for such class of shares of the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the applicable Expense Limitation Amount identified below. A Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. Portfolio Expense Limitation Amount U.S. Large Cap Equity Portfolio 0.19% U.S. Core Equity 1 Portfolio 0.23% U.S. Core Equity 2 Portfolio 0.26% U.S. Vector Equity Portfolio 0.36% DFA Real Estate Securities Portfolio 0.18% Large Cap International Portfolio 0.24% International Core Equity Portfolio 0.30% DFA International Real Estate Securities Portfolio 0.29% International Vector Equity Portfolio 0.60% Emerging Markets Core Equity Portfolio 0.54% Global Small Company Portfolio 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 below 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 will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. 205 Portfolio Expense Limitation Amount Global Small Company Portfolio 0.49% International Small Company Portfolio 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 below as a percentage of the average net assets of a class of the Portfolio on an annualized basis (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of a class of the Portfolio are less than Expense Limitation Amount for such class of shares of the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the applicable Expense Limitation Amount identified below. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. Portfolio Expense Limitation Amount International Small Company Portfolio 0.45% Japanese Small Company Portfolio Asia Pacific Small Company Portfolio United Kingdom Small Company Portfolio Continental Small Company Portfolio The Advisor has contractually agreed to permanently waive all or a portion of the management fee of each Portfolio listed below 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 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 a 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 below as a percentage of the average net assets of a class of a Portfolio on an annualized basis (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of a class of a Portfolio are less than the applicable Expense Limitation Amount for such class of shares of the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the applicable Expense Limitation Amount identified below. Except, a Portfolio is not obligated to reimburse the Advisor for fees waived in connection with the Permanent Fee Waiver. Also, a Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. Portfolio Expense Limitation Amount Japanese Small Company Portfolio 0.47% Asia Pacific Small Company Portfolio 0.47% United Kingdom Small Company Portfolio 0.47% Continental Small Company Portfolio 0.47% 206 DFA Global Real Estate Securities Portfolio 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 other funds managed by the Advisor but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in the 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, on an annualized basis, to the rate listed below as a percentage of the average net assets of a class of the Portfolio (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount for such class of shares of the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the applicable Expense Limitation Amount identified below. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. Portfolio Expense Limitation Amount DFA Global Real Estate Securities Portfolio 0.24% World ex U.S. Value Portfolio 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 other funds managed by the Advisor, except for the fees paid through its investment of securities lending cash collateral in the Money Market Series (the “Underlying Funds”). In addition, the Advisor also agrees 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 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 below as a percentage of the average net assets of a class of the Portfolio 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. At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount for such class of shares of the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the applicable Expense Limitation Amount identified below. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. Portfolio Expense Limitation Amount World ex U.S. Value Portfolio 0.60% World ex U.S. Targeted Value Portfolio 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 other funds managed by the Advisor, except for the fees paid through investment of securities lending cash collateral in the Money Market Series (the “Underlying Funds”). In addition, under the Fee Waiver Agreement, the Advisor has also agreed to waive all or a portion of the management fee and to assume the ordinary operating expenses of a class of the Portfolio (including expenses incurred through its investment in other investment companies but excluding the expenses that the Portfolio incurs indirectly through its investment of its securities lending cash collateral in the Money Market Series) (“Portfolio Expenses”) to the extent necessary 207 to limit the Portfolio Expenses of a class of the Portfolio to the rate listed below 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 recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses of a class of the Portfolio to exceed the Expense Limitation Amount. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. Portfolio Expense Limitation Amount World ex U.S. Targeted Value Portfolio 0.80% World ex U.S. Core Equity Portfolio The Advisor has contractually agreed to waive all or a portion of the management fee and to assume the expenses of a class of the Portfolio (including the expenses that the Portfolio bears as a shareholder of other funds managed by the Advisor but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in the 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 below 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 recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses of a class of the Portfolio to exceed the Expense Limitation Amount. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. Portfolio Expense Limitation Amount World ex U.S. Core Equity Portfolio 0.39% World Core Equity Portfolio 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 other funds managed by the Advisor, except for the fees paid through its investment of securities lending cash collateral in the Money Market Series (the “Underlying Funds”) (including the Portfolio’s proportionate share of any management fees that an 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 below as a percentage of the average net assets of a class of the Portfolio on an annualized basis (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount for such class of shares of the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the applicable Expense Limitation Amount. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. 208 Portfolio Expense Limitation Amount World Core Equity Portfolio 0.35% Selectively Hedged Global Equity Portfolio 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 other funds managed by the Advisor, except for the fees paid through investment of securities lending cash collateral in the Money Market Series (the “Underlying Funds”). In addition, under the Fee Waiver Agreement, the Advisor has also agreed to waive all or a portion of the management fee and to assume the expenses of a class of the Portfolio to the extent necessary to reduce the ordinary operating expenses (including expenses incurred through its investment in other investment companies but excluding the expenses that the Portfolio incurs indirectly through its investment of its securities lending cash collateral in the Money Market Series) (“Portfolio Expenses”) of a class of the Portfolio, on an annualized basis, to the rate listed below as a percentage of the average net assets of the class of the Portfolio (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount for such class of shares of the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the applicable Expense Limitation Amount identified below. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. Portfolio Expense Limitation Amount Selectively Hedged Global Equity Portfolio 0.40% Dividends, Capital Gains Distributions and Taxes Dividends and Distributions.Each Portfolio intends to qualify each year as a regulated investment company under the Code. As a regulated investment company, a Portfolio generally pays no federal income tax on the income and gains it distributes to you. Dividends from net investment income of the Domestic Securities and the International Securities (other than the Global Small Company Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, and Selectively Hedged Global Equity Portfolio) are distributed quarterly (on a calendar basis) and any net realized capital gains (after any reductions for available capital loss carryforwards) are distributed annually, typically in December. The Global Small Company Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, and Selectively Hedged Global Equity Portfolio make distributions from net investment income and any net realized capital gains (after any reductions for available capital loss carryforwards) annually, typically in December. The DFA International Small Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, DFA Real Estate Securities Portfolio, Large Cap International Portfolio, International Core Equity Portfolio, U.S. Large Company Portfolio, Emerging Markets Core Equity Portfolio, U.S. Large Cap Equity Portfolio and DFA International Real Estate Securities Portfolio, and any other Portfolio that becomes an investment option for the Advisor’s funds of funds in the future, may also make an additional dividend distribution from net investment income in October of each year. A Portfolio may distribute such income dividends and capital gains more frequently, if necessary, in order to reduce or eliminate federal excise or income taxes on the Portfolio. Capital gains distributions may vary considerably from year to year as a result of a Portfolio’s normal investment activities and cash flows. During a time of economic volatility, a Portfolio may experience capital losses and unrealized depreciation in value of investments, the effect of which may be to reduce or eliminate capital gains distributions for a period of time. A Portfolio may be required to distribute taxable realized gains from a prior year, even if the Portfolio has a net realized loss for the year of distribution. 209 You will automatically receive all income dividends and capital gains distributions in additional shares of the Portfolio whose shares you hold at net asset value (as of the business date following the dividend record date), unless, upon written notice to the Advisor and completion of account information, you request to receive income dividends or capital gains distributions, or both, in cash. Net Investment Income Distribution Portfolio/Master Fund Annually Quarterly Monthly Domestic Equity Portfolios U.S. Large Company X Enhanced U.S. Large Company X U.S. Large Cap Equity X U.S. Large Cap Value X U.S. Small Cap Value X U.S. Targeted Value X U.S. Core Equity 1 X U.S. Core Equity 2 X U.S. Vector Equity X U.S. Small Cap X U.S. Micro Cap X DFA Real Estate Securities X International Equity Portfolios Large Cap International X DFA International Value X International Core Equity X Global Small Company Portfolio X International Small Company X Japanese Small Company X Asia Pacific Small Company X United Kingdom Small Company X Continental Small Company X DFA International Real Estate Securities X DFA Global Real Estate Securities X DFA International Small Cap Value X International Vector Equity X World ex U.S. Value X World ex U.S. Targeted Value X World ex U.S. Core Equity X World Core Equity Portfolio X Selectively Hedged Global Equity Portfolio X Emerging Markets X Emerging Markets Value X Emerging Markets Small Cap X Emerging Markets Core Equity X 210 Annual Statements.Each year, you will receive a statement that shows the tax status of distributions you received the previous calendar year. Distributions declared in December to shareholders of record in such month, but paid in January, are taxable as if they were paid in December. Avoid “Buying A Dividend.”At the time you purchase your Portfolio shares, a Portfolio’s net asset value may reflect undistributed income or undistributed capital gains. A subsequent distribution to you of such amounts, although constituting a return of your investment, would be taxable. Buying shares in a Portfolio just before it declares an income dividend or capital gains distribution is sometimes known as “buying a dividend.” In addition, a Portfolio’s net asset value may, at any time, reflect net unrealized appreciation, which may result in future taxable distributions to you. Tax Considerations.This discussion of “Tax Considerations”should be read in conjunction with the remaining subsections below containing additional information. Also, unless otherwise indicated, the discussion below with respect to a Portfolio includes in the case of a Feeder Portfolio invested in a Master Fund or a Portfolio invested in an Underlying Fund classified as a partnership, its pro rata share of its corresponding Master Fund’s or Underlying Fund’s income and assets and in the case of a Portfolio invested in an Underlying Fund classified as a corporation, its pro rata share of the dividends and distributions paid by such Underlying Fund. In general, if you are a taxable investor, Portfolio distributions are taxable to you as ordinary income, capital gains, or some combination of both. This is true whether you reinvest your distributions in additional Portfolio shares or receive them in cash. For federal income tax purposes, Portfolio distributions of short-term capital gains are taxable to you at ordinary income rates. Portfolio distributions of long-term capital gains are taxable to you at long-term capital gain rates no matter how long you have owned your shares. A portfolio with a high portfolio turnover rate (a measure of how frequently assets within a portfolio are bought and sold) is more likely to generate short-term capital gains than a portfolio with a low portfolio turnover. A portion of income dividends reported by a Portfolio as qualified dividend income may be eligible for taxation by individual shareholders at long-term capital gain rates provided certain requirements are met. Compared to other types of investments, derivatives may be less tax efficient. For example, the use of derivatives by a Portfolio may cause the Portfolio to realize higher amounts of ordinary income or short-term capital gain, distributions from which are taxable to individual shareholders at ordinary income tax rates rather than at the more favorable tax rates for long-term capital gains. Changes in government regulation of derivative instruments could affect the character, timing and amount of a Portfolio’s taxable income or gains, and may limit or prevent the Portfolio from using certain types of derivative instruments as a part of its investment strategy. A Portfolio’s use of derivatives also may be limited by the requirements for taxation of the Portfolio as a regulated investment company. If a Portfolio qualifies to pass through to you the tax benefits from foreign taxes it pays on its investments, and elects to do so, then any foreign taxes it pays on these investments will be treated as paid by you. You will then be entitled either to deduct your share of these taxes in computing your taxable income, or to claim a foreign tax credit for these taxes against your U.S. federal income tax (subject to limitations for certain shareholders). The Board of Trustees of a Master Fund reserves the right to change the entity classification of a Master Fund for U.S. federal income tax purposes at any time, as may be permitted or required under the Code. For instance, the Board might cause a Master Fund that is classified as a partnership to elect to be classified as a corporation and taxable as a regulated investment company or disregarded entity (if it has one shareholder) or vice versa. Such a change in entity classification may be prompted by, among other things, changes in law, the investment strategy of a Master Fund, or the nature and number of shareholders of a Master Fund or other factors or events adversely affecting the ability of a Master Fund to comply with the Code. A change in entity classification of a Master Fund may be a taxable event, causing the Master Fund and shareholders of the Master Fund that are subject to tax to recognize a taxable gain or loss. Such a change in entity classification would also cause the shareholders of the Master Fund to be subject to a different taxation regime, which may adversely affect some shareholders depending upon their particular circumstances. 211 Sale or Redemption of Portfolio Shares.The sale of shares of a Portfolio is a taxable event and may result in a capital gain or loss to you. Capital gain or loss may be realized from an ordinary redemption of shares or an exchange of shares between two Portfolios. Any loss incurred on the sale or exchange of a Portfolio’s shares, held for six months or less, will be treated as a long-term capital loss to the extent of capital gain dividends received with respect to such shares. A Portfolio is required to report to you and the Internal Revenue Service annually on Form 1099-B not only the gross proceeds of Portfolio shares you sell or redeem but also the cost basis for shares you sell or redeem that were purchased or acquired on or after January 1, 2012. Cost basis will be calculated using the Portfolios’ default method of average cost, unless you instruct a Portfolio to use a different calculation method. Shareholders should carefully review the cost basis information provided by a Portfolio and make any additional basis, holding period or other adjustments that are required when reporting these amounts on their federal income tax returns. If your account is held by your investment representative (financial advisor or other broker), please contact that representative with respect to reporting of cost basis and available elections for your account. Tax-advantaged retirement accounts will not be affected. Medicare Tax.An additional 3.8% Medicare tax is imposed on certain net investment income (including ordinary dividends and capital gain distributions received from a Portfolio and net gains from redemptions or other taxable dispositions of Portfolio shares) of U.S. individuals, estates and trusts to the extent that such person’s “modified adjusted gross income” (in the case of an individual) or “adjusted gross income” (in the case of an estate or trust) exceeds a threshold amount. This Medicare tax, if applicable, is reported by you on, and paid with, your federal income tax return. Backup Withholding.By law, a Portfolio may be required to withhold 28% of taxable dividends, capital gains distributions, and redemption proceeds paid to you if you do not provide your proper taxpayer identification number and certain required certifications. You may avoid this withholding requirement by providing and certifying on the account registration form your correct Taxpayer Identification Number and by certifying that you are not subject to backup withholding and are a U.S. person (including a U.S. resident alien). A Portfolio must also withhold if the Internal Revenue Service instructs it to do so. State and Local Taxes.In addition to federal taxes, you may be subject to state and local taxes on distributions from a Portfolio and on gains arising on redemption or exchange of a Portfolio’s shares. Distributions of interest income and capital gains realized from certain types of U.S. Government securities may be exempt from state personal income taxes. To the extent an Underlying Fund organized as a corporation invests in U.S. Government obligations, distributions derived from interest on these obligations and paid to its corresponding Portfolio and, in turn, to shareholders are unlikely to be exempt from state and local income tax. Non-U.S. Investors.Non-U.S. investors may be subject to U.S. withholding tax, at either the 30% statutory rate or a lower rate if you are a resident of a country that has a tax treaty with the U.S., and are subject to special U.S. tax certification requirements to avoid backup withholding and claim any treaty benefits. Exemptions from U.S. withholding tax are provided for certain capital gain dividends paid by a Portfolio from net long-term capital gains, if any, interest-related dividends paid by a Portfolio from its qualified net interest income from U.S. sources and short-term capital gain dividends, if such amounts are reported by a portfolio. However, notwithstanding such exemptions from U.S. withholding at the source, any such dividends and distributions of income and capital gains will be subject to backup withholding at a rate of 28% if you fail to properly certify that you are not a U.S. person. Non-U.S. investors also may be subject to U.S. estate tax. Other Reporting and Withholding Requirements. Under the Foreign Account Tax Compliance Act (“FATCA”), a Portfolio will be required to withhold a 30% tax on the following payments or distributions made by a Portfolio to certain foreign entities, referred to as foreign financial institutions or non-financial foreign entities, that fail to comply (or be deemed compliant) with extensive reporting and withholding requirements designed to inform the U.S. Department of the Treasury of U.S.-owned foreign investment accounts: (a) income dividends and (b) after December 31, 2018, certain capital gain distributions, return of capital distributions and the proceeds arising from the sale of Portfolio shares. A Portfolio may disclose the information that it receives from its shareholders to the Internal Revenue Service, non-U.S. taxing authorities or other parties as necessary to comply with FATCA or 212 similar laws. Withholding also may be required if a foreign entity that is a shareholder of a Portfolio fails to provide the Portfolio with appropriate certifications or other documentation concerning its status under FATCA. SPECIAL TAX CONSIDERATIONS FOR INVESTORS THAT INVEST IN THE DFA REAL ESTATE SECURITIES PORTFOLIO, DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO, OR THE DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO. PFIC Securities. The Portfolio may invest in securities of foreign entities that could be deemed for tax purposes to be PFICs. In general, a PFIC is any foreign corporation if 75% or more of its gross income for its taxable year is passive income, or 50% or more of its average assets (by value) are held for the production of passive income. When investing in PFIC securities, the Portfolio intends to mark-to-market these securities and recognize any unrealized gains as ordinary income at the end of its fiscal year. Deductions for losses are allowable only to the extent of any current or previously recognized gains. These gains (reduced by allowable losses) are treated as ordinary income that the Portfolio is required to distribute, even though it has not sold or received dividends from these securities. You should also be aware that the designation of a foreign security as a PFIC security will cause its income dividends to fall outside of the definition of qualified foreign corporation dividends. These dividends generally will not qualify for the reduced rate of taxation on qualified dividends when distributed to you by the Portfolio. Due to various complexities in identifying PFICs, the Portfolio can give no assurances that it will be able to identify portfolio securities in foreign corporations that are PFICs in time for the Portfolio to make a mark-to-market election. If the Portfolio (or an Underlying Fund organized as a corporation) is unable to identify an investment as a PFIC and thus does not make a mark-to-market election, the Portfolio (or Underlying Fund) may be subject to U.S. federal income tax on a portion of any “excess distribution” or gain from the disposition of such shares even if such income is distributed as a taxable dividend by the Portfolio to its shareholders. Additional charges in the nature of interest may be imposed on the Portfolio (or Underlying Fund) in respect of deferred taxes arising from such distributions or gains. Any such taxes or interest charges could in turn reduce the Portfolio’s distributions paid to you. Investment in U.S. REITS. A U.S. REIT is not subject to federal income tax on the income and gains it distributes to shareholders. Dividends paid by a U.S. REIT, other than capital gain distributions, will be taxable as ordinary income up to the amount of the U.S. REIT’s current and accumulated earnings and profits. Capital gain dividends paid by a U.S. REIT to a Portfolio will be treated as long-term capital gains by a Portfolio and, in turn, may be distributed by a Portfolio to its shareholders as a capital gain distribution. Because of certain noncash expenses, such as property depreciation, an equity U.S. REIT’s cash flow may exceed its taxable income. The equity U.S. REIT, and in turn a Portfolio, may distribute this excess cash to shareholders in the form of a return of capital distribution. However, if a U.S. REIT is operated in a manner that fails to qualify as a REIT, an investment in the U.S. REIT would become subject to double taxation, meaning the taxable income of the U.S. REIT would be subject to federal income tax at regular corporate rates without any deduction for dividends paid to shareholders and the dividends would be taxable to shareholders as ordinary income (or possibly as qualified dividend income) to the extent of the U.S. REIT’s current and accumulated earnings and profits. Receipt of Excess Inclusion Income by a Portfolio. The Portfolio may derive “excess inclusion income” from certain equity interests in mortgage pooling vehicles either directly or through an investment in a U.S. REIT. Please see the SAI for a discussion of the risks and special tax consequences to tax-exempt and other shareholders in the event the Portfolio realizes excess inclusion income in excess of certain threshold amounts. Investment in U.S. Real Property.The sale of a U.S. real property interest by a U.S. REIT or U.S. real property holding corporation in which a Portfolio invests may trigger special tax consequences to the Portfolio’s non-U.S. investors. Please see the SAI for a discussion of the risks and special tax consequences to shareholders from a sale of a U.S. real property interest by a U.S. REIT or U.S. real property holding corporation in which a Portfolio invests. This discussion of “DIVIDENDS, CAPITAL GAINS DISTRIBUTIONS AND TAXES” is not intended or written to be used as tax advice. Because everyone’s tax situation is unique, you should consult your tax professional about federal, state, local or foreign tax consequences before making an investment in a Portfolio. Prospective investors should also consult the SAI. 213 Purchase of Shares CASH PURCHASES Investors who do not already have an agreement in place with a Fund may purchase Institutional Class shares of any Portfolio by first contacting the Portfolio’s transfer agent at (888) 576-1167. Investors that invest through a financial intermediary should contact such intermediary with regard to purchase instructions. The Portfolios generally are available for investment only by institutional clients, clients of registered investment advisors, clients of financial institutions, and a limited number of certain other investors, each as approved from time to time by the Advisor (“Eligible Investors”). Eligible Investors include employees, former employees, shareholders and directors of the Advisor and the Funds and friends and family members of such persons. The Portfolios generally are available for investment only to U.S. citizens, U.S. residents, and U.S. domestic corporations, partnerships, trusts, or other entities. For purposes of this limitation, U.S. citizens and U.S. residents must reside in the U.S. and U.S. domestic corporations, partnerships, trusts, and other entities must have a U.S. address of record. All investments are subject to approval of the Advisor, and all investors must complete and submit the necessary account registration forms in good order. The Funds reserve the right to reject any initial or additional investment and to suspend the offering of shares of any Portfolio. All purchases must be received in good order. “Good order” with respect to the purchase of shares means that (1) a fully completed and properly signed Account Registration Form and any additional supporting legal documentation required by the Advisor and/or transfer agent have been received in legible form, and (2) the transfer agent has been notified of the purchase, no later than the close of regular trading on the NYSE (normally, 4:00 p.m. ET) (“Market Close”) on the day of the purchase. It is the investor or financial intermediary’s responsibility to ensure notification is received in good order by the transfer agent prior to the Market Close on the purchase date. Under certain conditions, Portfolios may accept and process purchase orders after the close of the NYSE on days that the NYSE unexpectedly closes early and may accept orders on a business day that the NYSE is unexpectedly closed. All orders will be processed at the next determined net asset value per share. Payment Payment of the total amount due should be made in U.S. dollars. If your payment is not received on settlement date, your purchase may be canceled. If an order to purchase shares must be canceled due to nonpayment, the purchaser will be responsible for any loss incurred by a Fund arising out of such cancellation. To recover any such loss, the Funds reserve the right to redeem shares owned by any purchaser whose order is canceled, and such purchaser may be prohibited or restricted in the manner of placing further orders. Purchase by wire or check Wire.Investors having an account with a bank that is a member or a correspondent of a member of the Federal Reserve System may purchase shares by wire after providing notification to the transfer agent by fax or telephone. The transfer agent can be reached by phone at (888) 576-1167. Notification must include the account number, account name, Portfolio number, trade date and purchase amount. On or before settlement date, the investor paying by wire must request their bank to transmit immediately available funds (federal funds) by wire to the Fund’s custodian for the account of DFA Investment Dimensions Group Inc. (specify the Portfolio) or, with regard to purchases of the U.S. Large Company Portfolio or the DFA International Value Portfolio, for the account of Dimensional Investment Group Inc. Additional investments also may be made through the wire procedure by first notifying the transfer agent. If your payment is not received on settlement date, your purchase may be canceled. Check.Investors who wish to purchase shares of any Portfolio by check should first call the Portfolio’s transfer agent at (888) 576-1167 for additional instructions. Checks should be made payable to Dimensional Funds. Reference the name of the Portfolio in which you wish to invest. 214 Shares also may be purchased and sold by individuals through securities firms that may charge a service fee or commission for such transactions. No such fee or commission is charged on shares that are purchased or redeemed directly from the Funds. Investors who are clients of investment advisory organizations may also be subject to investment advisory fees under their own arrangements with such organizations. IN-KIND PURCHASES If accepted by the Funds, shares of the Portfolios may be purchased in exchange for securities that are eligible for acquisition by the Portfolios (or their corresponding Master Funds or Underlying Funds) or otherwise represented in their portfolios as described in this Prospectus or as otherwise consistent with the Funds’ policies or procedures or in exchange for local currencies in which such securities of the International Portfolios, the International Value Series and Enhanced U.S. Large Company Portfolio, are denominated. Securities and local currencies accepted by the Funds for exchange and Fund shares to be issued in the exchange will be valued as set forth under “VALUATION OF SHARES” at the time of the next determination of net asset value after such acceptance. All dividends, interest, subscription, or other rights pertaining to such securities shall become the property of the Portfolio whose shares are being acquired and must be delivered to the Fund by the investor upon receipt from the issuer. Investors who desire to purchase shares of the International Portfolios or Enhanced U.S. Large Company Portfolio with local currencies should first contact the Advisor. The Funds will not accept securities in exchange for shares of a Portfolio unless: (1) such securities are, at the time of the exchange, eligible to be included, or otherwise represented, in the Portfolio whose shares are to be issued (or in its corresponding Master Fund or Underlying Funds) and current market values are available for such securities based on a Fund’s valuation procedures; (2) the investor represents and agrees that all securities offered to be exchanged are not subject to any restrictions upon their sale by the Portfolio under the Securities Act of 1933 or under the laws of the country in which the principal market for such securities exists, or otherwise; and (3) at the discretion of the respective Fund, the value of any such security (except U.S. government securities) being exchanged, together with other securities of the same issuer owned by the Portfolio, Master Fund or Underlying Fund, may not exceed 5% of the net assets of the Portfolio, Master Fund or Underlying Fund immediately after the transaction, however, this last limitation does not apply to the International Small Company Portfolio. A gain or loss for federal income tax purposes will generally be realized by investors who are subject to federal taxation upon the exchange depending upon the cost of the securities or local currency exchanged. Investors interested in such exchanges should contact the Advisor. Purchases of shares will be made in full and fractional shares calculated to three decimal places. In the interest of economy and convenience, certificates for shares will not be issued. Policy Regarding Excessive or Short-term Trading The Portfolios are designed for long-term investors (except as described below) and are not intended for investors that engage in excessive short-term trading activity that may be harmful to the Portfolios, including but not limited to market timing. Short-term or excessive trading into and out of the Portfolios can disrupt portfolio management strategies, harm performance and increase Portfolio expenses for all shareholders, including long- term shareholders who do not generate these costs. In addition, certain Portfolios and Master Funds may be more susceptible to the risks of short-term trading than other Portfolios and Master Funds. The nature of the holdings of the International Portfolios and International Master Funds may present opportunities for a shareholder to engage in a short-term trading strategy that exploits possible delays between changes in the price of a Portfolio’s or Master Fund’s holdings and the reflection of those changes in the Portfolio’s net asset value (called “arbitrage market timing”). Such delays may occur because an International Portfolio or its Master Fund, if applicable, has significant investments in foreign securities where, due to time zone differences, the values of those securities are established some time before the Portfolio and/or the Master Fund calculate their net asset values. In such circumstances, the available market prices for such foreign securities may not accurately reflect the latest indications of value at the time the 215 International Portfolio calculates its net asset value. The U.S. Small Cap Value Portfolio, the U.S. Small Cap Portfolio and the U.S. Micro Cap Portfolio also may be subject to arbitrage market timing because the Portfolios have significant holdings in small cap securities, which may have prices that do not accurately reflect the latest indications of value of these securities at the time the Portfolios calculate their net asset values due to, among other reasons, infrequent trading or illiquidity. There is a possibility that arbitrage market timing may dilute the value of a Portfolio’s shares if redeeming shareholders receive proceeds (and purchasing shareholders receive shares) based upon a net asset value that does not reflect appropriate fair value prices. The Boards of Directors of the Funds (collectively, the “Board”) have adopted a policy (the “Trading Policy”) and the Advisor and DFA Securities LLC (collectively, “Dimensional”) and Dimensional’s agents have implemented the following procedures, which are designed to discourage and prevent market timing or excessive short-term trading in the Funds: (i) trade activity monitoring and purchase blocking procedures; and (ii) use of fair value pricing. The Funds, Dimensional and their agents monitor trades and flows of money in and out of the Portfolios from time to time in an effort to detect excessive short-term trading activities, and for consistent enforcement of the Trading Policy. The Funds reserve the right to take the actions necessary to stop excessive or disruptive trading activities, including refusing or canceling purchase or exchange orders for any reason, without prior notice, particularly purchase or exchange orders that the Funds believe are made on behalf of market timers. The Funds, Dimensional and their agents reserve the right to restrict, refuse or cancel any purchase or exchange request made by an investor indefinitely if the Funds or Dimensional believe that any combination of trading activity in the accounts is potentially disruptive to a Portfolio. In making such judgments, the Funds and Dimensional seek to act in a manner that is consistent with the interests of shareholders. For purposes of applying these procedures, Dimensional may consider an investor’s trading history in the Portfolios, and accounts under common ownership, influence or control. In addition to the Funds’ general ability to restrict potentially disruptive trading activity as described above, the Funds also have adopted purchase blocking procedures. Under the Funds’ purchase blocking procedures, where an investor has engaged in any two purchases and two redemptions (including redemptions that are part of an exchange transaction) in a Portfolio in any rolling 30 calendar day monitoring period (i.e., two “round trips”), the Funds and Dimensional intend to block the investor from making any additional purchases in that Portfolio for 90 calendar days (a “purchase block”). If implemented, a purchase block will begin at some point after the transaction that caused the investor to have engaged in the prohibited two round-trips is detected by the Funds, Dimensional, or their agents. The Funds and Dimensional are permitted to implement a longer purchase block, or permanently bar future purchases by an investor, if they determine that it is appropriate. Under the Funds’ purchase blocking procedures, the following purchases and redemptions will not trigger a purchase block: (i) purchases and redemptions of shares having a value in each transaction of less than $25,000; (ii) purchases and redemptions by U.S. registered investment companies that operate as fund of funds and non-U.S. investment companies that operate as fund of funds that the Funds or Dimensional, in their sole discretion, have determined are not designed and/or are not serving as vehicles for excessive short-term or other disruptive trading (in each case, the fund of funds shall agree to be subject to monitoring by Dimensional); (iii) purchases and redemptions by a feeder portfolio of a master fund’s shares; (iv) systematic or automated transactions where the shareholder, financial advisor or investment fiduciary does not exercise direct control over the investment decision; (v) retirement plan contributions, loans, loan repayments and distributions (including hardship withdrawals) identified as such in the retirement plan recordkeeper’s system; (vi) purchase transactions involving transfers of assets, rollovers, Roth IRA conversions and IRA recharacterizations; (vii) purchases of shares with Portfolio dividends or capital gain distributions; (viii) transfers and reregistrations of shares within the same Portfolio; and (ix) transactions by 529 Plans. Notwithstanding the Funds’ purchase blocking procedures, all transactions in Portfolio shares are subject to the right of the Funds and Dimensional to restrict potentially disruptive trading activity (including purchases and redemptions described above that will not be subject to the purchase blocking procedures). The Funds, Dimensional or their designees will have the ability, pursuant to Rule 22c-2 under the Investment Company Act of 1940 (the “1940 Act”), to request information from financial intermediaries, such as 401(k) plan administrators, trust companies and broker dealers (together, “Intermediaries”), concerning trades placed in 216 omnibus and other multi-investor accounts (together, “Omnibus Accounts”), in order to attempt to monitor trades that are placed by the underlying shareholders of these Omnibus Accounts. The Funds, Dimensional and their designees will use the information obtained from the Intermediaries to monitor trading in the Funds and to attempt to identify shareholders in Omnibus Accounts engaged in trading that is inconsistent with the Trading Policy or otherwise not in the best interests of the Funds. The Funds, Dimensional or their designees, when they detect trading patterns in shares of the Funds that may constitute short-term or excessive trading, will provide written instructions to the Intermediary to restrict or prohibit further purchases or exchanges of shares of the Portfolios by a shareholder that has been identified as having engaged in excessive or short-term transactions in the Portfolios’ shares (directly or indirectly through the Intermediary’s account) that violate the Trading Policy. The ability of the Funds and Dimensional to impose these limitations, including the purchase blocking procedures, on investors investing through Intermediaries is dependent on the receipt of information necessary to identify transactions by the underlying investors and the Intermediary’s cooperation in implementing the Trading Policy. Investors seeking to engage in excessive short-term trading practices may deploy a variety of strategies to avoid detection, and despite the efforts of the Funds and Dimensional to prevent excessive short- term trading, there is no assurance that the Funds, Dimensional or their agents will be able to identify those shareholders or curtail their trading practices. The ability of the Funds, Dimensional and their agents to detect and limit excessive short-term trading also may be restricted by operational systems and technological limitations. Transactions in certain rebalancing programs and asset allocation programs, or fund-of-funds products, may be exempt from the Trading Policy subject to approval by the CCO. In addition, the purchase blocking procedures will not apply to a redemption transaction in which a Portfolio distributes portfolio securities to a shareholder in- kind, where the redemption will not disrupt the efficient portfolio management of the Portfolio/Master Fund/ Underlying Fund and the redemption is consistent with the interests of the remaining shareholders of the Portfolio/Master Fund/Underlying Fund. The purchase blocking procedures of the Trading Policy do not apply to shareholders whose shares are held on the books of certain Intermediaries that have not expressly adopted procedures to implement this Policy. The Funds and Dimensional may work with Intermediaries to implement purchase blocking procedures or other procedures that the Funds and Dimensional determine are reasonably designed to achieve the objective of this Trading Policy. At the time the Intermediaries adopt these procedures, shareholders whose accounts are on the books of such Intermediaries will be subject to the Trading Policy’s purchase blocking procedures or another frequent trading policy that achieves the objective of the purchase blocking procedures. Investors that invest in the Portfolios through an Intermediary should contact the Intermediary for information concerning the policies and procedures that apply to the investor. As of the date of this Prospectus, the ability of the Funds and Dimensional to apply the purchase blocking procedures on purchases by all investors and the ability of the Funds and Dimensional to monitor trades through Omnibus Accounts maintained by Intermediaries may be restricted due to systems limitations of both the Funds’ service providers and the Intermediaries. The Funds expect that the application of the Trading Policy as described above, including the purchase blocking procedures (subject to the limitations described above), will be able to be implemented by Intermediaries in compliance with Rule 22c-2 under the 1940 Act. In addition to monitoring trade activity, the Board has adopted fair value pricing procedures that govern the pricing of the securities of the Portfolios, Master Funds and Underlying Funds. These procedures are designed to help ensure that the prices at which Portfolio shares are purchased and redeemed are fair, and do not result in dilution of shareholder interests or other harm to shareholders. See the discussion under “VALUATION OF SHARES—Net Asset Value” for additional details regarding fair value pricing of the Portfolio’s securities. Although the procedures are designed to discourage excessive short-term trading, none of the procedures individually nor all of the procedures taken together can completely eliminate the possibility that excessive short- term trading activity in a Portfolio may occur. The Portfolios, Master Funds and Underlying Funds do not knowingly accommodate excessive or disruptive trading activities, including market timing. 217 Valuation of Shares NET ASSET VALUE The net asset value per share of each class of each Portfolio and the net asset value per share of each Master Fund and Underlying Fund is calculated after the close of the NYSE (normally, 4:00 p.m. ET) by dividing the total value of the investments and other assets of the Portfolio, Master Fund or Underlying Fund less any liabilities, by the total outstanding shares of the stock of the respective Portfolio, Master Fund or Underlying Fund.Note:The time at which transactions and shares are priced may be changed in case of an emergency or if the NYSE closes at a time other than 4:00 p.m. ET. The value of the shares of each Non-Feeder Portfolio will fluctuate in relation to its own investment experience. The value of the shares of the Feeder Portfolios and Funds of Funds will fluctuate in relation to the investment experience of the Master Funds or Underlying Funds in which such Portfolios invest. Securities held by the Portfolios, Master Funds and Underlying Funds will be valued in accordance with applicable laws and procedures adopted by the Board of Directors or Trustees, and generally, as described below. Securities held by the Portfolios, Master Funds and Underlying Funds (including over-the-counter securities) are valued at the last quoted sale price of the day. Securities held by the Portfolios, Master Funds and Underlying Funds that are listed on Nasdaq are valued at the Nasdaq Official Closing Price (“NOCP”). If there is no last reported sale price or NOCP of the day, the Portfolios, Master Funds and Underlying Funds value the securities within the range of the most recent quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end investment companies, such as the Master Funds and Underlying Funds, are valued using their respective net asset values or public offering prices, as appropriate, for purchase orders placed at the close of the NYSE. Debt securities will be valued on the basis of prices provided by one or more pricing services or other reasonably reliable sources including broker/dealers that typically handle the purchase and sale of such securities. Securities which are traded over-the-counter and on a stock exchange generally will be valued according to the broadest and most representative market, and it is expected that for bonds and other fixed income securities, this ordinarily will be the over-the-counter market. The value of the securities and other assets of the Portfolios, Master Funds and Underlying Funds for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are determined in good faith at fair value in accordance with procedures adopted by the Board of Directors or Trustees, as the case may be. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of the Advisor) occur before the net asset value is calculated. When fair value pricing is used, the prices of securities used by the Portfolios, Master Funds and Underlying Funds may differ from the quoted or published prices for the same securities on their primary markets or exchanges. To the extent that a Portfolio, Master Fund or Underlying Fund holds large numbers of securities, it is likely that it will have a larger number of securities that may be deemed illiquid and therefore must be valued pursuant to special procedures adopted by the Board of Directors or Trustees, than would a fund that holds a smaller number of securities. Portfolios that invest in small capitalization companies are more likely to hold illiquid securities than would a fund that invests in larger capitalization companies. As of the date of this Prospectus, the Portfolios, Master Funds and Underlying Funds holding foreign equity securities (the “Foreign Equity Funds”) will also fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times before 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 Foreign Equity Funds are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the Foreign Equity Funds price their shares at the close of the NYSE, the Foreign Equity Funds 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. 218 The fair value prices will attempt to reflect the impact of the U.S. financial markets’ perceptions and trading activities on the Foreign Equity Funds’ 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 Boards of Directors/Trustees of the Foreign Equity Funds have determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable, and may trigger fair value pricing. Consequently, fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the Foreign Equity Funds utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When a Foreign Equity Fund uses fair value pricing, the values assigned to the Foreign Equity Fund’s foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. The Boards of Directors/Trustees of the Foreign Equity Funds monitor the operation of the method used to fair value price the Foreign Equity Funds’ foreign investments. Valuing securities at fair value involves greater reliance on judgment than valuing securities that have readily available market quotations. There can be no assurance that a Portfolio, Master Fund or Underlying Fund could obtain the fair value assigned to a security if it were to sell the security at approximately the time at which the Portfolio, Master Fund or Underlying Fund determines its net asset value per share. As a result, the sale or redemption by a Portfolio, Master Fund or Underlying Fund of its shares at net asset value, at a time when a holding or holdings are valued at fair value, may have the effect of diluting or increasing the economic interest of existing shareholders. The net asset values per share of the International Portfolios (in respect to those Portfolios that are Feeder Portfolios or Funds of Funds, the Master Funds or Underlying Funds, respectively) are expressed in U.S. dollars by translating the net assets of each Portfolio, Master Fund or Underlying Fund using the mean of the most recent bid and asked prices for the dollar as quoted by generally recognized reliable sources. Because the International Portfolios and Master Funds and the International Underlying Funds own securities that are primarily listed on foreign exchanges which may trade on days when the Portfolios, Master Funds and Underlying Funds do not price their shares, the net asset values of the International Portfolios and such Master Funds and Underlying Funds may change on days when shareholders will not be able to purchase or redeem shares. The Portfolios, Master Funds and Underlying Funds generally calculate their net asset values per share and accept purchase and redemption orders on days that the NYSE is open for trading. Certain of the securities holdings of the DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, World ex U.S. Value Portfolio, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio, World Core Equity Portfolio, the Emerging Markets Series, Emerging Markets Small Cap Series, the Emerging Markets Value Fund and Emerging Markets Core Equity Portfolio in Approved Markets may be subject to tax, investment and currency repatriation regulations of the Approved Markets that could have a material effect on the values of the securities. For example, such funds might be subject to different levels of taxation on current income and realized gains depending upon the holding period of the securities. In general, a longer holding period (e.g., 5 years) may result in the imposition of lower tax rates than a shorter holding period (e.g., 1 year). The DFA Global Real Estate Securities Portfolio, the DFA International Real Estate Securities Portfolio, World ex U.S. Value Portfolio, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio, World Core Equity Portfolio, the Emerging Markets Master Funds and the Emerging Markets Core Equity Portfolio may also be subject to certain contractual arrangements with investment authorities in an Approved Market which require a Master Fund or Portfolio to maintain minimum holding periods or to limit the extent of repatriation of income and realized gains. Futures contracts are valued using the settlement price established each day on the exchange on which they are traded. The value of such futures contracts held by a Portfolio, Master Fund or Underlying Fund is determined each day as of such close. Swap contracts generally are valued at a price at which the counterparties to such contracts would repurchase the instrument or terminate the contracts. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. 219 PUBLIC OFFERING PRICE Provided that the transfer agent has received the investor’s purchase order in good order as described in “PURCHASE OF SHARES,”shares of the Portfolio selected will be priced at the public offering price, which is the net asset value of the shares next determined after receipt of such order. The transfer agent or the Funds may, from time to time, appoint sub-transfer agents or various financial intermediaries (“Intermediaries”) for the receipt of purchase orders, redemption orders and funds from certain investors. Intermediaries, in turn, are authorized to designate other financial intermediaries (“Sub-designees”) to receive purchase and redemption orders for the Portfolios’ shares from investors. With respect to such investors, the shares of the Portfolio selected will be priced at the public offering price calculated after receipt of the purchase order by the Intermediary or Sub-designee, as applicable, that is authorized to receive purchase orders. If the investor buys shares through an Intermediary or a Sub-designee, the purchase price will be the public offering price next calculated after the Intermediary or Sub-designee, as applicable, receives the order, rather than on the day the custodian receives the investor’s payment (provided that the Intermediary or Sub-designee, as applicable, has received the investor’s purchase order in good order, and the investor has complied with the Intermediary’s or Sub-designee’s payment procedures). No reimbursement fee or sales charge is imposed on purchases. If an order to purchase shares must be canceled due to non-payment, the purchaser will be responsible for any loss incurred by a Portfolio arising out of such cancellation. The Funds reserve the right to redeem shares owned by any purchaser whose order is canceled to recover any resulting loss to a Portfolio and may prohibit or restrict the manner in which such purchaser may place further orders. When authorized by a Fund, certain financial institutions purchasing a Portfolio’s shares on behalf of customers or plan participants may place a purchase order unaccompanied by payment. Payment for these shares must be received by the time designated by the Fund (not to exceed the period established for settlement under applicable regulations). If payment is not received by this time, the order may be cancelled. The financial institution is responsible for any costs or losses incurred by the Fund if payment is not received or delayed. Exchange of Shares Investors may exchange Institutional Class shares of one Portfolio for Institutional Class shares of another Portfolio by first contacting the Portfolio’s transfer agent at (888) 576-1167 to notify the transfer agent of the proposed exchange, and then sending a letter of instruction to the transfer agent by fax at (888) 985-2758. Shareholders that invest in the Portfolios through a financial intermediary should contact their financial intermediary for information regarding exchanges. Exchanges are accepted into those Portfolios that are eligible for the exchange privilege, subject to the purchase requirement set forth in the applicable Portfolio’s prospectus. Investors may contact the transfer agent at the above-listed phone number for more information on such exchanges, for a list of those Portfolios that accept exchanges, and to request a copy of the prospectuses of other Portfolios of DFA Investment Dimensions Group Inc. or Dimensional Investment Group Inc. that may be offered in an exchange. There is no fee imposed on an exchange. However, the Funds reserve the right to impose an administrative fee in order to cover the costs incurred in processing an exchange. Any such fee will be disclosed in the Prospectus. An exchange is treated as a redemption and a purchase. Therefore, an investor could realize a taxable gain or a loss on the transaction. The Funds reserve the right to revise or terminate the exchange privilege, or limit the amount of or reject any exchange, as deemed necessary, at any time. The exchange privilege is not intended to afford shareholders a way to speculate on short-term movements in the markets. Accordingly, in order to prevent excessive use of the exchange privilege that may potentially disrupt the management of the Portfolios or otherwise adversely affect the Funds, any proposed exchange will be subject to the approval of the Advisor. Such approval will depend on: (i) the size of the proposed exchange; (ii) the prior number of exchanges by that shareholder; (iii) the nature of the underlying securities and the cash position of the Portfolios involved in the proposed exchange; (iv) the transaction costs involved in processing the exchange; and (v) the total number of redemptions by exchange already made out of a Portfolio. Excessive use of the exchange privilege is defined as any pattern of exchanges among portfolios by an investor that evidences market timing. 220 The redemption and purchase prices of shares redeemed and purchased by exchange, respectively, are the net asset values next determined after the transfer agent has received a letter of instruction in good order. “Good order” means a completed letter of instruction specifying the dollar amount to be exchanged, signed by all registered owners (or representatives thereof) of the shares; and if a Fund does not have on file the authorized signatures for the account, proof of authority. Exchanges will be accepted only if the shares of the Portfolio being acquired are registered in the investor’s state of residence. Redemption of Shares REDEMPTION PROCEDURE Investors who desire to redeem shares of a Portfolio must first contact the Portfolio’s transfer agent at (888) 576- 1167. Shareholders who invest in the Portfolios through a financial intermediary should contact their financial intermediary regarding redemption procedures. Each Portfolio will redeem shares at the net asset value of such shares next determined, after receipt of a written request for redemption in good order, by the transfer agent (or by an Intermediary or a Sub-designee, if applicable). “Good order” means that the request to redeem shares must include all necessary documentation, to be received in writing by the transfer agent no later than the close of regular trading on the NYSE (normally, 4:00 p.m. ET) (“Market Close”), including but not limited to, a letter of instruction specifying the number of shares or dollar amount to be redeemed, signed by all registered owners (or representatives thereof) of the shares and, if a Fund does not have on file the authorized signatures for the account, proof of authority. It is the investor or financial intermediary’s responsibility to ensure notification is received in good order by the transfer agent prior to the Market Close on the redemption date. Under certain conditions, Portfolios may accept and process redemption orders after the close of the NYSE on days that the NYSE unexpectedly closes early and may accept orders on a business day that the NYSE is unexpectedly closed. All orders will be processed at the next determined net asset value per share. Shareholders redeeming shares who do not already have an agreement in place with a Fund and have authorized redemption payment by wire in writing, may request that redemption proceeds be paid in federal funds wired to the bank they have designated in writing. The Funds reserve the right to send redemption proceeds by check in their discretion; a shareholder may request overnight delivery of such check at the shareholder’s own expense. If the proceeds are to be wired to a bank account that differs from the standing instructions on file, or paid by check to an address other than the address of record, the transfer agent may request a Medallion Signature Guarantee. If the proceeds are wired to the shareholder’s account at a bank that is not a member of the Federal Reserve System, there could be a delay in crediting the funds to the shareholder’s bank account. The Funds reserve the right at any time to suspend or terminate the redemption by wire procedure after prior notification to shareholders. No fee is charged for redemptions. The redemption of all shares in an account will result in the account being closed. A new Account Registration Form will be required for future investments. See “PURCHASE OF SHARES.” In the interests of economy and convenience, certificates for shares are not issued. Under certain circumstances and when deemed in the best interest of a Portfolio, redemption proceeds may take up to seven calendar days to be sent after receipt of the redemption request. In addition, with respect to investors redeeming shares that were purchased by check, payment will not be made until the Funds can verify that the payments for the purchase have been, or will be, collected, which may take up to ten days or more. Investors may avoid this delay by submitting a certified check along with the purchase order. REDEMPTION OF SMALL ACCOUNTS With respect to each Portfolio, the Funds reserve the right to redeem an account if the value of the shares in a specific Portfolio is $500 or less. Before a Fund involuntarily redeems shares from such an account and sends the proceeds to the stockholder, the Fund will give written notice of the redemption to the stockholder at least sixty days before the redemption date. The stockholder will then have sixty days from the date of the notice to make an additional investment in order to bring the value of the shares in the account for a specific Portfolio to more than $500 and avoid such involuntary redemption. The redemption price to be paid to a stockholder for shares 221 redeemed by a Fund under this right will be the aggregate net asset value of the shares in the account at the close of business on the redemption date. IN-KIND REDEMPTIONS When in the best interests of a Portfolio, a Portfolio that is not a Feeder Portfolio or Fund of Funds may also make a redemption payment, in whole or in part, by a distribution of portfolio securities that the Portfolio owns in lieu of cash. When in the best interests of a Feeder Portfolio or Fund of Funds, the Portfolio may make a redemption payment, in whole or in part, by a distribution of portfolio securities that the Feeder Portfolio or Fund of Funds receives from the Master Fund or Underlying Funds in lieu of cash. Such distributions will be made in accordance with the federal securities laws and regulations governing mutual funds. The securities that the investor receives as redemption proceeds are subject to market risk until the investor liquidates those securities, and, if the proceeds include illiquid securities, the investor will bear the risk of not being able to sell the securities at all. Investors may also incur brokerage charges and other transaction costs selling securities that were received in payment of redemptions. The International Portfolios reserve the right to redeem their shares in the currencies in which their investments (and, in respect of the Feeder Portfolios and Funds of Funds, the currencies in which the investments of the corresponding Master Funds or Underlying Funds) are denominated. Investors may incur charges in converting such securities to dollars and the value of the securities may be affected by currency exchange fluctuations. The Feeder Portfolios Other institutional investors, including other mutual funds, may invest in each Master Fund. Accordingly, the expenses of such other funds and, correspondingly, their returns may differ from those of the Feeder Portfolios. Please contact The DFA Investment Trust Company and the Dimensional Emerging Markets Value Fund at 6300 Bee Cave Road, Building One, Austin, TX 78746, (512) 306-7400 for information about the availability of investing in a Master Fund other than through a Feeder Portfolio. The aggregate amount of expenses for a Feeder Portfolio and the corresponding Master Fund may be greater than it would be if the Portfolio were to invest directly in the securities held by the corresponding Master Fund. However, the total expense ratios for the Feeder Portfolios and the Master Funds are expected to be less over time than such ratios would be if the Portfolios were to invest directly in the underlying securities. This arrangement enables various institutional investors, including the Feeder Portfolios, to pool their assets, which may be expected to result in economies by spreading certain fixed costs over a larger asset base. Each shareholder in a Master Fund, including a Feeder Portfolio, will pay its proportionate share of the expenses of that Master Fund. By investing in shares of the International Master Funds, Global Small Company Portfolio and International Small Company Portfolio will indirectly bear their pro rata share of the operating expenses, management expenses and brokerage costs of such Master Funds, as well as the expense of operating the Portfolio. The shares of the Master Funds will be offered to institutional investors for the purpose of increasing the funds available for investment, to reduce expenses as a percentage of total assets and to achieve other economies that might be available at higher asset levels. Investment in a Master Fund by other institutional investors offers potential benefits to the Master Funds, and through their investment in the Master Funds, the Feeder Portfolios also. However, such economies and expense reductions might not be achieved, and additional investment opportunities, such as increased diversification, might not be available if other institutions do not invest in the Master Funds. Also, if an institutional investor were to redeem its interest in a Master Fund, the remaining investors in that Master Fund could experience higher pro rata operating expenses, thereby producing lower returns, and the Master Fund’s security holdings may become less diverse, resulting in increased risk. Institutional investors that have a greater pro rata ownership interest in a Master Fund than the corresponding Feeder Portfolio could have effective voting control over the operation of the Master Fund. If the Board of Directors of the relevant Fund determines that it is in the best interest of a Feeder Portfolio, the Feeder Portfolio may withdraw its investment in a Master Fund at any time. Upon any such withdrawal, the Board 222 would consider what action the Portfolio might take, including either seeking to invest its assets in another registered investment company with the same investment objective as the Portfolio, which might not be possible, or retaining an investment advisor to manage the Portfolio’s assets in accordance with its own investment objective, possibly at increased cost. Shareholders of a Feeder Portfolio will receive written notice thirty days before the effective date of any change in the investment objective of its corresponding Master Fund. A withdrawal by a Feeder Portfolio of its investment in the corresponding Master Fund could result in a distribution in kind of portfolio securities (as opposed to a cash distribution) to the Portfolio. Should such a distribution occur, the Portfolio could incur brokerage fees or other transaction costs in converting such securities to cash in order to pay redemptions. In addition, a distribution in kind to the Portfolio could result in a less diversified portfolio of investments and could affect adversely the liquidity of the Portfolio. Any net capital gains so realized will be distributed to such a Portfolio’s shareholders as described in “DIVIDENDS, CAPITAL GAINS DISTRIBUTIONS AND TAXES.” Disclosure of Portfolio Holdings Each Portfolio, Master Fund and Underlying Fund generally will disclose up to its 25 largest portfolio holdings (or with respect to a Feeder Portfolio, the holdings of its Master Fund) (other than cash and cash equivalents) and the percentages that each of these largest portfolio holdings represent of the total assets of the Portfolio, Master Fund or Underlying Fund, as of the most recent month-end, online at the Advisor’s public website, http://us.dimensional.com, within 20 days after the end of each month. Each Portfolio, Master Fund and Underlying Fund also generally will disclose its complete portfolio holdings (or with respect to a Feeder Portfolio, the holdings of its Master Fund) (other than cash and cash equivalents), as of month-end, online at the Advisor’s public website, 30 days following the month-end or more frequently and at different periods when authorized in accordance with the Portfolios, Master Funds and Underlying Funds’ policies and procedures. Please consult the SAI for a description of the other policies and procedures that govern disclosure of the portfolio holdings by the Portfolios, Master Funds and Underlying Funds. Delivery of Shareholder Documents To eliminate duplicate mailings and reduce expenses, the Portfolios may deliver a single copy of certain shareholder documents, such as this Prospectus and annual and semi-annual reports, to related shareholders at the same address, even if accounts are registered in different names. This practice is known as “householding.” The Portfolios will not household personal information documents, such as account statements. If you do not want the mailings of these documents to be combined with other members of your household, please call the transfer agent at (888) 576-1167. We will begin sending individual copies of the shareholder documents to you within 30 days of receiving your request. Financial Highlights The Financial Highlights table is meant to help you understand each Portfolio’s financial performance for the past 5 years or, if shorter, the period of that Portfolio’s operations, as indicated by the table. The total returns in the table represent the rate that you would have earned (or lost) on an investment in the Portfolio, assuming reinvestment of all dividends and distributions. This information has been audited by PricewaterhouseCoopers LLP, whose report, along with the Portfolios’ financial statements, is included in the annual reports. Further information about the Portfolios’ performance is contained in the annual reports, which are available upon request. 223 Dimensional Investment Group Inc. Financial Highlights (For a share outstanding throughout each period) U.S. Large Company Portfolio Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 16.42 $ 15.94 $ 13.87 $ 11.15 $ 9.90 Income From Investment Operations Net Investment Income (Loss)#0.35 0.33 0.29 0.27 0.22 Net Gains (Losses) on Securities (Realized and Unrealized)0.38 0.47 2.07 2.71 1.25 Total From Investment Operations 0.73 0.80 2.36 2.98 1.47 Less Distributions Net Investment Income (0.34) (0.32) (0.29) (0.26) (0.22) Net Realized Gains (0.14)———— Total Distributions (0.48) (0.32) (0.29) (0.26) (0.22) Net Asset Value, End of Year $ 16.67 $ 16.42 $ 15.94 $ 13.87 $ 11.15 Total Return 4.54% 5.09% 17.17% 27.10% 15.02% Net Assets, End of Year (thousands) $6,365,936 $5,810,743 $5,668,374 $4,917,336 $4,037,336 Ratio of Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.09% 0.10% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor)0.08% 0.09% 0.08% 0.10% 0.10% Ratio of Net Investment Income to Average Net Assets 2.17% 2.05% 1.95% 2.13% 2.10% Portfolio Turnover Rate 9%2%3% 3%4% # Computed using average shares outstanding. 224 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) Enhanced U.S. Large Company Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 12.54 $ 13.65 $ 11.70 $ 9.29 $ 8.15 Income From Investment Operations Net Investment Income (Loss)#0.10 0.07 0.07 0.07 0.07 Net Gains (Losses) on Securities (Realized and Unrealized)0.45 0.53 1.94 2.42 1.20 Total From Investment Operations 0.55 0.60 2.01 2.49 1.27 Less Distributions Net Investment Income (0.08) (0.05) (0.06) (0.08) (0.13) Net Realized Gains (0.79) (1.66) ——— Total Distributions (0.87) (1.71) (0.06) (0.08) (0.13) Net Asset Value, End of Year $ 12.22 $ 12.54 $ 13.65 $ 11.70 $ 9.29 Total Return 4.75% 5.25% 17.18% 26.99% 15.84% Net Assets, End of Year (thousands)$238,413 $203,641 $216,719 $212,840 $190,011 Ratio of Expenses to Average Net Assets 0.23% 0.24% 0.23% 0.24% 0.25% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)0.24% 0.24% 0.23% 0.24% 0.25% Ratio of Net Investment Income to Average Net Assets 0.80% 0.53% 0.55% 0.63% 0.80% Portfolio Turnover Rate 119% 223% 202% 139% 76% # Computed using average shares outstanding. 225 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) U.S. Large Cap Equity Portfolio Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Period June 25, 2013* to Oct. 31, 2013 Net Asset Value, Beginning of Period $ 12.86 $ 12.65 $ 11.07 $ 10.00 Income From Investment Operations Net Investment Income (Loss)#0.25 0.23 0.21 0.06 Net Gains (Losses) on Securities (Realized and Unrealized)0.19 0.21 1.57 1.04 Total from Investment Operations 0.44 0.44 1.78 1.10 Less Distributions Net Investment Income (0.24) (0.21) (0.20) (0.03) Net Realized Gains — (0.02) —— Total Distributions (0.24) (0.23) (0.20) (0.03) Net Asset Value, End of Period $ 13.06 $ 12.86 $ 12.65 $ 11.07 Total Return 3.51% 3.49% 16.19% 11.01%† Net Assets, End of Period (thousands)$851,323 $699,144 $274,955 $135,407 Ratio of Expenses to Average Net Assets 0.18% 0.19% 0.19% 0.19%@^ Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)0.17% 0.19% 0.20% 0.25%@^ Ratio of Net Investment Income to Average Net Assets 1.99% 1.77% 1.75% 1.58%@^ Portfolio Turnover Rate 12% 12% 1%0%† # Computed using average shares outstanding. ^ Annualized. † Non-Annualized. * Commencement of operations. @Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. 226 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) U.S. Large Cap Value Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 33.27 $ 33.75 $ 29.72 $ 22.34 $ 19.29 Income From Investment Operations Net Investment Income (Loss)# 0.70 0.69 0.56 0.47 0.41 Net Gains (Losses) on Securities (Realized and Unrealized) 0.71 (0.32) 4.02 7.38 3.04 Total From Investment Operations 1.41 0.37 4.58 7.85 3.45 Less Distributions Net Investment Income (0.70) (0.66) (0.55) (0.47) (0.40) Net Realized Gains (1.35) (0.19) — — — Total Distributions (2.05) (0.85) (0.55) (0.47) (0.40) Net Asset Value, End of Year $ 32.63 $ 33.27 $ 33.75 $ 29.72 $ 22.34 Total Return 4.58% 1.16% 15.49% 35.52% 18.14% Net Assets, End of Year (thousands) $17,673,253 $15,807,935 $15,146,981 $11,963,072 $8,334,585 Ratio of Expenses to Average Net Assets* 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 and Fees Paid Indirectly)* 0.37% 0.30% 0.27% 0.27% 0.27% Ratio of Net Investment Income to Average Net Assets 2.24% 2.04% 1.75% 1.82% 1.99% # Computed using average shares outstanding. * Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund. 227 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) U.S. Small Cap Value Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 33.08 $ 35.82 $ 34.48 $ 26.57 $ 23.50 Income From Investment Operations Net Investment Income (Loss)# 0.32 0.41 0.23 0.39 0.20 Net Gains (Losses) on Securities (Realized and Unrealized) 1.06 (1.44) 2.93 9.41 3.38 Total From Investment Operations 1.38 (1.03) 3.16 9.80 3.58 Less Distributions Net Investment Income (0.33) (0.38) (0.22) (0.37) (0.18) Net Realized Gains (1.38) (1.33) (1.60) (1.52) (0.33) Total Distributions (1.71) (1.71) (1.82) (1.89) (0.51) Net Asset Value, End of Year $ 32.75 $ 33.08 $ 35.82 $ 34.48 $ 26.57 Total Return 4.49% (2.83)% 9.49% 39.35% 15.60% Net Assets, End of Year (thousands) $12,613,185 $11,680,262 $11,512,306 $9,526,981 $7,088,470 Ratio of Expenses to Average Net Assets 0.52% 0.52% 0.52% 0.52% 0.52% Ratio of Net Investment Income to Average Net Assets 1.01% 1.18% 0.66% 1.28% 0.78% Portfolio Turnover Rate 19% 17% 9% 14% 15% # Computed using average shares outstanding. 228 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) U.S. Targeted Value Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 21.56 $ 23.16 $ 22.60 $ 17.28 $ 15.32 Income From Investment Operations Net Investment Income (Loss)# 0.25 0.29 0.21 0.24 0.17 Net Gains (Losses) on Securities (Realized and Unrealized) 0.60 (0.61) 1.85 6.31 2.06 Total From Investment Operations 0.85 (0.32) 2.06 6.55 2.23 Less Distributions Net Investment Income (0.26) (0.27) (0.18) (0.25) (0.15) Net Realized Gains (0.89) (1.01) (1.32) (0.98) (0.12) Total Distributions (1.15) (1.28) (1.50) (1.23) (0.27) Net Asset Value, End of Year $ 21.26 $ 21.56 $ 23.16 $ 22.60 $ 17.28 Total Return 4.29% (1.20)% 9.58% 40.40% 14.78% Net Assets, End of Year (thousands) $7,884,683 $6,987,896 $5,490,959 $4,180,974 $2,989,632 Ratio of Expenses to Average Net Assets 0.37% 0.37% 0.37% 0.37% 0.38% Ratio of Net Investment Income to Average Net Assets 1.24% 1.28% 0.90% 1.25% 1.03% Portfolio Turnover Rate 28% 15% 10% 16% 20% # Computed using average shares outstanding. 229 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) U.S. Core Equity 1 Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 17.90 $ 17.71 $ 15.74 $ 12.11 $ 10.78 Income From Investment Operations Net Investment Income (Loss)# 0.33 0.31 0.27 0.25 0.21 Net Gains (Losses) on Securities (Realized and Unrealized) 0.30 0.26 2.02 3.62 1.32 Total From Investment Operations 0.63 0.57 2.29 3.87 1.53 Less Distributions Net Investment Income (0.32) (0.30) (0.25) (0.24) (0.20) Net Realized Gains (0.21) (0.08) (0.07) — — Total Distributions (0.53) (0.38) (0.32) (0.24) (0.20) Net Asset Value, End of Year $ 18.00 $ 17.90 $ 17.71 $ 15.74 $ 12.11 Total Return 3.68% 3.26% 14.72% 32.32% 14.29% Net Assets, End of Year (thousands) $14,960,159 $13,275,774 $10,780,830 $7,566,179 $4,876,973 Ratio of Expenses to Average Net Assets 0.19% 0.19% 0.19% 0.19% 0.19% Ratio of Net Investment Income to Average Net Assets 1.88% 1.71% 1.61% 1.79% 1.79% Portfolio Turnover Rate 4% 4% 5% 1% 3% # Computed using average shares outstanding. 230 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) U.S. Core Equity 2 Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 17.26 $ 17.34 $ 15.62 $ 11.99 $ 10.61 Income From Investment Operations Net Investment Income (Loss)# 0.31 0.30 0.26 0.24 0.20 Net Gains (Losses) on Securities (Realized and Unrealized) 0.25 0.02 1.86 3.73 1.36 Total From Investment Operations 0.56 0.32 2.12 3.97 1.56 Less Distributions Net Investment Income (0.30) (0.28) (0.24) (0.24) (0.18) Net Realized Gains (0.33) (0.12) (0.16) (0.10) — Total Distributions (0.63) (0.40) (0.40) (0.34) (0.18) Net Asset Value, End of Year $ 17.19 $ 17.26 $ 17.34 $ 15.62 $ 11.99 Total Return 3.47% 1.92% 13.78% 33.66% 14.81% Net Assets, End of Year (thousands) $16,851,046 $15,200,564 $12,919,176 $9,989,564 $6,923,984 Ratio of Expenses to Average Net Assets 0.22% 0.22% 0.22% 0.22% 0.22% Ratio of Net Investment Income to Average Net Assets 1.87% 1.68% 1.55% 1.74% 1.74% Portfolio Turnover Rate 4% 5% 6% 3% 5% # Computed using average shares outstanding. 231 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) U.S. Vector Equity Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 16.22 $ 17.04 $ 15.62 $ 11.61 $ 10.28 Income From Investment Operations Net Investment Income (Loss)# 0.25 0.25 0.21 0.20 0.16 Net Gains (Losses) on Securities (Realized and Unrealized) 0.24 (0.30) 1.62 4.03 1.32 Total From Investment Operations 0.49 (0.05) 1.83 4.23 1.48 Less Distributions Net Investment Income (0.25) (0.24) (0.19) (0.20) (0.15) Net Realized Gains (0.53) (0.53) (0.22) (0.02) — Total Distributions (0.78) (0.77) (0.41) (0.22) (0.15) Net Asset Value, End of Year $ 15.93 $ 16.22 $ 17.04 $ 15.62 $ 11.61 Total Return 3.28% (0.18)% 11.91% 36.80% 14.55% Net Assets, End of Year (thousands) $3,822,647 $3,651,529 $3,501,319 $2,893,842 $2,009,177 Ratio of Expenses to Average Net Assets 0.32% 0.32% 0.32% 0.32% 0.32% Ratio of Net Investment Income to Average Net Assets 1.64% 1.50% 1.26% 1.50% 1.45% Portfolio Turnover Rate 10% 10% 10% 3% 9% # Computed using average shares outstanding. 232 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) U.S. Small Cap Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 30.84 $ 31.38 $ 30.03 $ 23.11 $ 20.55 Income From Investment Operations Net Investment Income (Loss)# 0.34 0.35 0.26 0.35 0.25 Net Gains (Losses) on Securities (Realized and Unrealized) 0.77 0.33 2.27 8.13 2.53 Total From Investment Operations 1.11 0.68 2.53 8.48 2.78 Less Distributions Net Investment Income (0.35) (0.33) (0.24) (0.36) (0.22) Net Realized Gains (1.46) (0.89) (0.94) (1.20) — Total Distributions (1.81) (1.22) (1.18) (1.56) (0.22) Net Asset Value, End of Year $ 30.14 $ 30.84 $ 31.38 $ 30.03 $ 23.11 Total Return 3.89% 2.34% 8.67% 39.03% 13.61% Net Assets, End of Year (thousands) $12,977,199 $10,616,542 $9,247,716 $7,446,827 $4,563,345 Ratio of Expenses to Average Net Assets 0.37% 0.37% 0.37% 0.37% 0.37% Ratio of Net Investment Income to Average Net Assets 1.16% 1.10% 0.86% 1.33% 1.14% Portfolio Turnover Rate 10% 11% 9% 10% 16% # Computed using average shares outstanding. 233 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) U.S. Micro Cap Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 19.00 $ 20.10 $ 19.64 $ 14.84 $ 13.24 Income From Investment Operations Net Investment Income (Loss)# 0.16 0.16 0.14 0.19 0.14 Net Gains (Losses) on Securities (Realized and Unrealized) 0.60 0.02 1.35 5.57 1.59 Total From Investment Operations 0.76 0.18 1.49 5.76 1.73 Less Distributions Net Investment Income (0.16) (0.16) (0.13) (0.20) (0.13) Net Realized Gains (1.02) (1.12) (0.90) (0.76) — Total Distributions (1.18) (1.28) (1.03) (0.96) (0.13) Net Asset Value, End of Year $ 18.58 $ 19.00 $ 20.10 $ 19.64 $ 14.84 Total Return 4.32% 1.11% 7.88% 41.34% 13.13% Net Assets, End of Year (thousands) $5,128,323 $5,007,091 $5,029,027 $4,695,831 $3,437,958 Ratio of Expenses to Average Net Assets 0.52% 0.52% 0.52% 0.52% 0.52% Ratio of Net Investment Income to Average Net Assets 0.88% 0.82% 0.69% 1.16% 0.99% Portfolio Turnover Rate 15% 14% 12% 11% 15% # Computed using average shares outstanding. 234 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) DFA Real Estate Securities Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 33.04 $ 32.24 $ 27.77 $ 25.83 $ 23.25 Income From Investment Operations Net Investment Income (Loss)# 1.09 0.90 0.72 0.67 0.57 Net Gains (Losses) on Securities (Realized and Unrealized) 1.18 0.95 4.62 1.95 2.74 Total From Investment Operations 2.27 1.85 5.34 2.62 3.31 Less Distributions Net Investment Income (0.99) (1.05) (0.87) (0.68) (0.73) Total Distributions (0.99) (1.05) (0.87) (0.68) (0.73) Net Asset Value, End of Year $ 34.32 $ 33.04 $ 32.24 $ 27.77 $ 25.83 Total Return 6.89% 5.89% 19.80% 10.28% 14.45% Net Assets, End of Year (thousands) $7,260,180 $6,553,192 $6,607,759 $4,677,418 $3,716,389 Ratio of Expenses to Average Net Assets 0.18% 0.18% 0.18% 0.18% 0.22% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly) 0.19% 0.19% 0.19% 0.19% 0.23% Ratio of Net Investment Income to Average Net Assets 3.15% 2.75% 2.48% 2.42% 2.29% Portfolio Turnover Rate 3% 4% 0% 1% 0% # Computed using average shares outstanding. 235 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) Large Cap International Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 20.36 $ 21.59 $ 22.20 $ 18.33 $ 17.91 Income From Investment Operations Net Investment Income (Loss)# 0.57 0.58 0.75 0.58 0.60 Net Gains (Losses) on Securities (Realized and Unrealized) (0.86) (1.24) (0.62) 3.90 0.40 Total From Investment Operations (0.29) (0.66) 0.13 4.48 1.00 Less Distributions Net Investment Income (0.55) (0.57) (0.74) (0.61) (0.58) Total Distributions (0.55) (0.57) (0.74) (0.61) (0.58) Net Asset Value, End of Year $ 19.52 $ 20.36 $ 21.59 $ 22.20 $ 18.33 Total Return (1.30)% (3.10)% 0.47% 24.85% 5.89% Net Assets, End of Year (thousands) $3,527,775 $3,150,334 $3,127,847 $2,755,114 $2,055,759 Ratio of Expenses to Average Net Assets 0.28% 0.29% 0.28% 0.29% 0.30% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly) 0.28% 0.29% 0.28% 0.29% 0.30% Ratio of Net Investment Income to Average Net Assets 2.95% 2.71% 3.35% 2.90% 3.38% Portfolio Turnover Rate 10% 10% 4% 5% 4% # Computed using average shares outstanding. 236 Dimensional Investment Group Inc. Financial Highlights (For a share outstanding throughout each period) DFA International Value Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 16.92 $ 18.47 $ 19.45 $ 15.72 $ 15.83 Income From Investment Operations Net Investment Income (Loss)# 0.55 0.56 0.84 0.52 0.54 Net Gains (Losses) on Securities (Realized and Unrealized) (0.63) (1.56) (0.98) 3.78 (0.12) Total from Investment Operations (0.08) (1.00) (0.14) 4.30 0.42 Less Distributions Net Investment Income (0.54) (0.55) (0.84) (0.57) (0.53) Total Distributions (0.54) (0.55) (0.84) (0.57) (0.53) Net Asset Value, End of Year $ 16.30 $ 16.92 $ 18.47 $ 19.45 $ 15.72 Total Return (0.20)% (5.58)% (0.97)% 27.90% 2.98% Net Assets, End of Year (thousands) $7,270,665 $6,795,481 $6,991,214 $6,522,355 $5,480,888 Ratio of Expenses to Average Net Assets* 0.43% 0.43% 0.43% 0.43% 0.45% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor)* 0.63% 0.49% 0.43% 0.43% 0.45% Ratio of Net Investment Income to Average Net Assets 3.51% 3.10% 4.29% 3.00% 3.54% # Computed using average shares outstanding. * Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund. 237 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) International Core Equity Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 11.69 $ 12.15 $ 12.57 $ 10.10 $ 9.89 Income From Investment Operations Net Investment Income (Loss)# 0.32 0.32 0.38 0.31 0.31 Net Gains (Losses) on Securities (Realized and Unrealized) (0.15) (0.45) (0.43) 2.47 0.20 Total From Investment Operations 0.17 (0.13) (0.05) 2.78 0.51 Less Distributions Net Investment Income (0.28) (0.33) (0.37) (0.31) (0.30) Total Distributions (0.28) (0.33) (0.37) (0.31) (0.30) Net Asset Value, End of Year $ 11.58 $ 11.69 $ 12.15 $ 12.57 $ 10.10 Total Return 1.62% (1.10)% (0.55)% 27.98% 5.49% Net Assets, End of Year (thousands) $16,983,011 $14,420,568 $12,294,542 $9,508,466 $6,482,738 Ratio of Expenses to Average Net Assets 0.38% 0.38% 0.38% 0.39% 0.40% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly) 0.38% 0.38% 0.38% 0.39% 0.40% Ratio of Net Investment Income to Average Net Assets 2.83% 2.63% 3.01% 2.80% 3.18% Portfolio Turnover Rate 2% 4% 7% 3% 5% # Computed using average shares outstanding. 238 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) International Small Company Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 17.78 $ 18.24 $ 19.40 $ 15.28 $ 15.21 Income From Investment Operations Net Investment Income (Loss)# 0.43 0.41 0.42 0.42 0.38 Net Gains (Losses) on Securities (Realized and Unrealized) 0.48 0.12 (0.62) 4.16 0.39 Total From Investment Operations 0.91 0.53 (0.20) 4.58 0.77 Less Distributions Net Investment Income (0.51) (0.42) (0.42) (0.37) (0.42) Net Realized Gains (0.40) (0.57) (0.54) (0.09) (0.28) Total Distributions (0.91) (0.99) (0.96) (0.46) (0.70) Net Asset Value, End of Year $ 17.78 $ 17.78 $ 18.24 $ 19.40 $ 15.28 Total Return 5.43% 3.30% (1.09)% 30.66% 5.63% Net Assets, End of Year (thousands) $10,387,361 $9,323,492 $8,844,517 $8,520,717 $6,423,160 Ratio of Expenses to Average Net Assets* 0.53% 0.54% 0.53% 0.54% 0.56% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor)* 0.53% 0.54% 0.53% 0.54% 0.56% Ratio of Net Investment Income to Average Net Assets 2.47% 2.30% 2.15% 2.47% 2.58% # Computed using average shares outstanding. * Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Funds. 239 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) Japanese Small Company Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 20.46 $ 19.15 $ 19.33 $ 14.99 $ 15.24 Income From Investment Operations Net Investment Income (Loss)#0.32 0.25 0.24 0.26 0.29 Net Gains (Losses) on Securities (Realized and Unrealized)2.51 1.36 0.13 4.21 (0.26) Total From Investment Operations 2.83 1.61 0.37 4.47 0.03 Less Distributions Net Investment Income (0.28) (0.30) (0.55) (0.13) (0.28) Net Realized Gains ————— Total Distributions (0.28) (0.30) (0.55) (0.13) (0.28) Net Asset Value, End of Year $ 23.01 $ 20.46 $ 19.15 $ 19.33 $ 14.99 Total Return 14.04% 8.62% 2.00% 30.06% 0.20% Net Assets, End of Year (thousands)$509,413 $463,997 $508,190 $414,132 $293,968 Ratio of Expenses to Average Net Assets* 0.54% 0.54% 0.55% 0.56% 0.57% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor)*0.64% 0.57% 0.55% 0.56% 0.57% Ratio of Net Investment Income to Average Net Assets 1.57% 1.27% 1.25% 1.51% 1.88% # Computed using average shares outstanding. * Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund. 240 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) Asia Pacific Small Company Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 19.06 $ 22.88 $ 24.82 $ 23.22 $ 23.04 Income From Investment Operations Net Investment Income (Loss)#0.71 0.75 0.83 1.01 0.87 Net Gains (Losses) on Securities (Realized and Unrealized)2.24 (3.51) (1.81) 1.37 0.58 Total From Investment Operations 2.95 (2.76) (0.98) 2.38 1.45 Less Distributions Net Investment Income (0.74) (1.06) (0.96) (0.78) (1.27) Net Realized Gains ————— Total Distributions (0.74) (1.06) (0.96) (0.78) (1.27) Net Asset Value, End of Year $ 21.27 $ 19.06 $ 22.88 $ 24.82 $ 23.22 Total Return 16.18% (12.19)% (3.84)% 10.46% 7.09% Net Assets, End of Year (thousands)$251,575 $200,270 $364,117 $331,166 $238,191 Ratio of Expenses to Average Net Assets* 0.54% 0.55% 0.55% 0.57% 0.59% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor)*0.64% 0.57% 0.55% 0.57% 0.59% Ratio of Net Investment Income to Average Net Assets 3.57% 3.67% 3.53% 4.26% 3.91% # Computed using average shares outstanding. * Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund. 241 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) United Kingdom Small Company Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 35.50 $ 35.92 $ 36.96 $ 27.81 $ 23.44 Income From Investment Operations Net Investment Income (Loss)#1.18 1.06 0.95 0.88 0.69 Net Gains (Losses) on Securities (Realized and Unrealized)(6.55) 1.95 (0.65) 9.17 4.47 Total From Investment Operations (5.37) 3.01 0.30 10.05 5.16 Less Distributions Net Investment Income (1.29) (1.05) (0.93) (0.90) (0.79) Net Realized Gains (1.63) (2.38) (0.41) — — Total Distributions (2.92) (3.43) (1.34) (0.90) (0.79) Net Asset Value, End of Year $ 27.21 $ 35.50 $ 35.92 $ 36.96 $ 27.81 Total Return (16.20)% 9.43% 0.73% 36.81% 22.82% Net Assets, End of Year (thousands)$32,323 $35,637 $35,050 $37,096 $31,316 Ratio of Expenses to Average Net Assets*0.59% 0.58% 0.58% 0.59% 0.60% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor)*0.71% 0.62% 0.62% 0.63% 0.63% Ratio of Net Investment Income to Average Net Assets 3.87% 2.99% 2.50% 2.79% 2.83% # Computed using average shares outstanding. * Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund. 242 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) Continental Small Company Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 20.74 $ 19.34 $ 20.26 $ 14.51 $ 14.66 Income From Investment Operations Net Investment Income (Loss)#0.43 0.43 0.42 0.37 0.39 Net Gains (Losses) on Securities (Realized and Unrealized)0.72 1.38 (0.90) 5.78 (0.17) Total From Investment Operations 1.15 1.81 (0.48) 6.15 0.22 Less Distributions Net Investment Income (0.41) (0.41) (0.44) (0.40) (0.37) Total Distributions (0.41) (0.41) (0.44) (0.40) (0.37) Net Asset Value, End of Year $ 21.48 $ 20.74 $ 19.34 $ 20.26 $ 14.51 Total Return 5.70% 9.37% (2.68)% 42.99% 1.85% Net Assets, End of Year (thousands)$292,117 $278,024 $168,961 $170,806 $106,316 Ratio of Expenses to Average Net Assets* 0.54% 0.55% 0.56% 0.58% 0.59% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)*0.64% 0.58% 0.56% 0.58% 0.59% Ratio of Net Investment Income to Average Net Assets 2.08% 2.09% 1.97% 2.16% 2.78% # Computed using average shares outstanding. * Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund. 243 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) DFA International Real Estate Securities Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 5.27 $ 5.63 $ 5.48 $ 5.67 $ 4.90 Income From Investment Operations Net Investment Income (Loss)# 0.20 0.19 0.22 0.22 0.27 Net Gains (Losses) on Securities (Realized and Unrealized) (0.15) (0.22) 0.19 0.25 0.75 Total From Investment Operations 0.05 (0.03) 0.41 0.47 1.02 Less Distributions Net Investment Income (0.09) (0.33) (0.26) (0.66) (0.25) Total Distributions (0.09) (0.33) (0.26) (0.66) (0.25) Net Asset Value, End of Year $ 5.23 $ 5.27 $ 5.63 $ 5.48 $ 5.67 Total Return 1.05% (0.37)% 8.21% 9.24% 22.34% Net Assets, End of Year (thousands) $4,181,623 $3,540,092 $3,088,376 $2,158,977 $1,531,708 Ratio of Expenses to Average Net Assets 0.28% 0.32% 0.38% 0.39% 0.41% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly) 0.28% 0.32% 0.38% 0.39% 0.41% Ratio of Net Investment Income to Average Net Assets 3.71% 3.64% 4.14% 4.07% 5.45% Portfolio Turnover Rate 1% 2% 1% 5% 3% # Computed using average shares outstanding. 244 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) DFA Global Real Estate Securities Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 10.59 $ 10.63 $ 9.59 $ 9.33 $ 8.21 Income From Investment Operations Net Investment Income (Loss)# 0.27 0.44 0.31 0.49 0.29 Net Gains (Losses) on Securities (Realized and Unrealized) 0.23 (0.09) 1.05 0.37 1.07 Total From Investment Operations 0.50 0.35 1.36 0.86 1.36 Less Distributions Net Investment Income (0.25) (0.39) (0.32) (0.60) (0.24) Net Realized Gains ————— Total Distributions (0.25) (0.39) (0.32) (0.60) (0.24) Net Asset Value, End of Year $ 10.84 $ 10.59 $ 10.63 $ 9.59 $ 9.33 Total Return 4.87% 3.44% 14.98% 9.74% 17.33% Net Assets, End of Year (thousands) $4,888,955 $4,059,916 $3,305,472 $2,082,707 $1,315,547 Ratio of Expenses to Average Net Assets* 0.24% 0.27% 0.32% 0.32% 0.34% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)* 0.38% 0.45% 0.55% 0.55% 0.60% Ratio of Net Investment Income to Average Net Assets 2.45% 4.16% 3.21% 5.18% 3.38% Portfolio Turnover Rate 2% 1% N/A N/A N/A # Computed using average shares outstanding. * Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Funds. 245 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) DFA International Small Cap Value Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 19.44 $ 19.55 $ 20.17 $ 15.16 $ 14.85 Income From Investment Operations Net Investment Income (Loss)# 0.44 0.38 0.37 0.37 0.34 Net Gains (Losses) on Securities (Realized and Unrealized) 0.29 0.22 (0.34) 5.21 0.61 Total From Investment Operations 0.73 0.60 0.03 5.58 0.95 Less Distributions Net Investment Income (0.58) (0.37) (0.35) (0.36) (0.36) Net Realized Gains (0.28) (0.34) (0.30) (0.21) (0.28) Total Distributions (0.86) (0.71) (0.65) (0.57) (0.64) Net Asset Value, End of Year $ 19.31 $ 19.44 $ 19.55 $ 20.17 $ 15.16 Total Return 4.09% 3.31% 0.13% 37.79% 6.92% Net Assets, End of Year (thousands) $13,009,729 $12,577,575 $11,684,771 $11,148,899 $8,266,610 Ratio of Expenses to Average Net Assets 0.68% 0.69% 0.68% 0.69% 0.71% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly) 0.68% 0.69% 0.68% 0.69% 0.71% Ratio of Net Investment Income to Average Net Assets 2.38% 1.94% 1.78% 2.16% 2.30% Portfolio Turnover Rate 19% 18% 8% 9% 18% # Computed using average shares outstanding. 246 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) International Vector Equity Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 10.76 $ 11.26 $ 11.75 $ 9.33 $ 9.34 Income From Investment Operations Net Investment Income (Loss)# 0.28 0.28 0.32 0.26 0.27 Net Gains (Losses) on Securities (Realized and Unrealized) 0.05 (0.41) (0.43) 2.44 0.14 Total From Investment Operations 0.33 (0.13) (0.11) 2.70 0.41 Less Distributions Net Investment Income (0.27) (0.27) (0.30) (0.25) (0.27) Net Realized Gains (0.04) (0.10) (0.08) (0.03) (0.15) Total Distributions (0.31) (0.37) (0.38) (0.28) (0.42) Net Asset Value, End of Year $ 10.78 $ 10.76 $ 11.26 $ 11.75 $ 9.33 Total Return 3.21% (1.14)% (1.05)% 29.52% 4.90% Net Assets, End of Year (thousands) $1,856,474 $1,594,914 $1,305,553 $1,090,774 $561,399 Ratio of Expenses to Average Net Assets 0.49% 0.50% 0.49% 0.51% 0.54% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly) 0.49% 0.50% 0.49% 0.51% 0.54% Ratio of Net Investment Income to Average Net Assets 2.73% 2.50% 2.64% 2.51% 2.94% Portfolio Turnover Rate 4% 8% 8% 2% 5% # Computed using average shares outstanding. 247 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) World ex U.S. Value Portfolio Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Period $ 10.28 $ 11.43 $ 11.93 $ 9.94 $ 9.96 Income From Investment Operations Net Investment Income (Loss)# 0.31 0.30 0.42 0.29 0.29 Net Gains (Losses) on Securities (Realized and Unrealized) 0.03 (1.18) (0.50) 2.02 (0.05) Total From Investment Operations 0.34 (0.88) 0.08 2.31 0.24 Less Distributions Net Investment Income (0.31) (0.27) (0.42) (0.32) (0.26) Net Realized Gains ————— Total Distributions (0.31) (0.27) (0.42) (0.32) (0.26) Net Asset Value, End of Period $ 10.31 $ 10.28 $ 11.43 $ 11.93 $ 9.94 Total Return 3.54% (7.77)% (0.81)% 23.61% 2.70% Net Assets, End of Period (thousands) $188,154 $155,301 $113,951 $117,587 $57,197 Ratio of Expenses to Average Net Assets* 0.53% 0.53% 0.57% 0.60% 0.60% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)* 0.76% 0.75% 0.76% 0.76% 0.84% Ratio of Net Investment Income to Average Net Assets 3.20% 2.69% 3.54% 2.61% 2.97% # Computed using average shares outstanding. * Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Funds. 248 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) World ex U.S. Targeted Value Portfolio Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Period Nov. 1, 2012*** to Oct. 31, 2013 Net Asset Value, Beginning of Period $ 11.44 $ 12.08 $ 12.46 $ 10.00 Income From Investment Operations Net Investment Income (Loss)#0.25 0.23 0.23 0.20 Net Gains (Losses) on Securities (Realized and Unrealized)0.55 (0.58) (0.22) 2.46 Total from Investment Operations 0.80 (0.35) 0.01 2.66 Less Distributions Net Investment Income (0.20) (0.26) (0.24) (0.20) Net Realized Gains.— (0.03) (0.15)— Total Distributions (0.20) (0.29) (0.39) (0.20) Net Asset Value, End of Period $ 12.04 $ 11.44 $ 12.08 $ 12.46 Total Return 7.18% (2.88)% 0.06% 26.90%† Net Assets, End of Period (thousands)$281,212 $227,731 $151,096 $96,010 Ratio of Expenses to Average Net Assets*0.76% 0.65% 0.69% 0.79%^** Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor)*0.77% 1.06% 1.17% 1.27%^** Ratio of Net Investment Income to Average Net Assets 2.18% 1.95% 1.84% 1.78%^** Portfolio Turnover Rate 28% 1% N/A N/A # Computed using average shares outstanding. ^ Annualized. † Non-annualized. * Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Funds. ** Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. *** Commencement of operations. 249 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) World ex U.S. Core Equity Portfolio Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Period April 9, 2013*** to Oct. 31, 2013 Net Asset Value, Beginning of Period $ 9.83 $ 10.49 $ 10.77 $ 10.00 Income From Investment Operations Net Investment Income (Loss)#0.26 0.26 0.28 0.18 Net Gains (Losses) on Securities (Realized and Unrealized)0.08 (0.72) (0.27) 0.77 Total From Investment Operations 0.34 (0.46) 0.01 0.95 Less Distributions Net Investment Income (0.24) (0.20) (0.28) (0.18) Net Realized Gains.—— (0.01)— Total Distributions (0.24) (0.20) (0.29) (0.18) Net Asset Value, End of Period $ 9.93 $ 9.83 $ 10.49 $ 10.77 Total Return 3.58% (4.50)% (0.04)% 9.62%† Net Assets, End of Period (thousands)$1,656,445 $1,170,828 $406,648 $129,720 Ratio of Expenses to Average Net Assets*0.47% 0.47% 0.47% 0.47%^** Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor)*0.47% 0.52% 0.88% 0.97%^** Ratio of Net Investment Income to Average Net Assets 2.67% 2.54% 2.59% 3.12%^** Portfolio Turnover Rate 1%1% N/A N/A # Computed using average shares outstanding. ^ Annualized. † Non-annualized. * Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Funds. ** Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. *** Commencement of operations. 250 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) World Core Equity Portfolio Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Period March 7, 2012*to October 31, 2012 Net Asset Value, Beginning of Period $ 12.94 $ 13.33 $ 12.71 $10.24 $10.00 Income From Investment Operations Net Investment Income (Loss)# 0.27 0.26 0.17 0.23 0.16 Net Gains (Losses) on Securities (Realized and Unrealized) 0.20 (0.35) 0.87 2.47 0.19 Total From Investment Operations 0.47 (0.09) 1.04 2.70 0.35 Less Distributions Net Investment Income (0.26) (0.26) (0.24) (0.23) (0.11) Net Realized Gains (0.01) (0.04) (0.18) — (0.00) Total Distributions (0.27) (0.30) (0.42) (0.23) (0.11) Net Asset Value, End of Period $ 13.14 $ 12.94 $ 13.33 $12.71 $10.24 Total Return 3.73% (0.61)% 8.36% 26.77% 3.54%† Net Assets, End of Period (thousands) $370,229 $202,655 $75,707 $1,728 $ 191 Ratio of Expenses to Average Net Assets** 0.35% 0.35% 0.35% 0.40% 0.40%^@ Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor)** 0.64% 0.65% 0.97% 5.71% 52.27%^@ Ratio of Net Investment Income to Average Net Assets 2.14% 1.95% 1.27% 2.01% 2.40%^@ * Commencement of operations. # Computed using average shares outstanding. † Non-annualized. ^ Annualized. **Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Funds. @Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. 251 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) Selectively Hedged Global Equity Portfolio Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Period Nov. 14, 2011*** to Oct. 31, 2012 Net Asset Value, Beginning of Period $ 13.50 $ 14.20 $ 13.63 $ 10.87 $ 10.00 Income From Investment Operations Net Investment Income (Loss)# 0.26 0.27 0.27 0.24 0.22 Net Gains (Losses) on Securities (Realized and Unrealized) 0.30 (0.34) 0.76 2.65 0.87 Total From Investment Operations 0.56 (0.07) 1.03 2.89 1.09 Less Distributions Net Investment Income (0.35) (0.42) (0.32) (0.10) (0.22) Net Realized Gains (0.04) (0.21) (0.14) (0.03) — Total Distributions (0.39) (0.63) (0.46) (0.13) (0.22) Net Asset Value, End of Period $ 13.67 $ 13.50 $ 14.20 $ 13.63 $ 10.87 Total Return 4.32% (0.34)% 7.83% 26.86% 11.11%† Net Assets, End of Period (thousands) $289,904 $245,106 $147,276 $91,348 $34,950 Ratio of Expenses to Average Net Assets* 0.35% 0.40% 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)* 0.64% 0.66% 0.69% 0.72% 1.00%^** Ratio of Net Investment Income to Average Net Assets 2.03% 1.93% 1.94% 1.93% 2.13%^** # Computed using average shares outstanding. ^ Annualized. † Non-annualized. * Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Funds. ** Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. *** Commencement of operations. 252 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) Emerging Markets Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 22.17 $ 26.64 $ 26.97 $ 26.06 $ 26.68 Income From Investment Operations Net Investment Income (Loss)# 0.45 0.49 0.56 0.52 0.55 Net Gains (Losses) on Securities (Realized and Unrealized) 1.95 (4.54) (0.20) 1.17 0.37 Total From Investment Operations 2.40 (4.05) 0.36 1.69 0.92 Less Distributions Net Investment Income (0.45) (0.42) (0.53) (0.50) (0.50) Net Realized Gains — — (0.16) (0.28) (1.04) Total Distributions (0.45) (0.42) (0.69) (0.78) (1.54) Net Asset Value, End of Year $ 24.12 $ 22.17 $ 26.64 $ 26.97 $ 26.06 Total Return 11.01% (15.24)% 1.33% 6.58% 4.08% Net Assets, End of Year (thousands) $4,915,400 $4,321,530 $4,073,698 $3,655,740 $2,797,177 Ratio of Expenses to Average Net Assets* 0.56% 0.57% 0.56% 0.57% 0.61% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor)* 0.66% 0.60% 0.56% 0.57% 0.61% Ratio of Net Investment Income to Average Net Assets 2.04% 1.97% 2.11% 1.97% 2.14% # Computed using average shares outstanding. * Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund. 253 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) Emerging Markets Value Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 22.22 $ 27.81 $ 29.28 $ 28.22 $ 29.02 Income From Investment Operations Net Investment Income (Loss)# 0.51 0.54 0.66 0.55 0.57 Net Gains (Losses) on Securities (Realized and Unrealized) 2.77 (5.60) (1.10) 1.67 (0.44) Total From Investment Operations 3.28 (5.06) (0.44) 2.22 0.13 Less Distributions Net Investment Income (0.66) (0.53) (0.61) (0.57) (0.54) Net Realized Gains — — (0.42) (0.59) (0.39) Total Distributions (0.66) (0.53) (1.03) (1.16) (0.93) Net Asset Value, End of Year $ 24.84 $ 22.22 $ 27.81 $ 29.28 $ 28.22 Total Return 15.23% (18.27)% (1.51)% 8.01% 0.70% Net Assets, End of Year (thousands) $16,304,321 $14,834,888 $18,647,276 $19,162,837 $16,589,619 Ratio of Expenses to Average Net Assets* 0.56% 0.56% 0.55% 0.57% 0.61% Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)* 0.66% 0.59% 0.55% 0.57% 0.61% Ratio of Net Investment Income to Average Net Assets 2.31% 2.12% 2.35% 1.91% 2.03% # Computed using average shares outstanding. * Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund. 254 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) Emerging Markets Small Cap Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 18.51 $ 21.42 $ 21.10 $ 20.33 $ 19.85 Income From Investment Operations Net Investment Income (Loss)# 0.45 0.43 0.43 0.40 0.40 Net Gains (Losses) on Securities (Realized and Unrealized) 2.04 (2.53) 0.62 1.37 0.83 Total From Investment Operations 2.49 (2.10) 1.05 1.77 1.23 Less Distributions Net Investment Income (0.47) (0.41) (0.40) (0.39) (0.35) Net Realized Gains (0.14) (0.40) (0.33) (0.61) (0.40) Total Distributions (0.61) (0.81) (0.73) (1.00) (0.75) Net Asset Value, End of Year $ 20.39 $ 18.51 $ 21.42 $ 21.10 $ 20.33 Total Return 13.96% (9.88)% 5.12% 8.92% 6.71% Net Assets, End of Year (thousands) $5,459,509 $4,845,174 $4,860,603 $4,041,863 $2,907,673 Ratio of Expenses to Average Net Assets* 0.72% 0.73% 0.72% 0.75% 0.82% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor)* 0.92% 0.78% 0.72% 0.75% 0.82% Ratio of Net Investment Income to Average Net Assets 2.43% 2.16% 2.02% 1.91% 2.01% # Computed using average shares outstanding. * Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund. 255 DFA Investment Dimensions Group Inc. Financial Highlights (For a share outstanding throughout each period) Emerging Markets Core Equity Portfolio Institutional Class Shares Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 Net Asset Value, Beginning of Year $ 16.81 $ 20.08 $ 20.09 $ 19.00 $ 18.73 Income From Investment Operations Net Investment Income (Loss)# 0.37 0.39 0.42 0.39 0.41 Net Gains (Losses) on Securities (Realized and Unrealized) 1.59 (3.29) (0.03) 1.07 0.23 Total From Investment Operations 1.96 (2.90) 0.39 1.46 0.64 Less Distributions Net Investment Income (0.37) (0.37) (0.40) (0.37) (0.37) Total Distributions (0.37) (0.37) (0.40) (0.37) (0.37) Net Asset Value, End of Year $ 18.40 $ 16.81 $ 20.08 $ 20.09 $ 19.00 Total Return 11.87% (14.49)% 1.89% 7.75% 3.55% Net Assets, End of Year (thousands) $18,712,966 $14,856,878 $15,727,547 $13,020,962 $8,594,707 Ratio of Expenses to Average Net Assets 0.61% 0.62% 0.61% 0.63% 0.68% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly) 0.61% 0.62% 0.61% 0.63% 0.68% Ratio of Net Investment Income to Average Net Assets 2.20% 2.06% 2.10% 1.97% 2.18% Portfolio Turnover Rate 3% 5% 2% 1% 1% # Computed using average shares outstanding. 256 Other Available Information You can find more information about the Funds and their Portfolios in the Funds’ SAI and Annual and Semi-Annual Reports. Statement of Additional Information The SAI, incorporated herein by reference, supplements, and is technically part of, this Prospectus. It includes an expanded discussion of investment practices, risks, and fund operations. Annual and Semi-Annual Reports to Shareholders These reports focus on Portfolio holdings and performance. The Annual Report also discusses the market conditions and investment strategies that significantly affected the Portfolios in their last fiscal year. How to get these and other materials: • Your investment advisor—you are a client of an investment advisor who has invested in the Portfolios on your behalf. • The Fund—you represent an institutional investor, registered investment advisor or other qualifying investor. Call collect at (512) 306-7400. • Access them on our Web site at http://us.dimensional.com. • Access them on the EDGAR Database in the SEC’s Internet site at http://www.sec.gov. • Review and copy them at the SEC’s Public Reference Room in Washington D.C. (phone 1-800-SEC-0330). • Request copies from the Public Reference Section of the SEC, Washington, D.C. 20549-0102 or at publicinfo@sec.gov (you will be charged a copying fee). Information on the operation of the SEC’s public reference room is available by calling the SEC at 1-202-551-8090. Dimensional Investment Group Inc. (U.S. Large Company Portfolio and DFA International Value Portfolio)— Registration No. 811-6067 DFA Investment Dimensions Group Inc. (all other Portfolios)—Registration No. 811-3258 Dimensional Fund Advisors LP 6300 Bee Cave Road, Building One Austin, TX 78746 (512) 306-7400 RRD022817-001 ANNUAL REPORT year ended: October 31, 2016 DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL INVESTMENT GROUP INC. THE DFA INVESTMENT TRUST COMPANY DIMENSIONAL EMERGING MARKETS VALUE FUND Dimensional Fund Advisors 6300 Bee Cave Road, Building One Austin, TX 78746 December 2016 Dear Fellow Shareholder, On behalf of our team at Dimensional, I want to thank you for trusting us with your investments. We recognize the important role those investments play in your future plans, and we take the responsibility implied by this trust with the utmost dedication and seriousness that it deserves. Dimensional is focused on offering consistent ways to access the performance delivered by securities in different markets and asset classes through well-diversified, efficiently managed portfolios. The importance of the word consistency cannot be overemphasized. By being consistent in our investment approach and the quality of our implementation, we create opportunities for you to combine funds into an asset allocation that fits your goals and preferences — enabling you to be a long-term investor in control of your investments. We recognize markets are full of uncertainties, which highlights the importance of having efficiently managed funds focused on delivering value to investors as part of an overall asset allocation that can help overcome those uncertainties. We are fortunate to work with clients who are committed to a long-term investment philosophy. We remain committed to managing investments for our clients with the same dedication, transparency, efficiency, and consistency we have for more than 35 years. Sincerely, Eduardo A. Repetto Co-Chief Executive Officer and Co-Chief Investment Officer [THIS PAGE INTENTIONALLY LEFT BLANK] ANNUAL REPORT Table of Contents Page Letter to Shareholders Definitions of Abbreviations and Footnotes .................................................. 1 DFA Investment Dimensions Group Inc. Performance Charts .................................................................... 2 Management’s Discussion and Analysis .................................................... 19 Disclosure of Fund Expenses ............................................................. 32 Disclosure of Portfolio Holdings ........................................................... 37 Schedules of Investments/Summary Schedules of Portfolio Holdings Enhanced U.S. Large Company Portfolio ............................................... 40 U.S. Large Cap Equity Portfolio ....................................................... 43 U.S. Large Cap Value Portfolio ........................................................ 46 U.S. Targeted Value Portfolio ......................................................... 47 U.S. Small Cap Value Portfolio ........................................................ 50 U.S. Core Equity 1 Portfolio .......................................................... 53 U.S. Core Equity 2 Portfolio .......................................................... 56 U.S. Vector Equity Portfolio ........................................................... 59 U.S. Small Cap Portfolio ............................................................. 62 U.S. Micro Cap Portfolio ............................................................. 65 DFA Real Estate Securities Portfolio ................................................... 68 Large Cap International Portfolio ...................................................... 70 International Core Equity Portfolio ..................................................... 74 International Small Company Portfolio .................................................. 79 Japanese Small Company Portfolio .................................................... 80 Asia Pacific Small Company Portfolio .................................................. 80 United Kingdom Small Company Portfolio ............................................... 81 Continental Small Company Portfolio ................................................... 81 DFA International Real Estate Securities Portfolio ........................................ 82 DFA Global Real Estate Securities Portfolio ............................................. 85 DFA International Small Cap Value Portfolio ............................................. 87 International Vector Equity Portfolio .................................................... 91 World ex U.S. Value Portfolio ......................................................... 95 World ex U.S. Targeted Value Portfolio ................................................. 96 World ex U.S. Core Equity Portfolio .................................................... 102 World Core Equity Portfolio ........................................................... 108 Selectively Hedged Global Equity Portfolio .............................................. 109 Emerging Markets Portfolio ........................................................... 110 Emerging Markets Small Cap Portfolio ................................................. 110 Emerging Markets Value Portfolio ..................................................... 110 Emerging Markets Core Equity Portfolio ................................................ 111 Statements of Assets and Liabilities ....................................................... 115 Statements of Operations ................................................................ 122 Statements of Changes in Net Assets ...................................................... 129 Financial Highlights ..................................................................... 139 Notes to Financial Statements ............................................................ 161 Report of Independent Registered Public Accounting Firm ..................................... 194 Section 19(a) Notice .................................................................... 195 i TABLE OF CONTENTS CONTINUED Page DFA Investment Dimensions Group Inc. - DFA Commodity Strategy Portfolio Performance Charts .................................................................... 198 Management’s Discussion and Analysis .................................................... 199 Consolidated Disclosure of Fund Expenses ................................................. 200 Consolidated Disclosure of Portfolio Holdings ............................................... 201 Consolidated Schedule of Investments ..................................................... 202 Consolidated Statement of Assets and Liabilities ............................................. 207 Consolidated Statement of Operations ..................................................... 208 Consolidated Statements of Changes in Net Assets .......................................... 209 Consolidated Financial Highlights ......................................................... 210 Consolidated Notes to Financial Statements ................................................. 211 Report of Independent Registered Public Accounting Firm ..................................... 224 Dimensional Investment Group Inc. Performance Charts .................................................................... 225 Management’s Discussion and Analysis .................................................... 227 Disclosure of Fund Expenses ............................................................. 230 Disclosure of Portfolio Holdings ........................................................... 232 Schedule of Investments/Summary Schedule of Portfolio Holdings DFA International Value Portfolio ...................................................... 233 U.S. Large Company Portfolio ........................................................ 234 Statements of Assets and Liabilities ....................................................... 237 Statements of Operations ................................................................ 238 Statements of Changes in Net Assets ...................................................... 239 Financial Highlights ..................................................................... 240 Notes to Financial Statements ............................................................ 243 Report of Independent Registered Public Accounting Firm ..................................... 253 Section 19(a) Notice .................................................................... 254 The DFA Investment Trust Company Performance Charts .................................................................... 255 Management’s Discussion and Analysis .................................................... 260 Disclosure of Fund Expenses ............................................................. 265 Disclosure of Portfolio Holdings ........................................................... 267 Summary Schedules of Portfolio Holdings The U.S. Large Cap Value Series ..................................................... 269 The DFA International Value Series .................................................... 272 The Japanese Small Company Series .................................................. 276 The Asia Pacific Small Company Series ................................................ 279 The United Kingdom Small Company Series ............................................. 282 The Continental Small Company Series ................................................ 285 The Canadian Small Company Series .................................................. 288 The Emerging Markets Series ........................................................ 291 The Emerging Markets Small Cap Series ............................................... 295 Statements of Assets and Liabilities ....................................................... 299 Statements of Operations ................................................................ 301 Statements of Changes in Net Assets ...................................................... 303 Financial Highlights ..................................................................... 306 Notes to Financial Statements ............................................................ 311 Report of Independent Registered Public Accounting Firm ..................................... 323 ii TABLE OF CONTENTS CONTINUED Page Dimensional Emerging Markets Value Fund Performance Charts .................................................................... 324 Management’s Discussion and Analysis .................................................... 325 Disclosure of Fund Expenses ............................................................. 327 Disclosure of Portfolio Holdings ........................................................... 328 Summary Schedule of Portfolio Holdings ................................................... 329 Statement of Assets and Liabilities ........................................................ 333 Statement of Operations ................................................................. 334 Statements of Changes in Net Assets ...................................................... 335 Financial Highlights ..................................................................... 336 Notes to Financial Statements ............................................................ 337 Report of Independent Registered Public Accounting Firm ..................................... 345 Fund Management ........................................................................ 346 Voting Proxies on Fund Portfolio Securities .................................................. 361 Notice to Shareholders .................................................................... 362 This report is submitted for the information of the Funds’ shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. iii [THIS PAGE INTENTIONALLY LEFT BLANK] DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL INVESTMENT GROUP INC. THE DFA INVESTMENT TRUST COMPANY DIMENSIONAL EMERGING MARKETS VALUE FUND DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES Schedules of Investments/Summary Schedules of Portfolio Holdings Investment Abbreviations ADR American Depositary Receipt P.L.C. Public Limited Company USD United States Dollars Investment Footnotes † See Note B to Financial Statements. †† Securities that have generally been fair value factored. See Note B to Financial Statements. ** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category headings have been calculated as a percentage of total investments. “Other Securities” are those securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent more than 1.0% of the net assets of the Fund. Some of the individual securities within this category may include Total or Partial Securities on Loan and/or Non-Income Producing Securities. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Denominated in USD, unless otherwise noted. @ Security purchased with cash proceeds from Securities on Loan. ## Rule 144A, Section 4(2), or other security which is restricted as to resale to institutional investors. The Fund’s Advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees. ‡ Security pledged as collateral for the Open Futures Contracts. ++ Security pledged as collateral for Swap Agreements. § Affiliated Fund. Financial Highlights (A) Computed using average shares outstanding. (B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund(s). (C) Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. (D) Non-Annualized (E) Annualized All Statements, Schedules and Notes to Financial Statements — Amounts designated as — are either zero or rounded to zero. REIT Real Estate Investment Trust SEC Securities and Exchange Commission (a) Commencement of Operations. 1 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) Enhanced U.S. Large Company Portfolio vs. S&P 500 ®Index October 31, 2006-October 31, 2016 Growth of $10,000 $19,602 $19,124 $0 $10,000 $30,000 $20,000 10/06 10/162007 2008 2009 2010 2011 2012 201520142013 Enhanced U.S. Large Company Portfolio S&P 500® Index Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The S&P data are provided by Standard & Poor’s Index Services Group. Average Annual Total Return One Year Five Years Ten Years 4.75% 13.70% 6.96% U.S. Large Cap Equity Portfolio vs. Russell 1000 ®Index June 25, 2013-October 31, 2016 Growth of $10,000 $0 $10,000 $20,000 06/13 2013 2014 2015 10/16 U.S. Large Cap Equity Portfolio Russell 1000® Index $13,818 $14,315 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright ©Russell Investment Group 1995-2016, all rights reserved. Average Annual Total Return One Year Since Inception 3.51% 10.14% 2 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) U.S. Large Cap Value Portfolio vs. Russell 1000 ®Value Index October 31, 2006-October 31, 2016 Growth of $10,000 $17,741 $16,838 $0 $10,000 $30,000 $20,000 10/06 10/16201520142007 2008 2009 2010 2011 20132012 U.S. Large Cap Value Portfolio Russell 1000® Value Index Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright ©Russell Investment Group 1995-2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 4.58% 14.36% 5.90% U.S. Targeted Value Portfolio — Class R1 vs. Russell 2000 ®Value Index January 31, 2008-October 31, 2016 Growth of $10,000 $17,985 $19,760 $0 $10,000 $30,000 $20,000 01/08 10/16201520142008 2009 2010 2011 2012 2013 U.S. Targeted Value Portfolio - Class R1 Russell 2000® Value Index Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright ©Russell Investment Group 1995-2016, all rights reserved. Average Annual Total Return One Year Five Years Since Inception 4.21% 12.62% 8.10% 3 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) U.S. Targeted Value Portfolio — Class R2 vs. Russell 2000 ®Value Index June 30, 2008-October 31, 2016 Growth of $10,000 $19,129 $20,414 06/08 10/1620092008 2010 2011 2012 2013 20152014 $0 $10,000 $20,000 $30,000 U.S. Targeted Value Portfolio - Class R2 Russell 2000® Value Index Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright ©Russell Investment Group 1995-2016, all rights reserved. Average Annual Total Return One Year Five Years Since Inception 4.04% 12.43% 8.94% U.S. Targeted Value Portfolio — Institutional Class vs. Russell 2000 ®Value Index October 31, 2006-October 31, 2016 Growth of $10,000 $16,144 $18,111 10/06 10/162007 2008 2009 2010 2011 2012 2013 20152014 U.S. Targeted Value Portfolio - Institutional Class Russell 2000® Value Index $0 $10,000 $20,000 $30,000 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright ©Russell Investment Group 1995-2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 4.29% 12.72% 6.12% 4 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) U.S. Small Cap Value Portfolio vs. Russell 2000 ®Value Index October 31, 2006-October 31, 2016 Growth of $10,000 $16,144 $17,015 10/06 10/16201520142007 2008 2009 2010 2011 20132012 U.S. Small Cap Value Portfolio Russell 2000® Value Index $0 $10,000 $20,000 $30,000 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright ©Russell Investment Group 1995-2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 4.49% 12.36% 5.46% U.S. Core Equity 1 Portfolio vs. Russell 3000 ®Index October 31, 2006-October 31, 2016 Growth of $10,000 $19,230 $19,372 $0 $10,000 $30,000 $20,000 10/06 10/16201520142007 2008 2009 2010 2011 20132012 U.S. Core Equity 1 Portfolio Russell 3000® Index Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright ©Russell Investment Group 1995-2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 3.68% 13.18% 6.84% 5 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) U.S. Core Equity 2 Portfolio vs. Russell 3000 ®Index October 31, 2006-October 31, 2016 Growth of $10,000 $19,230 $18,641 $0 $10,000 $30,000 $20,000 10/06 10/162007 2008 2009 2010 2011 2015201420132012 U.S. Core Equity 2 Portfolio Russell 3000® Index Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright ©Russell Investment Group 1995-2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 3.47% 12.99% 6.43% U.S. Vector Equity Portfolio vs. Russell 3000 ®Index October 31, 2006-October 31, 2016 Growth of $10,000 $17,627 $19,230 $0 $10,000 $30,000 $20,000 10/06 10/162007 2008 2009 2010 2011 2015201420132012 U.S. Vector Equity Portfolio Russell 3000® Index Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright ©Russell Investment Group 1995-2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 3.28% 12.57% 5.83% 6 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) U.S. Small Cap Portfolio vs. Russell 2000 ®Index October 31, 2006-October 31, 2016 Growth of $10,000 $17,838 $20,129 $0 $10,000 $30,000 $20,000 10/06 10/16201520142007 2008 2009 2010 2011 2012 2013 U.S. Small Cap Portfolio Russell 2000® Index Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright ©Russell Investment Group 1995-2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 3.89% 12.78% 7.25% U.S. Micro Cap Portfolio vs. Russell 2000 ®Index October 31, 2006-October 31, 2016 Growth of $10,000 $17,838 $18,396 $0 $10,000 $30,000 $20,000 10/06 10/16201520142007 2008 2009 2010 2011 2012 2013 U.S. Micro Cap Portfolio Russell 2000® Index Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright ©Russell Investment Group 1995-2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 4.32% 12.72% 6.28% 7 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) DFA Real Estate Securities Portfolio vs. S&P 500 ®Index, Dow Jones U.S. Select REIT Index October 31, 2006-October 31, 2016 Growth of $10,000 $15,596 $15,959 $19,124 $0 $10,000 $30,000 $20,000 10/06 10/162007 2008 2009 2010 2011 2012 201520142013 DFA Real Estate Securities Portfolio S&P 500® Index Dow Jones U.S. Select REIT Index Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The S&P data are provided by Standard & Poor’s Index Services Group. Dow Jones data provided by Dow Jones Indexes. Average Annual Total Return One Year Five Years Ten Years 6.89% 11.35% 4.79% Large Cap International Portfolio vs. MSCI World ex USA Index (net dividends) October 31, 2006-October 31, 2016 Growth of $10,000 $11,360 $11,622 $0 $10,000 $20,000 10/06 10/162007 2008 2009 2010 2011 2015201420132012 Large Cap International Portfolio MSCI World ex USA Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years -1.30% 4.90% 1.51% 8 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) International Core Equity Portfolio vs. MSCI World ex USA Index (net dividends) October 31, 2006-October 31, 2016 Growth of $10,000 $11,360 $12,468 $0 $10,000 $20,000 10/06 10/16201520142007 2008 2009 2010 2011 2012 2013 International Core Equity Portfolio MSCI World ex USA Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 1.62% 6.18% 2.23% International Small Company Portfolio vs. MSCI World ex USA Small Cap Index (net dividends) October 31, 2006-October 31, 2016 Growth of $10,000 $13,965 $15,124 $0 $10,000 $20,000 10/06 10/16201520142007 2008 2009 2010 2011 20132012 International Small Company Portfolio MSCI World ex USA Small Cap Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 5.43% 8.25% 4.22% 9 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) Japanese Small Company Portfolio vs. MSCI Japan Small Cap Index (net dividends) October 31, 2006-October 31, 2016 Growth of $10,000 $14,068 $15,743 $0 $10,000 $20,000 10/06 10/1620152007 2008 2009 2010 2011 2012 2013 Japanese Small Company Portfolio MSCI Japan Small Cap Index (net dividends) 2014 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 14.04% 10.49% 4.64% Asia Pacific Small Company Portfolio vs. MSCI Pacific ex Japan Small Cap Index (net dividends) October 31, 2006-October 31, 2016 Growth of $10,000 $11,751 $16,841 $0 $10,000 $30,000 $20,000 10/06 10/162007 2008 2009 2010 2011 2012 2013 Asia Pacific Small Company Portfolio MSCI Pacific ex Japan Small Cap Index (net dividends) 2014 2015 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 16.18%3.02% 5.35% 10 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) United Kingdom Small Company Portfolio vs. MSCI UK Small Cap Index (net dividends) October 31, 2006-October 31, 2016 Growth of $10,000 $14,001 $14,718 $0 $10,000 $30,000 $20,000 10/06 10/1620152007 2008 2009 2010 2011 2012 20142013 United Kingdom Small Company Portfolio MSCI UK Small Cap Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years -16.20% 9.19%3.94% Continental Small Company Portfolio vs. MSCI Europe ex UK Small Cap Index (net dividends) October 31, 2006-October 31, 2016 Growth of $10,000 $15,004 $15,097 $0 $10,000 $30,000 $20,000 10/06 10/162007 2008 2009 2010 2011 2012 201520142013 Continental Small Company Portfolio MSCI Europe ex UK Small Cap Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 5.70% 10.38% 4.14% 11 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) DFA International Real Estate Securities Portfolio vs. S&P Global ex U.S. REIT Index (net dividends) March 1, 2007-October 31, 2016 Growth of $10,000 $9,789 $9,944 $0 $10,000 $20,000 03/07 10/162007 2008 2009 2010 2011 2012 2013 2014 2015 DFA International Real Estate Securities Portfolio S&P Global ex U.S. REIT Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The S&P data are provided by Standard & Poor’s Index Services Group. Average Annual Total Return One Year Five Years Since Inception 1.05% 7.80% -0.06% DFA Global Real Estate Securities Portfolio vs. S&P Global REIT Index (net dividends) June 4, 2008-October 31, 2016 Growth of $10,000 $13,944 $15,398 $0 $10,000 $20,000 06/08 10/162014 20152008 2009 2010 2011 2012 2013 DFA Global Real Estate Securities Portfolio S&P Global REIT Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The S&P data are provided by Standard & Poor’s Index Services Group. Average Annual Total Return One Year Five Years Since Inception 4.87% 9.94% 5.27% 12 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) DFA International Small Cap Value Portfolio vs. MSCI World ex USA Small Cap Index (net dividends) October 31, 2006-October 31, 2016 Growth of $10,000 $13,965 $14,954 $0 $10,000 $20,000 10/162014 2015201310/06 2007 2008 2009 2010 2011 2012 DFA International Small Cap Value Portfolio MSCI World ex USA Small Cap Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 4.09% 9.67% 4.11% International Vector Equity Portfolio vs. MSCI World ex USA Index (net dividends) August 14, 2008-October 31, 2016 Growth of $10,000 $11,459 $13,780 $0 $10,000 $20,000 08/08 10/162014 20152009 2010 2011 20132012 International Vector Equity Portfolio MSCI World ex USA Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Since Inception 3.21% 6.53%3.98% 13 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) World Ex U.S. Value Portfolio vs. MSCI All Country World ex USA Index (net dividends) August 23, 2010-October 31, 2016 Growth of $10,000 $12,338 $12,854 $0 $10,000 $20,000 08/10 10/16201420152011 2012 2013 World Ex U.S. Value Portfolio MSCI All Country World ex USA Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Since Inception 3.54%3.75%3.45% World Ex U.S. Targeted Value Portfolio vs. MSCI All Country World ex USA Small Cap Index (net dividends) November 1, 2012-October 31, 2016 Growth of $10,000 $13,218 $12,877 $0 $10,000 $20,000 11/12 10/16 World Ex U.S. Targeted Value Portfolio MSCI All Country World ex USA Small Cap Index (net dividends) 2013 2014 2015 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Since Inception 7.18% 7.23% 14 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) World Ex U.S. Core Equity Portfolio vs. MSCI All Country World ex USA Index (net dividends) April 9, 2013-October 31, 2016 Growth of $10,000 $10,618 $10,840 $0 $10,000 $20,000 04/13 10/162013 2014 2015 World Ex U.S. Core Equity Portfolio MSCI All Country World ex USA Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Since Inception 3.58% 2.29% World Core Equity Portfolio vs. MSCI All Country World Index (net dividends) March 7, 2012-October 31, 2016 Growth of $10,000 $14,001 $14,662 $0 $10,000 $20,000 03/12 10/16201320152014 World Core Equity Portfolio MSCI All Country World Index (net dividends) 2012 Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Since Inception 3.73% 8.58% 15 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) Selectively Hedged Global Equity Portfolio vs. MSCI All Country World Index (net dividends) November 14, 2011-October 31, 2016 Growth of $10,000 $14,975 $15,803 $0 $10,000 $20,000 11/11 10/16201420152012 2013 Selectively Hedged Global Equity Portfolio MSCI All Country World Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Since Inception 4.32% 9.66% Emerging Markets Portfolio vs. MSCI Emerging Markets Index (net dividends) October 31, 2006-October 31, 2016 Growth of $10,000 $14,091 $14,926 $0 $10,000 $20,000 10/06 10/162014 20152007 2008 2009 2010 2011 2012 2013 Emerging Markets Portfolio MSCI Emerging Markets Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 11.01% 1.13% 4.09% 16 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) Emerging Markets Small Cap Portfolio vs. MSCI Emerging Markets Index (net dividends) October 31, 2006-October 31, 2016 Growth of $10,000 $14,091 $19,251 $0 $10,000 $30,000 $20,000 10/06 10/162007 2008 2009 2010 2011 2012 2013 2014 2015 Emerging Markets Small Cap Portfolio MSCI Emerging Markets Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 13.96% 4.65% 6.77% Emerging Markets Value Portfolio — Class R2 vs. MSCI Emerging Markets Index (net dividends) January 29, 2008-October 31, 2016 Growth of $10,000 $10,153 $9,666 $0 $10,000 $20,000 20132012201120102009200801/08 10/1620142015 Emerging Markets Value Portfolio - Class R2 MSCI Emerging Markets Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years From 01/29/2008 14.98% -0.07% -0.39% 17 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) Emerging Markets Value Portfolio — Institutional Class vs. MSCI Emerging Markets Index (net dividends) October 31, 2006-October 31, 2016 Growth of $10,000 $14,091 $14,338 $0 $10,000 $20,000 10/06 10/1620082007 20102009 2011 2012 2013 20152014 Emerging Markets Value Portfolio - Institutional Class MSCI Emerging Markets Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 15.23% 0.18%3.67% Emerging Markets Core Equity Portfolio vs. MSCI Emerging Markets Index (net dividends) October 31, 2006-October 31, 2016 Growth of $10,000 $14,091 $15,923 $0 $10,000 $20,000 10/06 10/162007 20092008 2010 2011 2012 2013 2014 2015 Emerging Markets Core Equity Portfolio MSCI Emerging Markets Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 11.87% 1.69% 4.76% 18 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT’S DISCUSSION AND ANALYSIS (Unaudited) U.S. Equity Market Review 12 Months Ended October 31, 2016 Most U.S. equities had positive returns during the period. The broad U.S. equity market, as measured by the Russell 3000 ®Index, gained approximately 4.2%. Large-cap stocks outperformed small-cap stocks as measured by the Russell indices. Total Return for 12 Months Ended October 31, 2016 Russell 3000 ®Index ......................................................................4.24% Russell Microcap ®Index (micro-cap stocks)..................................................1.54% Russell 2000 ®Index (small-cap stocks)......................................................4.11% Russell 1000 ®Index (large-cap stocks)......................................................4.26% Dow Jones U.S. Select REIT Index SM ........................................................4.96% Value stocks outperformed growth stocks as measured by the Russell indices. Total Return for 12 Months Ended October 31, 2016 Russell 2000 ®Value Index (small-cap value stocks)...........................................8.81% Russell 2000 ®Growth Index (small-cap growth stocks).........................................-0.49% Russell 1000 ®Value Index (large-cap value stocks)...........................................6.37% Russell 1000 ®Growth Index (large-cap growth stocks).........................................2.28% Source: Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. Master-Feeder Structure Certain portfolios described below, called “Feeder Funds,” do not buy individual securities directly; instead, these portfolios invest in corresponding funds called “Master Funds.” Master Funds, in turn, purchase stocks and/or other securities directly. Enhanced U.S. Large Company Portfolio The Enhanced U.S. Large Company Portfolio seeks to outperform the total return of the S&P 500 ®Index. This strategy uses S&P 500 ®Index futures contracts, swaps, and/or ETFs in conjunction with short-term investment grade fixed income instruments. As of October 31, 2016, 100% of the equity exposure consisted of S&P 500 ® Index futures contracts. The behavior of S&P 500 ®Index futures contracts is determined principally by the performance of the S&P 500 ®Index. For the 12 months ended October 31, 2016, the total return was 4.75% for the Portfolio and 4.51% for the S&P 500 ®Index, the Portfolio’s benchmark. Relative to the benchmark, the Portfolio’s outperformance was primarily due to the performance of the fixed income component of the Portfolio. The net return of the fixed income component was greater than the average interest rate priced into the S&P 500 ®Index futures contracts that the Portfolio purchased throughout the year. U.S. Large Cap Equity Portfolio The U.S. Large Cap Equity Portfolio invests in a broadly diversified group of U.S. securities with increased exposure to lower total market capitalization large company stocks, value stocks, and higher large cap profitability stocks relative to the U.S. large-cap universe. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held approximately 900 securities. In general, average cash exposure throughout the year was less than 1% of the Portfolio’s assets. 19 For the 12 months ended October 31, 2016, total returns were 3.51% for the Portfolio and 4.26% for the Russell 1000 ®Index, the Portfolio’s benchmark. As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio had a greater allocation than the benchmark to lower total market capitalization stocks of large companies, which detracted from the Portfolio’s performance as mid-cap stocks underperformed. U.S. Large Cap Value Portfolio The U.S. Large Cap Value Portfolio is designed to capture the returns of U.S. large-cap value stocks by purchasing shares of The U.S. Large Cap Value Series, a Master Fund that invests in such stocks. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Master Fund held approximately 300 securities. In general, average cash exposure throughout the year was less than 1% of the Portfolio’s assets. For the 12 months ended October 31, 2016, total returns were 4.58% for the Portfolio and 6.37% for the Russell 1000 ®Value Index, the Portfolio’s benchmark. As a result of the Master Fund’s diversified investment approach, performance was determined principally by broad trends in the U.S. equity market rather than the behavior of a limited number of stocks. The Master Fund had a larger allocation than the benchmark to lower relative price stocks, which detracted from the Portfolio’s performance relative to the benchmark, as the lowest relative price quartile underperformed. The Master Fund’s exclusion of real estate investment trusts (REITs) and utilities detracted from performance relative to the benchmark, as REITs and utilities outperformed most other sectors during the period. U.S. Targeted Value Portfolio The U.S. Targeted Value Portfolio invests in a broadly diversified group of U.S. small and mid-capitalization value stocks. Value is measured primarily by book-to-market ratio. The U.S. Targeted Value Portfolio also may consider profitability in the Portfolio’s construction. In assessing profitability, the Advisor may consider such factors as earnings or profits from operations relative to book value or assets. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held approximately 1,500 securities. In general, average cash exposure throughout the year was less than 1% of the Portfolio’s assets. For the 12 months ended October 31, 2016, total returns were 4.21% for the Portfolio’s Class R1 shares, 4.04% for the Portfolio’s Class R2 shares, 4.29% for the Portfolio’s Institutional Class shares, and 8.81% for the Russell 2000 ®Value Index, the Portfolio’s benchmark. As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio had a greater allocation than the benchmark to mid-cap stocks and a lower allocation to small-cap stocks. Mid-cap stocks underperformed small-caps during the period and detracted from the Portfolio’s performance, relative to the benchmark. Within small-cap and mid-cap value stocks, the Portfolio’s greater emphasis on higher profitability stocks detracted from relative performance as these stocks underperformed lower profitability stocks during the period. The Portfolio’s exclusion of real estate investment trusts (REITs) and utilities detracted from relative performance as these sectors outperformed most other sectors during the period. U.S. Small Cap Value Portfolio The U.S. Small Cap Value Portfolio invests in a broadly diversified group of U.S. small capitalization value stocks. Value is measured primarily by book-to-market ratio. The U.S. Small Cap Value Portfolio also may consider profitability in the Portfolio’s construction. In assessing profitability, the Advisor may consider such factors as earnings or profits from operations relative to book value or assets. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held approximately 1,100 securities. In general, average cash exposure throughout the year was less than 1% of the Portfolio’s assets. For the 12 months ended October 31, 2016, total returns were 4.49% for the Portfolio and 8.81% for the Russell 2000 ®Value Index, the Portfolio’s benchmark. As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the 20 behavior of a limited number of stocks. The Portfolio invests in a broader market capitalization range of securities than the benchmark. This detracted from the Portfolio’s performance relative to the benchmark, as stocks above the range of market capitalization held by the benchmark underperformed. The Portfolio’s greater allocation than the benchmark to deep value stocks also detracted from relative performance. Within small-cap value stocks, the Portfolio’s greater emphasis on stocks with higher profitability detracted from relative performance as these stocks underperformed lower profitability stocks during the period. The Portfolio’s exclusion of real estate investment trusts and utilities detracted from relative performance as these sectors outperformed most other sectors during the period. U.S. Core Equity 1 Portfolio The U.S. Core Equity 1 Portfolio invests in a broadly diversified group of U.S. securities with increased exposure to smaller company stocks and value stocks relative to the market. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held approximately 2,700 securities. In general, average cash exposure throughout the year was less than 1% of the Portfolio’s assets. For the 12 months ended October 31, 2016, total returns were 3.68% for the Portfolio and 4.24% for the Russell 3000 ®Index, the Portfolio’s benchmark. As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio had a greater allocation than the benchmark to lower total market capitalization stocks, which detracted from the Portfolio’s performance as mid-cap stocks underperformed. The Portfolio also had a lesser allocation to large cap growth stocks, which outperformed. U.S. Core Equity 2 Portfolio The U.S. Core Equity 2 Portfolio invests in a broadly diversified group of U.S. securities with increased exposure to smaller company stocks and value stocks relative to the U.S. Core Equity 1 Portfolio and the market. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held approximately 2,700 securities. In general, average cash exposure throughout the year was less than 1% of the Portfolio’s assets. For the 12 months ended October 31, 2016, total returns were 3.47% for the Portfolio and 4.24% for the Russell 3000 ®Index, the Portfolio’s benchmark. As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio had a greater allocation than the benchmark to lower total market capitalization stocks, which detracted from the Portfolio’s performance as mid-cap stocks underperformed. The Portfolio also had a lesser allocation to large cap growth stocks, which outperformed. U.S. Vector Equity Portfolio The U.S. Vector Equity Portfolio invests in a broadly diversified group of U.S. securities with increased exposure to smaller company stocks and value stocks relative to the market. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held approximately 2,600 securities. In general, average cash exposure throughout the year was less than 1% of the Portfolio’s assets. For the 12 months ended October 31, 2016, total returns were 3.28% for the Portfolio and 4.24% for the Russell 3000 ®Index, the Portfolio’s benchmark. As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio had a greater allocation than the benchmark to lower total market capitalization stocks, which detracted from the Portfolio’s performance as mid-cap stocks underperformed. The Portfolio also had a lesser allocation to large cap growth stocks, which outperformed. U.S. Small Cap Portfolio The U.S. Small Cap Portfolio invests in a broadly diversified group of U.S. small company stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held 21 approximately 2,000 securities. In general, average cash exposure throughout the year was less than 1% of the Portfolio’s assets. For the 12 months ended October 31, 2016, total returns were 3.89% for the Portfolio and 4.11% for the Russell 2000 ®Index, the Portfolio’s benchmark. As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. The Portfolio’s exclusion of real estate investment trusts (REITs) detracted from its performance relative to the benchmark, as REITs outperformed most other sectors during the period. Within small-cap stocks, the Portfolio excluded certain stocks with lower profitability and higher relative price, which benefited the Portfolio’s performance. These excluded stocks generally underperformed the benchmark return during the period. U.S. Micro Cap Portfolio The U.S. Micro Cap Portfolio invests in a broadly diversified group of the smallest U.S. company stocks and generally has a smaller market capitalization profile than the U.S. Small Cap Portfolio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held approximately 1,600 securities. In general, average cash exposure throughout the year was less than 1% of the Portfolio’s assets. For the 12 months ended October 31, 2016, total returns were 4.32% for the Portfolio and 4.11% for the Russell 2000 ®Index, the Portfolio’s benchmark. As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad trends in the U.S. equity market, rather than the behavior of a limited number of stocks. Within small-caps, the Portfolio excluded certain stocks with lower profitability and higher relative price, which contributed to outperformance over the benchmark. These excluded stocks generally underperformed the benchmark return during the period. The Portfolio’s exclusion of real estate investment trusts (REITs) detracted from its performance relative to the benchmark as REITs outperformed most other sectors during the period. DFA Real Estate Securities Portfolio The DFA Real Estate Securities Portfolio is designed to capture the returns of a broadly diversified portfolio of U.S. real estate securities. As of October 31, 2016, the Portfolio held approximately 150 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of portfolio assets. For the 12 months ended October 31, 2016, total returns were 6.89% for the Portfolio, 4.96% for the Dow Jones U.S. Select REIT Index SM, the Portfolio’s benchmark, and 4.51% for the S&P 500 ®Index. As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad trends in the U.S. real estate securities market rather than the behavior of a limited number of securities. Differences in REIT eligibility between the Portfolio and the Dow Jones U.S. Select REIT Index SM were the primary driver of the Portfolio’s outperformance relative to the benchmark. International Equity Market Review 12 Months Ended October 31, 2016 Performance of non-U.S. developed markets was varied for the period. Small-cap stocks had positive returns, while large-cap stocks had negative returns. As measured by the MSCI World ex USA indices, small-cap stocks outperformed large-cap stocks, and value stocks outperformed growth stocks. 12 Months Ended October 31, 2016 Return in U.S. Dollars MSCI World ex USA Index ........................................................-2.27% MSCI World ex USA Small Cap Index ...............................................3.96% MSCI World ex USA Value Index ..................................................-2.07% MSCI World ex USA Growth Index .................................................-2.58% During the period, the performance of the U.S. dollar was mixed when compared against currencies of other developed markets. In particular, while the U.S. dollar appreciated significantly against the British pound, it 22 depreciated significantly against the Japanese yen. Overall, currency fluctuations detracted from USD-denominated returns in developed markets. 12 Months Ended October 31, 2016 Ten Largest Foreign Developed Markets by Market Cap Local Return Return in U.S. Dollars Japan .............................................................-10.14% 3.19% United Kingdom .....................................................13.55% -10.24% France .............................................................-4.31% -5.04% Switzerland .........................................................-8.27% -8.57% Canada ............................................................11.55% 8.90% Germany ...........................................................-2.14% -2.89% Australia ...........................................................5.52% 12.55% Hong Kong .........................................................8.52% 8.45% Spain ..............................................................-8.40% -9.10% Netherlands ........................................................0.63% -0.20% Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2016, all rights reserved Emerging markets had stronger performance over the period than non-U.S. developed markets. As measured by the MSCI emerging markets indices, small-cap stocks underperformed large-cap stocks, and growth stocks outperformed value stocks. 12 Months Ended October 31, 2016 Return in U.S. Dollars MSCI Emerging Markets Index ....................................................9.27% MSCI Emerging Markets Small Cap Index ...........................................4.78% MSCI Emerging Markets Value Index ...............................................8.60% MSCI Emerging Markets Growth Index ..............................................9.81% During the period, the performance of the U.S. dollar was mixed when compared against currencies of emerging markets. In particular, while the U.S. dollar appreciated significantly against the Mexican peso, it also depreciated significantly against the Brazilian real. Overall, currency fluctuations benfitted from USD-denominated returns in emerging markets. 12 Months Ended October 31, 2016 Ten Largest Emerging Markets by Market Cap Local Return Return in U.S. Dollars China ..............................................................1.62% 1.54% Korea .............................................................5.56% 5.17% Taiwan ............................................................14.56% 17.85% India ..............................................................6.28% 3.99% South Africa ........................................................-0.92% 1.46% Brazil ..............................................................40.59% 70.69% Mexico .............................................................8.65% -4.51% Russia .............................................................17.86% 18.61% Malaysia ...........................................................4.44% 6.95% Indonesia ..........................................................26.13% 32.31% Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2016, all rights reserved. For funds investing in non-US equities traded outside of the U.S. market time zone, differences in the valuation timing and methodology between a fund and its benchmark index may impact relative performance over the 23 referenced period. The funds price foreign exchange rates at the closing of the U.S. market while their benchmark indices use rates at 4 pm London time. The funds also may use fair value pricing to price certain portfolio securities at the closing of the U.S. market, while benchmark indices may use local market closing prices. For the one-year period ended October 31, 2016, these differences generally benefitted the funds’ relative performance. Global Real Estate Market Review 12 Months Ended October 31, 2016 Publicly traded global real estate investment trusts (REITs) and REIT-like securities produced positive overall returns during the period. REITs and REIT-like securities generally outperformed developed non-U.S. equity markets but underperformed U.S. and emerging markets equities. The U.S. REIT market, the world’s largest, had positive performance and outperformed non-U.S. REITs and REIT-like securities overall. Across larger REIT and REIT-like markets, Japan and Australia were among the stronger performers, while the U.K. had the weakest performance during the period. As measured by the S&P Global REIT Index, industrial and healthcare REITs and REIT-like securities had the largest gains, while hotel/resort and retail REITs and REIT-like securities had the weakest returns. 12 Months Ended October 31, 2016 Return in U.S. Dollars S&P Global ex U.S. REIT Index (net dividends).......................................1.28% S&P Global REIT Index (net dividends).............................................3.89% Source: Standard and Poor’s. Copyright S&P, 2016. All rights reserved. For funds investing in non-US REITs and REIT-like securities traded outside of the U.S. market time zone, differences in the valuation timing and methodology between a fund and its benchmark index may impact relative performance over the referenced period. The funds price foreign exchange rates at the closing of the U.S. market while their benchmark indices use rates at 4 pm London time. The funds also may use fair value pricing to price certain portfolio securities at the closing of the U.S. market, while benchmark indices may use local market closing prices. For the one-year period ended October 31, 2016, these differences generally benefitted the funds’ relative performance. Master-Feeder Structure Certain portfolios described below, called “Feeder Funds,” do not buy individual securities directly; instead, these portfolios invest in corresponding funds called “Master Funds.” Master Funds, in turn, purchase stocks and/or other securities directly. Large Cap International Portfolio The Large Cap International Portfolio seeks to capture the returns of a broadly diversified portfolio of developed ex U.S. large company stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held approximately 1,300 securities in 22 eligible developed markets. In general, average cash exposure throughout the year was less than 1% of the Portfolio’s assets. For the 12 months ended October 31, 2016, total returns were -1.30% for the Portfolio and -2.27% for the MSCI World ex USA Index (net dividends), the Portfolio’s benchmark. As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad trends in developed ex U.S. equity markets rather than by the behavior of a limited number of stocks. The Portfolio’s emphasis on large company stocks with relatively smaller market capitalization rather than on the broad large-cap universe contributed positively to its performance relative to the benchmark, as those stocks outperformed for the period. International Core Equity Portfolio The International Core Equity Portfolio invests in a broadly diversified group of stocks in developed ex U.S. markets, with increased exposure to stocks with smaller market capitalization and lower relative price. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held approximately 5,100 securities in 22 eligible developed markets. In general, average cash exposure throughout the year was less than 1% of the Portfolio’s assets. 24 For the 12 months ended October 31, 2016, total returns were 1.62% for the Portfolio and -2.27% for the MSCI World ex USA Index (net dividends), the Portfolio’s benchmark. As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad trends in developed ex U.S. equity markets rather than by the behavior of a limited number of stocks. The Portfolio invests in stocks across all size categories, while the benchmark primarily includes large- and mid-cap stocks. With developed ex U.S. small-cap stocks generally outperforming large-cap stocks during the period, the Portfolio’s inclusion of small-cap stocks contributed positively to performance relative to the benchmark. To a lesser extent, the Portfolio’s greater emphasis than the benchmark on low relative price (value) stocks also had a positive impact on the Portfolio’s relative performance, as value stocks generally outperformed during the period. International Small Company Portfolio The International Small Company Portfolio is designed to capture the returns of developed ex U.S. small company stocks by purchasing shares of five Master Funds managed by Dimensional that invest individually in Canada, the United Kingdom, Europe (including Israel and excluding the U.K.), Japan, and the Asia Pacific region (ex Japan). The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Master Funds collectively held approximately 4,200 securities in 22 eligible developed markets. In general, average cash exposure throughout the year was less than 1% of the Portfolio’s assets. For the 12 months ended October 31, 2016, total returns were 5.43% for the Portfolio and 3.96% for the MSCI World ex USA Small Cap Index (net dividends), the Portfolio’s benchmark. As a result of each Master Fund’s diversified investment approach, performance was determined principally by broad trends in developed ex U.S. equity markets rather than by the behavior of a limited number of stocks. The Master Funds’ greater allocation than the benchmark to micro-cap securities was the primary driver of outperformance, as micro caps generally outperformed other small-cap securities. The Master Funds generally exclude real estate investment trusts (REITs), which also contributed positively to relative performance, as REITs generally underperformed the benchmark. Japanese Small Company Portfolio The Japanese Small Company Portfolio is designed to capture the returns of Japanese small company stocks by purchasing shares of the Japanese Small Company Series, a Master Fund managed by Dimensional that invests in such securities. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Master Fund held approximately 1,500 securities. In general, average cash exposure throughout the year was less than 1% of the Master Fund’s assets. For the 12 months ended October 31, 2016, total returns were 14.04% for the Portfolio and 13.21% for the MSCI Japan Small Cap Index (net dividends), the Portfolio’s benchmark. As a result of the Master Fund’s diversified investment approach, performance was determined principally by broad trends in the Japanese equity market rather than by the behavior of a limited number of stocks. The Master Fund’s greater allocation than the benchmark to micro-cap securities had a positive impact on its performance relative to the benchmark , as micro- caps generally outperformed other small-cap securities. The Master Fund’s outperformance was partially offset by the exclusion of real estate investment trusts (REITs), which outperformed the overall benchmark. Asia Pacific Small Company Portfolio The Asia Pacific Small Company Portfolio is designed to capture the returns of small company stocks in Australia, Hong Kong, New Zealand, and Singapore by purchasing shares of the Asia Pacific Small Company Series, a Master Fund managed by Dimensional that invests in such securities. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Master Fund held approximately 850 securities across the eligible countries. Country allocations generally reflect the approximate weights of individual securities within a universe of these countries’ stocks constructed by the Advisor. In general, average cash exposure throughout the year was less than 1% of the Master Fund’s assets. For the 12 months ended October 31, 2016, total returns were 16.18% for the Portfolio and 10.56% for the MSCI Pacific ex Japan Small Cap Index (net dividends), the Portfolio’s benchmark. As a result of the Master Fund’s diversified investment approach, performance was determined principally by broad trends in Asia Pacific 25 equity markets rather than by the behavior of a limited number of stocks. The Master Fund’s exclusion of small- and micro-cap stocks with high relative price (growth) and low profitability contributed to outperformance relative to the benchmark, as that segment of the market underperformed. The Master Fund’s holdings of micro-cap securities, which were held at higher weight than in the benchmark, outperformed and also contributed positively to relative performance. In addition, due to differences in methodology the Master Fund may invest in or hold securities that the benchmark deems to be too large to be eligible for inclusion; during the period, these securities also outperformed, contributing to the Master Fund’s relative performance. United Kingdom Small Company Portfolio The United Kingdom Small Company Portfolio is designed to capture the returns of small company stocks in the U.K. by purchasing shares of the United Kingdom Small Company Series, a Master Fund managed by Dimensional that invests in such securities. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Master Fund held approximately 320 securities. In general, average cash exposure throughout the year was less than 1% of the Master Fund’s assets. For the 12 months ended October 31, 2016, total returns were -16.20% for the Portfolio and -15.89% for the MSCI UK Small Cap Index (net dividends), the Portfolio’s benchmark. As a result of the Master Fund’s diversified investment approach, performance was determined principally by broad trends in the U.K. equity market rather than by the behavior of a limited number of stocks. The Master Fund’s overall performance was adversely affected by the British vote on June 23, 2016 to exit the European Union. The Master Fund’s investments are denominated primarily in British pounds, which depreciated approximately 16% from the aftermath of the vote through October 31, 2016. The Master Fund generally excludes real estate investment trusts (REITs), which contributed positively to its performance relative to the benchmark, as REITs in the U.K. underperformed all other sectors during the period. This was offset by differences between the Master Fund’s and the benchmark’s holdings in the consumer discretionary sector, as the benchmark’s holdings in this sector outperformed those of the Master Fund. Continental Small Company Portfolio The Continental Small Company Portfolio is designed to capture the returns of small company stocks in the developed markets of Europe (excluding the U.K.) and Israel by purchasing shares of the Continental Small Company Series, a Master Fund managed by Dimensional that invests in such securities. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Master Fund held approximately 1,160 securities in 14 eligible developed European countries plus Israel. In general, average cash exposure throughout the year was less than 1% of the Master Fund’s assets. For the 12 months ended October 31, 2016, total returns were 5.70% for the Portfolio and 2.61% for the MSCI Europe ex UK Small Cap Index (net dividends), the Portfolio’s benchmark. As a result of the Master Fund’s diversified investment approach, performance was determined principally by broad trends in the European (excluding the U.K.) and Israeli equity markets rather than by the behavior of a limited number of stocks. The Master Fund’s holdings of microcap securities, held at a higher weight than in the benchmark, outperformed and contributed to performance relative to the benchmark. In addition, due to differences in methodology, the Master Fund may invest in or hold securities that the benchmark deems to be too large to be eligible for inclusion. During the period, the Master Fund’s holdings of these securities outperformed and contributed positively to relative performance. The Master Fund generally excludes real estate investment trusts (REITs), which contributed positively to outperformance relative to the benchmark, as REITs underperformed the overall index. DFA International Real Estate Securities Portfolio The DFA International Real Estate Securities Portfolio is designed to capture the returns of a broadly diversified portfolio of real estate securities in developed ex U.S. and emerging markets. As of October 31, 2016, the Portfolio held approximately 260 securities in 21 approved developed ex U.S. and emerging markets countries. In general, average cash exposure throughout the year was less than 1% of the Portfolio’s assets. For the 12 months ended October 31, 2016, total returns were 1.05% for the Portfolio and 1.28% for the S&P Global ex US REIT Index (net dividends), the Portfolio’s benchmark. As a result of the Portfolio’s diversified approach, performance was generally determined by broad trends in developed ex U.S. real estate securities 26 markets rather than by the behavior of a limited number of stocks. The Portfolio’s overall performance and its benchmark were adversely affected by the British vote on June 23, 2016 to exit the European Union. The Portfolio held an average weight of approximately 15% in UK REITs over the one year period ended October 31, 2016. The Portfolio’s exclusion of Thailand REITs, which outperformed and were included in the benchmark, detracted from the Portfolio’s performance relative to the benchmark. In addition, small holdings differences in Japan, the U.K., and Australia, resulting from differences in the classification of eligible securities between the Portfolio and the benchmark, also detracted from relative performance. DFA Global Real Estate Securities Portfolio The DFA Global Real Estate Securities Portfolio is designed to capture the returns of a broadly diversified group of real estate securities in developed and emerging markets. As of October 31, 2016, the Portfolio invested in the DFA International Real Estate Securities Portfolio, the DFA Real Estate Securities Portfolio, and individual securities. As of October 31, 2016, the Portfolio held, either directly or through the underlying portfolios, approximately 410 securities in 22 approved developed and emerging markets countries. In general, average cash exposure throughout the year was less than 1% of the Portfolio’s assets. For the 12 months ended October 31, 2016, total returns were 4.87% for the Portfolio and 3.89% for the S&P Global REIT Index (net dividends), the Portfolio’s benchmark. As a result of the Portfolio’s diversified approach, performance was generally determined by broad trends in global real estate markets rather than by the behavior of a limited number of stocks. The Portfolio’s overall performance and its benchmark were adversely affected by the British vote on June 23, 2016 to exit the European Union. The Portfolio held an average weight of approximately 5% in UK REITs over the one year period ended October 31, 2016. The Portfolio’s holdings in the U.S. outperformed those in the benchmark. Withholding tax rate differences between the Portfolio and the benchmark also contributed positively to the Portfolio’s relative performance relative to the benchmark. DFA International Small Cap Value Portfolio The DFA International Small Cap Value Portfolio is designed to capture the returns of small-cap value stocks in developed ex U.S. markets. Value is measured primarily by price-to-book ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held over 2,200 securities in 22 eligible developed markets. In general, average cash exposure throughout the year was less than 1% of the Portfolio’s assets. For the 12 months ended October 31, 2016, total returns were 4.09% for the Portfolio and 3.96% for the MSCI World ex USA Small Cap Index (net dividends), the Portfolio’s benchmark. As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad trends in developed ex U.S. equity markets rather than by the behavior of a limited number of stocks. The Portfolio focuses on deep value stocks, while the benchmark does not. This difference had a positive impact on the Portfolio’s performance relative to the benchmark, as value stocks generally outperformed during the period. The Portfolio generally excludes real estate investment trusts (REITs), which also had a positive impact on relative outperformance as REITs underperformed the benchmark. International Vector Equity Portfolio The International Vector Equity Portfolio is designed to capture the returns of a broadly diversified group of stocks in developed ex U.S. markets, with increased exposure to stocks with smaller market capitalization, lower relative price, and higher profitability. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held approximately 4,600 securities in 22 eligible developed markets. In general, average cash exposure throughout the year was less than 1% of the Portfolio’s assets. For the 12 months ended October 31, 2016, total returns were 3.21% for the Portfolio and -2.27% for the MSCI World ex USA Index (net dividends), the Portfolio’s benchmark. As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad trends in developed ex U.S. equity markets rather than by the behavior of a limited number of stocks. The Portfolio invests in stocks across all size categories, while the benchmark primarily includes large and mid-cap stocks. With developed ex U.S. small-cap stocks generally 27 outperforming large-cap stocks during the period, the Portfolio’s inclusion of small-cap stocks contributed positively to performance relative to the benchmark. To a lesser extent, the Portfolio’s greater emphasis than the benchmark on low relative price (value) stocks also had a positive impact on the Portfolio’s relative performance, as value stocks outperformed during the period. World ex U.S. Value Portfolio The World ex U.S. Value Portfolio is designed to capture the returns of value stocks across all market capitalizations in developed ex U.S. and emerging markets. The Portfolio may pursue its objective by holding direct securities; by purchasing shares of funds managed by Dimensional: the DFA International Value Series, the DFA International Small Cap Value Portfolio, and the Dimensional Emerging Markets Value Fund (the “Underlying Funds”); or by a combination of securities and Underlying Funds. Value is measured primarily by price-to-book ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Underlying Funds collectively held approximately 4,900 securities in 41 eligible developed ex US and emerging markets. In general, average cash exposure throughout the year was less than 1% of the Portfolio’s assets. For the 12 months ended October 31, 2016, total returns were 3.54% for the Portfolio and 0.22% for the MSCI All Country World ex USA Index (net dividends), the Portfolio’s benchmark. As a result of the Underlying Funds’ diversified investment approach, performance was determined principally by broad trends in developed ex U.S. and emerging equity markets rather than by the behavior of a limited number of stocks. The Underlying Funds invest primarily in value stocks, while the benchmark is neutral with regard to value or growth stocks. The Underlying Funds’ emphasis on deep value stocks contributed positively to the Portfolio’s performance relative to the benchmark, as that segment of the market outperformed for the year. The Underlying Funds’ inclusion of and emphasis on small and mid-cap stocks also contributed positively to the Portfolio’s performance relative to the benchmark, as those stocks outperformed for the period. World ex U.S. Targeted Value Portfolio The World ex U.S. Targeted Value Portfolio is designed to capture the returns of small and mid-cap value stocks in developed ex U.S. and emerging markets. Value is measured primarily by price-to-book ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held approximately 3,600 securities. In general, average cash exposure throughout the year was less than 1% of the Portfolio’s assets. For the 12 months ended October 31, 2016, total returns were 7.18% for the Portfolio and 4.22% for the MSCI All Country World ex USA Small Cap Index (net dividends), the Portfolio’s benchmark. As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad trends in developed ex U.S. and emerging markets rather than by the behavior of a limited number of stocks. The Portfolio’s emphasis on value stocks, compared to the benchmark, which is neutral with regard to value or growth stocks, had a positive impact on the Portfolio’s performance relative to the benchmark, as value stocks generally outperformed during the period. The Portfolio generally excludes real estate investment trusts (REITs), which also contributed positively to relative performance as REITs underperformed the benchmark. World ex U.S. Core Equity Portfolio The World ex U.S. Core Equity Portfolio is designed to capture the returns of a broadly diversified group of stocks in developed ex U.S. and emerging markets with increased exposure to stocks with smaller market capitalization and lower relative price. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held approximately 7,000 securities in 43 eligible developed and emerging markets. In general, average cash exposure throughout the year was less than 1% of the Portfolio’s assets. For the 12 months ended October 31, 2016, total returns were 3.58% for the Portfolio and 0.22% for the MSCI All Country World ex USA Index (net dividends), the Portfolio’s benchmark. As a result of the Portfolio’s diversified investment approach, performance was determined principally by broad trends in developed ex U.S. and emerging equity markets rather than by the behavior of a limited number of stocks. The Portfolio invests in stocks across all size categories, while the benchmark primarily holds large and mid-cap stocks. The Portfolio’s inclusion of 28 small-cap stocks contributed positively to performance relative to the benchmark. To a lesser extent, the Portfolio’s greater emphasis than the benchmark on low relative price (value) stocks also had a positive impact on the Portfolio’s relative performance, as value stocks outperformed during the period. World Core Equity Portfolio The World Core Equity Portfolio seeks long-term capital appreciation generally by investing in a combination of mutual funds managed by Dimensional. As of the date of this report, the Portfolio’s investments included the U.S. Core Equity 1 Portfolio, International Core Equity Portfolio, and Emerging Markets Core Equity Portfolio (collectively, the “Underlying Funds”). The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Underlying Funds collectively held more than 12,000 equity securities in 44 countries. For the 12 months ended October 31, 2016, total returns were 3.73% for the Portfolio and 2.05% for the MSCI All Country World Index (net dividends), the Portfolio’s benchmark. As a result of the Underlying Funds’ diversified investment approach, performance was determined principally by broad trends in global equity markets rather than the behavior of a limited group of stocks. The Underlying Funds’ greater exposure than the benchmark to smaller and deeper value stocks, both of which generally outperformed the benchmark, contributed to the Portfolio’s performance relative to the benchmark. Selectively Hedged Global Equity Portfolio The Selectively Hedged Global Equity Portfolio seeks long-term capital appreciation by investing in a combination of mutual funds managed by Dimensional. As of the date of this report, the Portfolio invests in the U.S. Core Equity 2 Portfolio, International Core Equity Portfolio, and Emerging Markets Core Equity Portfolio (the “Underlying Funds”). The Portfolio hedges foreign currency exposure on a selective basis to capture positive forward currency premiums. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Underlying Funds collectively held more than 12,000 equity securities in 44 countries. For the 12 months ended October 31, 2016, total returns were 4.32% for the Portfolio and 2.05% for the MSCI All Country World Index (net dividends), the Portfolio’s benchmark. As a result of the Underlying Funds’ diversified investment approach, performance was determined principally by broad trends in global equity markets rather than the behavior of a limited group of stocks in a particular industry or country. The Underlying Funds invest in stocks across all eligible countries but had a lower allocation than the benchmark to the U.S. and a higher allocation than the benchmark to emerging markets. For the period, emerging markets securities outperformed both U.S. and developed ex U.S. securities, and the Underlying Funds’ country allocation contributed to the Portfolio’s performance relative to the benchmark. The Underlying Funds’ greater exposure than the benchmark to smaller and deeper value stocks, both of which outperformed, contributed to the Portfolio’s relative performance. To a lesser extent, the Portfolio’s strategy of selectively hedging foreign currency exposure contributed to relative returns, particularly hedging British pound exposure, as the British pound depreciated against the U.S. dollar. Emerging Markets Portfolio The Emerging Markets Portfolio is designed to capture the returns of large-cap stocks in selected emerging markets countries by purchasing shares of The Emerging Markets Series, a Master Fund managed by Dimensional that invests in such securities. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Master Fund held approximately 1,000 securities across 21 eligible emerging markets. In general, average cash exposure throughout the year was less than 1% of the Master Fund’s assets. For the 12 months ended October 31, 2016, total returns were 11.01% for the Portfolio and 9.27% for the MSCI Emerging Markets Index (net dividends), the Portfolio’s benchmark. As a result of the Master Fund’s diversified approach, performance was generally determined by broad trends in emerging markets rather than by the behavior of a limited number of stocks. The relative outperformance of the Master Fund was driven primarily by country allocation differences between the Master Fund and the benchmark. The Master Fund’s lesser allocation to China contributed positively to the Portfolio’s performance relative to the benchmark, as China underperformed the benchmark during the period. The Master Fund’s greater allocation to Brazil (due to caps on larger countries such as China) also had a positive impact on relative performance, as Brazil was the strongest-performing country for 29 the year. In addition, the Master Fund’s emphasis on value stocks contributed positively to relative performance, as that segment of the market outperformed for the year. Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Portfolio is designed to capture the returns of small company stocks in selected emerging markets by purchasing shares of The Emerging Markets Small Cap Series, a Master Fund managed by Dimensional that invests in such securities. The Master Fund’s investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Master Fund held approximately 3,600 securities across 17 eligible emerging markets. In general, average cash exposure throughout the year was less than 1% of the Master Fund’s assets. For the 12 months ended October 31, 2016, total returns were 13.96% for the Portfolio and 9.27% for the MSCI Emerging Markets Index (net dividends), the Portfolio’s benchmark. As a result of the Master Fund’s diversified approach, performance was principally determined by broad trends in emerging markets rather than by the behavior of a limited number of stocks. The relative outperformance of the Master Fund was driven primarily by size allocation differences between the Master Fund and the benchmark. The Master Fund focuses on small-cap stocks while the benchmark primarily holds large-cap and mid-cap stocks. Emerging markets small-cap stocks outperformed emerging markets large-caps and mid-caps during the period, contributing to the Master Fund’s outperformance relative to the benchmark. The Master Fund’s lesser allocation to China also contributed positively to relative performance, as China underperformed the benchmark during the period. The Master Fund’s greater allocation to Brazil also had a positive impact on relative performance, as Brazil was the strongest-performing country for the year. Emerging Markets Value Portfolio The Emerging Markets Value Portfolio is designed to capture the returns of value stocks of large and small companies in selected emerging markets by purchasing shares of the Dimensional Emerging Markets Value Fund, a Master Fund managed by Dimensional that invests in such securities. Value is measured primarily by price-to-book ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Master Fund held approximately 2,200 securities across 19 eligible emerging markets. In general, average cash exposure throughout the year was less than 1% of the Master Fund’s assets. For the 12 months ended October 31, 2016, total returns were 14.98% for the Portfolio’s Class R2 shares, 15.23% for the Portfolio’s Institutional Class shares, and 9.27% for the MSCI Emerging Markets Index (net dividends), the Portfolio’s benchmark. As a result of the Master Fund’s diversified investment approach, performance was generally determined by broad trends in emerging markets rather than by the behavior of a limited number of stocks. The Master Fund invests primarily in low relative price (value) stocks, while the benchmark is neutral with regard to value or growth stocks. The Master Fund’s emphasis on the lowest relative price (deep value) stocks contributed positively to the Portfolio’s performance relative to the benchmark, as that segment of the market outperformed for the year, especially among small-caps. In addition, differences in country allocations contributed positively to the Master Fund’s relative performance. The Master Fund held a lesser allocation to China, which underperformed, and a greater allocation to Brazil, which outperformed, in each case contributing positively to relative performance. Emerging Markets Core Equity Portfolio The Emerging Markets Core Equity Portfolio is designed to capture the returns of a broadly diversified group of stocks in emerging markets, with increased exposure to stocks with smaller market capitalization, lower relative price, and higher profitability. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Portfolio held approximately 4,400 securities across 21 eligible emerging markets. In general, average cash exposure throughout the year was less than 1% of the Portfolio’s assets. For the 12 months ended October 31, 2016, total returns were 11.87% for the Portfolio and 9.27% for the MSCI Emerging Markets Index (net dividends), the Portfolio’s benchmark. As a result of the Portfolio’s diversified approach, performance was generally determined by broad trends in emerging markets rather than by the behavior of a limited number of stocks. The Portfolio’s inclusion of small-cap securities, particularly the lowest relative price 30 (deep value) small-cap securities, contributed positively to its performance relative to the benchmark, as that segment of the market outperformed for the year. At the country level, the Portfolio’s lesser allocation to China benefited relative performance, as China underperformed. In addition, the Portfolio’s greater allocation to Brazil had a positive impact on the Portfolio’s relative performance, as Brazil was the strongest performer in the benchmark for the year. 31 DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund’s costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return and “Expenses Paid During Period” reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.” Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund’s costs with those of other mutual funds. The hypothetical “Ending Account Value” and “Expenses Paid During Period” are derived from the fund’s actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The “Annualized Expense Ratio” represents the actual expenses for the six-month period indicated. Six Months Ended October 31, 2016 EXPENSE TABLES Beginning Account Value 05/01/16 Ending Account Value 10/31/16 Annualized Expense Ratio* Expenses Paid During Period* Enhanced U.S. Large Company Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,040.10 0.23% $1.18 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,023.98 0.23% $1.17 32 DISCLOSURE OF FUND EXPENSES CONTINUED Beginning Account Value 05/01/16 Ending Account Value 10/31/16 Annualized Expense Ratio* Expenses Paid During Period* U.S. Large Cap Equity Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,038.80 0.17% $0.87 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,024.28 0.17% $0.87 U.S. Large Cap Value Portfolio** Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,046.00 0.27% $1.39 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,023.78 0.27% $1.37 U.S. Targeted Value Portfolio Actual Fund Return Class R1 Shares .............................$1,000.00 $1,036.30 0.47% $2.41 Class R2 Shares .............................$1,000.00 $1,035.10 0.62% $3.17 Institutional Class Shares .....................$1,000.00 $1,036.80 0.37% $1.89 Hypothetical 5% Annual Return Class R1 Shares .............................$1,000.00 $1,022.77 0.47% $2.39 Class R2 Shares .............................$1,000.00 $1,022.02 0.62% $3.15 Institutional Class Shares .....................$1,000.00 $1,023.28 0.37% $1.88 U.S. Small Cap Value Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,038.50 0.52% $2.66 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,022.52 0.52% $2.64 U.S. Core Equity 1 Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,038.70 0.19% $0.97 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,024.18 0.19% $0.97 U.S. Core Equity 2 Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,039.40 0.22% $1.13 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,024.03 0.22% $1.12 U.S. Vector Equity Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,038.70 0.32% $1.64 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,023.53 0.32% $1.63 33 DISCLOSURE OF FUND EXPENSES CONTINUED Beginning Account Value 05/01/16 Ending Account Value 10/31/16 Annualized Expense Ratio* Expenses Paid During Period* U.S. Small Cap Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,041.40 0.37% $1.90 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,023.28 0.37% $1.88 U.S. Micro Cap Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,045.90 0.52% $2.67 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,022.52 0.52% $2.64 DFA Real Estate Securities Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,018.40 0.18% $0.91 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,024.23 0.18% $0.92 Large Cap International Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,011.00 0.28% $1.42 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,023.73 0.28% $1.42 International Core Equity Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,019.00 0.38% $1.93 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,023.23 0.38% $1.93 International Small Company Portfolio***** Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,023.90 0.54% $2.75 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,022.42 0.54% $2.75 Japanese Small Company Portfolio** Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,133.50 0.54% $2.90 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,022.42 0.54% $2.75 Asia Pacific Small Company Portfolio** Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,064.00 0.55% $2.85 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,022.37 0.55% $2.80 34 DISCLOSURE OF FUND EXPENSES CONTINUED Beginning Account Value 05/01/16 Ending Account Value 10/31/16 Annualized Expense Ratio* Expenses Paid During Period* United Kingdom Small Company Portfolio** Actual Fund Return Institutional Class Shares .....................$1,000.00 $ 882.00 0.59% $2.79 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,022.17 0.59% $3.00 Continental Small Company Portfolio** Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,016.10 0.55% $2.79 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,022.37 0.55% $2.80 DFA International Real Estate Securities Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $ 939.00 0.28% $1.36 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,023.73 0.28% $1.42 DFA Global Real Estate Securities Portfolio**** Actual Fund Return Institutional Class Shares .....................$1,000.00 $ 990.00 0.24% $1.20 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,023.93 0.24% $1.22 DFA International Small Cap Value Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,026.70 0.68% $3.46 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,021.72 0.68% $3.46 International Vector Equity Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,026.10 0.49% $2.50 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,022.67 0.49% $2.49 World ex U.S. Value Portfolio*** Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,052.00 0.52% $2.68 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,022.52 0.52% $2.64 World ex U.S. Targeted Value Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,038.00 0.79% $4.05 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,021.17 0.79% $4.01 35 DISCLOSURE OF FUND EXPENSES CONTINUED Beginning Account Value 05/01/16 Ending Account Value 10/31/16 Annualized Expense Ratio* Expenses Paid During Period* World ex U.S. Core Equity Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,036.40 0.47% $2.41 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,022.77 0.47% $2.39 World Core Equity Portfolio*** Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,036.90 0.30% $1.54 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,023.63 0.30% $1.53 Selectively Hedged Global Equity Portfolio*** Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,057.20 0.35% $1.81 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,023.38 0.35% $1.78 Emerging Markets Portfolio** Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,091.50 0.56% $2.94 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,022.32 0.56% $2.85 Emerging Markets Small Cap Portfolio** Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,089.60 0.71% $3.73 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,021.57 0.71% $3.61 Emerging Markets Value Portfolio** Actual Fund Return Class R2 Shares .............................$1,000.00 $1,104.40 0.81% $4.28 Institutional Class Shares .....................$1,000.00 $1,105.50 0.56% $2.96 Hypothetical 5% Annual Return Class R2 Shares .............................$1,000.00 $1,021.06 0.81% $4.12 Institutional Class Shares .....................$1,000.00 $1,022.32 0.56% $2.85 Emerging Markets Core Equity Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,092.00 0.61% $3.21 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,022.07 0.61% $3.10 * Expenses are equal to the fund’s annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (366) to reflect the six-month period. ** The Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of the Feeder Fund and the Feeder Fund’s portion of the expenses of its Master Funds. *** The Portfolio is a Fund of Funds. The expenses shown reflect the direct expenses of the Fund of Funds and the Fund of Funds’ portion of the expenses of its Underlying Funds (Affiliated Investment Companies). **** The Portfolio invests directly and indirectly through other funds. The expenses shown reflect the direct expenses of the fund and the fund’s portion of the expenses of its Underlying Funds (Affiliated Investment Companies). *****The Portfolio is a Fund of Funds. The expenses shown reflect the direct expenses of the Fund of Funds and the Fund of Funds’ portion of the expenses of its Master Funds. 36 DFA INVESTMENT DIMENSIONS GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on September 28, 2016. They are available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). SEC regulations permit a fund to include in its reports to shareholders a “Summary Schedule of Portfolio Holdings” in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund’s 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund’s net assets at the end of the reporting period. The regulations also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. A fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. The categories of industry classification for the Affiliated Investment Companies are represented in their Disclosures of Portfolio Holdings, which are included elsewhere within the report. Refer to the Schedule of Investments/Summary Schedule of Portfolio Holdings for each of the underlying Affiliated Investment Company’s holdings, which reflect the investments by category or country. FEEDER FUNDS Affiliated Investment Companies U.S. Large Cap Value Portfolio ............................................100.0% Japanese Small Company Portfolio .........................................100.0% Asia Pacific Small Company Portfolio .......................................100.0% United Kingdom Small Company Portfolio ...................................100.0% Continental Small Company Portfolio .......................................100.0% Emerging Markets Portfolio ...............................................100.0% Emerging Markets Small Cap Portfolio ......................................100.0% Emerging Markets Value Portfolio ..........................................100.0% 37 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED FUND OF FUNDS International Small Company Portfolio .........................................................100.0% World ex U.S. Value Portfolio ................................................................100.0% World Core Equity Portfolio ..................................................................100.0% Selectively Hedged Global Equity Portfolio .....................................................100.0% ENHANCED DOMESTIC EQUITY PORTFOLIO Enhanced U.S. Large Company Portfolio Corporate ......................27.2% Government ....................38.1% Foreign Corporate ...............16.8% Foreign Government .............15.9% Supranational ...................2.0% 100.0% DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS U.S. Large Cap Equity Portfolio Consumer Discretionary ..........15.1% Consumer Staples ...............9.3% Energy ........................6.2% Financials ......................13.6% Health Care ....................13.0% Industrials ......................11.9% Information Technology ...........21.1% Materials .......................3.9% Real Estate .....................0.2% Telecommunication Services ......3.1% Utilities ........................2.6% 100.0% U.S. Targeted Value Portfolio Consumer Discretionary ..........12.9% Consumer Staples ...............2.8% Energy ........................8.1% Financials ......................27.5% Health Care ....................4.7% Industrials ......................20.1% Information Technology ...........14.8% Materials .......................6.9% Real Estate .....................0.4% Telecommunication Services ......1.3% Utilities ........................0.5% 100.0% U.S. Small Cap Value Portfolio Consumer Discretionary ..........13.1% Consumer Staples ...............4.6% Energy ........................10.7% Financials ......................27.3% Health Care ....................4.5% Industrials ......................19.1% Information Technology ...........13.8% Materials .......................5.7% Real Estate .....................0.2% Telecommunication Services ......0.8% Utilities ........................0.2% 100.0% U.S. Core Equity 1 Portfolio Consumer Discretionary ..........15.5% Consumer Staples ...............8.6% Energy ........................6.0% Financials ......................14.7% Health Care ....................11.4% Industrials ......................13.3% Information Technology ...........20.0% Materials .......................4.5% Real Estate .....................0.2% Telecommunication Services ......2.7% Utilities ........................3.1% 100.0% U.S. Core Equity 2 Portfolio Consumer Discretionary ..........14.4% Consumer Staples ...............7.3% Energy ........................7.4% Financials ......................17.3% Health Care ....................10.7% Industrials ......................14.0% Information Technology ...........18.7% Materials .......................4.7% Real Estate .....................0.3% Telecommunication Services ......3.0% Utilities ........................2.2% 100.0% U.S. Vector Equity Portfolio Consumer Discretionary ..........14.2% Consumer Staples ...............4.8% Energy ........................7.9% Financials ......................24.6% Health Care ....................8.1% Industrials ......................15.6% Information Technology ...........15.1% Materials .......................5.3% Real Estate .....................0.5% Telecommunication Services ......2.7% Utilities ........................1.2% 100.0% U.S. Small Cap Portfolio Consumer Discretionary ..........16.0% Consumer Staples ...............4.6% Energy ........................4.2% Financials ......................19.8% Health Care ....................8.3% Industrials ......................19.1% Information Technology ...........16.2% Materials .......................5.8% Real Estate .....................0.6% Telecommunication Services ......1.0% Utilities ........................4.4% 100.0% U.S. Micro Cap Portfolio Consumer Discretionary ..........16.3% Consumer Staples ...............3.5% Energy ........................2.7% Financials ......................21.8% Health Care ....................9.6% Industrials ......................20.8% Information Technology ...........14.3% Materials .......................5.6% Real Estate .....................0.9% Telecommunication Services ......1.8% Utilities ........................2.7% 100.0% DFA Real Estate Securities Portfolio Real Estate ....................100.0% 100.0% 38 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED Large Cap International Portfolio Consumer Discretionary ..........13.4% Consumer Staples ...............11.2% Energy ........................6.3% Financials ......................20.1% Health Care ....................9.6% Industrials ......................14.2% Information Technology ...........5.0% Materials .......................9.7% Real Estate .....................2.1% Telecommunication Services ......4.8% Utilities ........................3.6% 100.0% International Core Equity Portfolio Consumer Discretionary ..........15.8% Consumer Staples ...............8.1% Energy ........................7.2% Financials ......................17.0% Health Care ....................5.7% Industrials ......................18.0% Information Technology ...........6.4% Materials .......................13.2% Real Estate .....................2.6% Telecommunication Services ......2.9% Utilities ........................3.1% 100.0% DFA International Real Estate Securities Portfolio Health Care ....................0.2% Real Estate .....................99.8% 100.0% DFA Global Real Estate Securities Portfolio Affiliated Investment Companies . . . 67.4% Real Estate .....................32.6% 100.0% DFA International Small Cap Value Portfolio Consumer Discretionary ..........14.1% Consumer Staples ...............5.5% Energy ........................7.0% Financials ......................18.5% Health Care ....................1.7% Industrials ......................23.8% Information Technology ...........5.2% Materials .......................19.9% Real Estate .....................2.8% Telecommunication Services ......0.5% Utilities ........................1.0% 100.0% International Vector Equity Portfolio Consumer Discretionary ..........15.1% Consumer Staples ...............7.0% Energy ........................7.8% Financials ......................18.0% Health Care ....................4.7% Industrials ......................18.9% Information Technology ...........6.9% Materials .......................14.8% Real Estate .....................2.7% Telecommunication Services ......2.0% Utilities ........................2.1% 100.0% World ex U.S. Targeted Value Portfolio Consumer Discretionary ..........14.9% Consumer Staples ...............5.6% Energy ........................5.7% Financials ......................18.3% Health Care ....................2.2% Industrials ......................20.0% Information Technology ...........7.0% Materials .......................19.4% Real Estate .....................4.3% Telecommunication Services ......1.2% Utilities ........................1.4% 100.0% World ex U.S. Core Equity Portfolio Consumer Discretionary ..........15.1% Consumer Staples ...............7.7% Energy ........................6.9% Financials ......................17.9% Health Care ....................5.0% Industrials ......................16.4% Information Technology ...........8.9% Materials .......................12.8% Real Estate .....................3.2% Telecommunication Services ......2.9% Utilities ........................3.2% 100.0% Emerging Markets Core Equity Portfolio Consumer Discretionary ..........11.7% Consumer Staples ...............8.6% Energy ........................6.3% Financials ......................19.9% Health Care ....................3.7% Industrials ......................9.6% Information Technology ...........18.6% Materials .......................9.9% Real Estate .....................3.5% Telecommunication Services ......4.3% Utilities ........................3.9% 100.0% 39 ENHANCED U.S. LARGE COMPANY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Face Amount^Value† (000) BONDS — (83.5%) AUSTRALIA — (7.0%) ANZ New Zealand International Ltd. 1.400%, 04/27/17 ...........1,600 $ 1,601,467 Commonwealth Bank of Australia 1.900%, 09/18/17 ...........3,250 3,266,997 ## 1.375%, 09/06/18 ...........3,000 2,990,274 Westpac Banking Corp. 1.500%, 12/01/17 ...........2,500 2,504,013 2.250%, 07/30/18 ...........3,000 3,037,617 Other Securities .................2,919,569 TOTAL AUSTRALIA .............16,319,937 CANADA — (11.4%) Ontario, Province of Canada 2.000%, 09/27/18 ...........6,700 6,797,934 Quebec, Province of Canada 4.625%, 05/14/18 ...........5,000 5,265,115 Royal Bank of Canada 1.250%, 06/16/17 ...........2,000 2,000,960 1.500%, 01/16/18 ...........2,000 2,003,486 Toronto-Dominion Bank (The) 1.400%, 04/30/18 ...........3,000 3,001,851 1.750%, 07/23/18 ...........2,000 2,010,198 Other Securities .................5,625,334 TOTAL CANADA ................26,704,878 DENMARK — (2.0%) Kommunekredit 1.250%, 08/27/18 ...........3,300 3,305,610 Other Securities .................1,501,200 TOTAL DENMARK ..............4,806,810 FINLAND — (2.8%) Municipality Finance P.L.C. 1.125%, 04/17/18 ...........4,500 4,500,454 Other Securities .................2,002,806 TOTAL FINLAND ................6,503,260 FRANCE — (2.0%) BNP Paribas SA 1.375%, 03/17/17 ...........1,800 1,801,743 Societe Generale SA 2.750%, 10/12/17 ...........1,980 2,005,522 Other Securities .................1,001,024 TOTAL FRANCE ................4,808,289 GERMANY — (11.0%) Erste Abwicklungsanstalt 1.000%, 10/13/17 ...........1,800 1,798,166 1.125%, 02/12/18 ...........2,000 1,997,082 Face Amount^Value† (000) GERMANY — (Continued) FMS Wertmanagement AoeR 1.125%, 09/05/17 ...........5,000 $ 5,005,225 KFW 1.000%, 09/07/18 ...........3,000 2,995,332 Landeskreditbank Baden- Wuerttemberg Foerderbank 1.000%, 04/23/18 ...........5,500 5,489,847 State of North Rhine-Westphalia 1.125%, 11/21/17 ...........3,000 2,999,586 1.375%, 07/16/18 ...........2,500 2,508,507 Other Securities .................2,915,935 TOTAL GERMANY ..............25,709,680 IRELAND — (0.5%) Other Securities .................1,204,738 JAPAN — (3.9%) Toyota Motor Credit Corp. 1.750%, 05/22/17 ...........5,000 5,019,315 1.550%, 07/13/18 ...........1,500 1,506,684 Other Securities .................2,726,816 TOTAL JAPAN ..................9,252,815 NETHERLANDS — (6.7%) Bank Nederlandse Gemeenten NV ## 1.000%, 09/20/18 ...........5,000 4,982,860 Cooperatieve Centrale Raiffeisen- Boerenleenbank BA 1.700%, 03/19/18 ...........3,435 3,446,600 Nederlandse Waterschapsbank NV 0.875%, 07/13/18 ...........3,500 3,482,451 Other Securities .................3,839,402 TOTAL NETHERLANDS ..........15,751,313 NORWAY — (1.2%) Statoil ASA 1.200%, 01/17/18 ...........2,000 1,995,908 Other Securities .................748,997 TOTAL NORWAY ...............2,744,905 SUPRANATIONAL ORGANIZATION OBLIGATIONS — (1.0%) African Development Bank 1.625%, 10/02/18 ...........2,250 2,271,440 SWEDEN — (3.6%) Kommuninvest I Sverige AB 1.000%, 01/29/18 ...........3,000 2,997,069 Svensk Exportkredit AB 1.125%, 04/05/18 ...........2,430 2,430,705 40 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED Face Amount^Value† (000) SWEDEN — (Continued) Svenska Handelsbanken AB 1.625%, 03/21/18 ..........3,000 $ 3,007,401 TOTAL SWEDEN ...............8,435,175 SWITZERLAND — (0.9%) Other Securities ................2,098,249 UNITED KINGDOM — (3.5%) Network Rail Infrastructure Finance P.L.C. 0.875%, 05/15/18 ..........4,000 3,983,600 Other Securities ................4,117,071 TOTAL UNITED KINGDOM ......8,100,671 UNITED STATES — (26.0%) AT&T, Inc. 2.400%, 03/15/17 ..........$1,500 1,507,641 Berkshire Hathaway Finance Corp 1.450%, 03/07/18 ..........2,000 2,009,944 Berkshire Hathaway, Inc. 1.550%, 02/09/18 ..........4,000 4,018,224 Capital One Financial Corp. 5.250%, 02/21/17 ..........1,492 1,510,249 Cardinal Health, Inc. 1.900%, 06/15/17 ..........1,500 1,507,014 Chevron Corp. 1.344%, 11/09/17 ..........3,200 3,206,624 1.365%, 03/02/18 ..........1,762 1,764,867 Cisco Systems, Inc. 1.650%, 06/15/18 ..........5,300 5,337,243 Exxon Mobil Corp. 1.439%, 03/01/18 ..........3,000 3,010,707 Molson Coors Brewing Co. 2.000%, 05/01/17 ..........1,715 1,721,949 NYSE Euronext 2.000%, 10/05/17 ..........1,500 1,512,765 Face Amount^Value† (000) UNITED STATES — (Continued) Pfizer, Inc. 1.200%, 06/01/18 .......... $5,000 $ 5,003,205 UnitedHealth Group, Inc. 6.000%, 06/15/17 ..........1,500 1,545,975 Other Securities ................27,214,231 TOTAL UNITED STATES ........60,870,638 TOTAL BONDS ................195,582,798 AGENCY OBLIGATIONS — (5.6%) Federal Home Loan Mortgage Corporation 0.750%, 01/12/18 ..........8,000 7,998,264 Federal National Mortgage Association 1.875%, 09/18/18 ..........5,000 5,089,485 TOTAL AGENCY OBLIGATIONS ...............13,087,749 U.S. TREASURY OBLIGATIONS — (10.9%) U.S. Treasury Notes ‡ 0.875%, 11/15/17 ..........22,500 22,532,512 0.875%, 01/15/18 ..........3,000 3,004,806 TOTAL U.S. TREASURY OBLIGATIONS ...............25,537,318 TOTAL INVESTMENT SECURITIES ................234,207,865 Shares SECURITIES LENDING COLLATERAL — (—%) §@ DFA Short Term Investment Fund ......... 23 270 TOTAL INVESTMENTS — (100.0%) (Cost $234,199,804)..........$234,208,135 Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Bonds Australia .................................................. — $16,319,937 — $ 16,319,937 Canada ................................................... —26,704,878 — 26,704,878 Denmark .................................................. —4,806,810 — 4,806,810 Finland ................................................... —6,503,260 — 6,503,260 France .................................................... —4,808,289 — 4,808,289 Germany .................................................. —25,709,680 — 25,709,680 Ireland .................................................... —1,204,738 — 1,204,738 Japan .................................................... —9,252,815 — 9,252,815 Netherlands ............................................... —15,751,313 — 15,751,313 Norway ................................................... —2,744,905 — 2,744,905 41 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Supranational Organization Obligations ...................... — $2,271,440 — $ 2,271,440 Sweden ................................................. —8,435,175 — 8,435,175 Switzerland .............................................. —2,098,249 — 2,098,249 United Kingdom .......................................... —8,100,671 — 8,100,671 United States ............................................ —60,870,638 — 60,870,638 Agency Obligations ......................................... —13,087,749 — 13,087,749 U.S. Treasury Obligations .................................... —25,537,318 — 25,537,318 Securities Lending Collateral ................................. — 270 — 270 Futures Contracts**.........................................$251,626 — — 251,626 TOTAL ....................................................$251,626 $234,208,135 — $234,459,761 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 42 U.S. LARGE CAP EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value† Percentage of Net Assets** COMMON STOCKS — (94.5%) Consumer Discretionary — (14.2%) * Amazon.com, Inc............................................16,644 $ 13,145,764 1.5% Comcast Corp. Class A .......................................135,240 8,360,537 1.0% Home Depot, Inc. (The).......................................49,003 5,978,856 0.7% McDonald’s Corp............................................34,541 3,888,280 0.5% Time Warner, Inc............................................36,139 3,216,010 0.4% Walt Disney Co. (The)........................................67,452 6,252,126 0.7% Other Securities .............................................86,938,994 10.2% Total Consumer Discretionary ......................................127,780,567 15.0% Consumer Staples — (8.8%) Altria Group, Inc.............................................79,821 5,277,765 0.6% Coca-Cola Co. (The).........................................142,593 6,045,943 0.7% CVS Health Corp............................................48,410 4,071,281 0.5% PepsiCo, Inc................................................58,593 6,281,170 0.7% Philip Morris International, Inc..................................47,352 4,566,627 0.5% Procter & Gamble Co. (The)...................................103,082 8,947,518 1.1% Wal-Mart Stores, Inc..........................................86,141 6,031,593 0.7% Other Securities .............................................37,710,466 4.5% Total Consumer Staples ...........................................78,932,363 9.3% Energy — (5.9%) Chevron Corp...............................................61,119 6,402,215 0.8% Exxon Mobil Corp............................................138,324 11,525,156 1.4% Schlumberger, Ltd...........................................41,728 3,264,381 0.4% Other Securities .............................................31,555,639 3.6% Total Energy ....................................................52,747,391 6.2% Financials — (12.9%) Bank of America Corp........................................267,185 4,408,553 0.5% * Berkshire Hathaway, Inc. Class B ..............................60,345 8,707,784 1.0% Citigroup, Inc................................................75,262 3,699,127 0.4% JPMorgan Chase & Co........................................145,465 10,074,906 1.2% Wells Fargo & Co............................................191,846 8,826,834 1.0% Other Securities .............................................79,882,386 9.5% Total Financials ..................................................115,599,590 13.6% Health Care — (12.3%) AbbVie, Inc.................................................66,571 3,713,330 0.4% Amgen, Inc.................................................29,359 4,144,316 0.5% Gilead Sciences, Inc..........................................54,053 3,979,922 0.5% Johnson & Johnson ..........................................107,847 12,509,174 1.5% Medtronic P.L.C.............................................40,674 3,336,082 0.4% Merck & Co., Inc.............................................119,713 7,029,547 0.8% Pfizer, Inc...................................................292,583 9,277,807 1.1% UnitedHealth Group, Inc.......................................37,625 5,317,541 0.6% Other Securities .............................................60,905,220 7.1% Total Health Care ................................................110,212,939 12.9% 43 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** Industrials — (11.2%) 3MCo. ....................................................24,565 $ 4,060,594 0.5% Boeing Co. (The)............................................23,780 3,386,985 0.4% General Electric Co..........................................230,877 6,718,521 0.8% Honeywell International, Inc...................................31,952 3,504,495 0.4% Union Pacific Corp...........................................37,430 3,300,577 0.4% United Parcel Service, Inc. Class B .............................28,060 3,023,746 0.4% United Technologies Corp.....................................36,270 3,706,794 0.4% Other Securities .............................................73,222,851 8.6% Total Industrials .................................................100,924,563 11.9% Information Technology — (19.9%) * Alphabet, Inc. Class A ........................................9,593 7,769,371 0.9% * Alphabet, Inc. Class C ........................................10,253 8,043,889 1.0% Apple, Inc..................................................272,646 30,956,227 3.6% Cisco Systems, Inc...........................................198,197 6,080,684 0.7% * Facebook, Inc. Class A .......................................59,975 7,856,125 0.9% Intel Corp...................................................250,249 8,726,183 1.0% International Business Machines Corp...........................36,994 5,685,608 0.7% Mastercard, Inc. Class A ......................................39,435 4,220,334 0.5% Microsoft Corp...............................................268,968 16,116,563 1.9% Oracle Corp.................................................121,109 4,653,008 0.6% QUALCOMM, Inc............................................57,128 3,925,836 0.5% # Visa, Inc. Class A ............................................58,180 4,800,432 0.6% Other Securities .............................................69,767,237 8.1% Total Information Technology ......................................178,601,497 21.0% Materials — (3.6%) Other Securities .............................................32,740,265 3.8% Real Estate — (0.2%) Other Securities .............................................1,600,080 0.2% Telecommunication Services — (3.0%) AT&T, Inc..................................................347,768 12,794,385 1.5% Verizon Communications, Inc..................................202,782 9,753,814 1.1% Other Securities .............................................4,152,720 0.5% Total Telecommunication Services ..................................26,700,919 3.1% Utilities — (2.5%) Other Securities .............................................22,316,605 2.6% TOTAL COMMON STOCKS .......................................848,156,779 99.6% RIGHTS/WARRANTS — (0.0%) Other Securities .............................................7,339 0.0% TOTAL INVESTMENT SECURITIES ................................848,164,118 TEMPORARY CASH INVESTMENTS — (0.4%) State Street Institutional U.S. Government Money Market Fund, 0.260%..................................................3,254,122 3,254,122 0.4% SECURITIES LENDING COLLATERAL — (5.1%) §@ DFA Short Term Investment Fund ..............................3,978,329 46,037,222 5.4% TOTAL INVESTMENTS — (100.0%) (Cost $843,199,221)............................................$897,455,462 105.4% 44 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Consumer Discretionary .................................$127,780,567 — — $127,780,567 Consumer Staples .....................................78,932,363 — — 78,932,363 Energy ...............................................52,747,391 — — 52,747,391 Financials ............................................115,599,590 — — 115,599,590 Health Care ...........................................110,212,939 — — 110,212,939 Industrials ............................................100,924,563 — — 100,924,563 Information Technology .................................178,601,497 — — 178,601,497 Materials .............................................32,740,265 — — 32,740,265 Real Estate ...........................................1,600,080 — — 1,600,080 Telecommunication Services .............................26,700,919 — — 26,700,919 Utilities ...............................................22,316,605 — — 22,316,605 Rights/Warrants ......................................... — $7,339 — 7,339 Temporary Cash Investments ..............................3,254,122 — — 3,254,122 Securities Lending Collateral ............................... —46,037,222 — 46,037,222 TOTAL .................................................$851,410,901 $46,044,561 — $897,455,462 See accompanying Notes to Financial Statements. 45 U.S. LARGE CAP VALUE PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2016 Value† AFFILIATED INVESTMENT COMPANY — (100.0%) Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company ...............................................$17,646,269,059 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $13,161,852,368)......................................................$17,646,269,059 Summary of the Portfolio’s Master Fund’s investments as of October 31, 2016, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 46 U.S. TARGETED VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value† Percentage of Net Assets** COMMON STOCKS — (85.7%) Consumer Discretionary — (11.1%) # CalAtlantic Group, Inc.....................................950,452 $ 30,718,609 0.4% # Penske Automotive Group, Inc.............................670,459 30,003,040 0.4% PulteGroup, Inc..........................................2,619,087 48,715,018 0.6% #* Toll Brothers, Inc.........................................1,825,686 50,096,824 0.6% # Wendy’s Co. (The).......................................2,467,549 26,748,231 0.3% Other Securities .........................................842,546,526 10.5% Total Consumer Discretionary ..................................1,028,828,248 12.8% Consumer Staples — (2.4%) Ingredion, Inc............................................308,331 40,443,777 0.5% * Post Holdings, Inc........................................452,753 34,513,361 0.4% Other Securities .........................................152,404,280 1.9% Total Consumer Staples .......................................227,361,418 2.8% Energy — (7.0%) # CONSOL Energy, Inc.....................................2,053,549 34,807,656 0.4% # Helmerich & Payne, Inc...................................981,328 61,931,610 0.8% # Nabors Industries, Ltd.....................................2,649,417 31,528,062 0.4% # Patterson-UTI Energy, Inc.................................1,467,463 32,988,568 0.4% #* Transocean, Ltd..........................................3,859,284 37,087,719 0.5% * WPX Energy, Inc.........................................2,495,721 27,103,530 0.3% Other Securities .........................................423,271,669 5.2% Total Energy .................................................648,718,814 8.0% Financials — (23.5%) Allied World Assurance Co. Holdings AG ....................916,893 39,408,061 0.5% American Financial Group, Inc..............................410,982 30,618,159 0.4% Assurant, Inc............................................690,273 55,580,782 0.7% Assured Guaranty, Ltd....................................1,411,615 42,193,172 0.5% Axis Capital Holdings, Ltd..................................833,379 47,477,602 0.6% Endurance Specialty Holdings, Ltd..........................556,970 51,213,391 0.6% # Investors Bancorp, Inc....................................3,372,014 41,340,892 0.5% Old Republic International Corp.............................1,651,907 27,851,152 0.4% # PacWest Bancorp ........................................1,062,252 46,091,114 0.6% # People’s United Financial, Inc..............................3,573,174 58,028,346 0.7% # Prosperity Bancshares, Inc................................566,971 31,449,881 0.4% Reinsurance Group of America, Inc.........................529,505 57,112,409 0.7% # RenaissanceRe Holdings, Ltd..............................413,158 51,351,408 0.6% Umpqua Holdings Corp...................................2,309,943 35,295,929 0.4% Validus Holdings, Ltd.....................................731,070 37,357,677 0.5% # WR Berkley Corp.........................................503,536 28,751,906 0.4% # Zions Bancorporation .....................................2,055,260 66,199,925 0.8% Other Securities .........................................1,442,305,161 17.8% Total Financials ..............................................2,189,626,967 27.1% Health Care — (4.1%) Other Securities .........................................378,473,936 4.7% 47 U.S. TARGETED VALUE PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** Industrials — (17.2%) * AECOM ................................................1,159,540 $ 32,293,189 0.4% AGCO Corp.............................................894,626 45,697,496 0.6% Curtiss-Wright Corp......................................299,743 26,862,968 0.3% #* Genesee & Wyoming, Inc. Class A .........................449,223 30,520,211 0.4% * Jacobs Engineering Group, Inc.............................1,318,143 67,989,816 0.8% * Quanta Services, Inc.....................................1,588,395 45,666,356 0.6% Ryder System, Inc........................................518,458 35,975,801 0.5% # Trinity Industries, Inc......................................1,681,931 35,909,227 0.4% * United Rentals, Inc.......................................381,529 28,866,484 0.4% Other Securities .........................................1,250,108,938 15.4% Total Industrials ..............................................1,599,890,486 19.8% Information Technology — (12.7%) * Arrow Electronics, Inc.....................................917,670 56,087,990 0.7% Avnet, Inc...............................................1,392,357 58,409,376 0.7% #* Cirrus Logic, Inc.........................................580,482 31,334,418 0.4% #* First Solar, Inc...........................................938,396 37,995,654 0.5% Ingram Micro, Inc. Class A ................................1,355,507 50,424,860 0.6% Marvell Technology Group, Ltd.............................2,895,763 37,731,792 0.5% Other Securities .........................................906,143,941 11.2% Total Information Technology ..................................1,178,128,031 14.6% Materials — (5.9%) Albemarle Corp..........................................447,820 37,415,361 0.5% Huntsman Corp..........................................1,712,055 29,019,332 0.4% Reliance Steel & Aluminum Co.............................799,232 54,971,177 0.7% Steel Dynamics, Inc......................................1,783,702 48,980,457 0.6% Other Securities .........................................377,919,526 4.6% Total Materials ...............................................548,305,853 6.8% Real Estate — (0.3%) Other Securities .........................................31,044,144 0.4% Telecommunication Services — (1.1%) # Frontier Communications Corp.............................10,593,249 42,584,861 0.5% Other Securities .........................................60,816,043 0.8% Total Telecommunication Services ..............................103,400,904 1.3% Utilities — (0.4%) Other Securities .........................................41,264,674 0.5% TOTAL COMMON STOCKS ...................................7,975,043,475 98.8% TOTAL INVESTMENT SECURITIES ............................7,975,043,475 TEMPORARY CASH INVESTMENTS — (0.9%) State Street Institutional U.S. Government Money Market Fund, 0.260%..............................................87,592,812 87,592,812 1.1% SECURITIES LENDING COLLATERAL — (13.4%) §@ DFA Short Term Investment Fund ..........................107,201,971 1,240,541,205 15.4% TOTAL INVESTMENTS — (100.0%) (Cost $8,412,322,925)......................................$9,303,177,492 115.3% 48 U.S. TARGETED VALUE PORTFOLIO CONTINUED Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Consumer Discretionary ...........................$1,028,828,248 — — $1,028,828,248 Consumer Staples ................................227,361,418 — — 227,361,418 Energy .........................................648,718,814 — — 648,718,814 Financials .......................................2,189,620,054 $ 6,913 — 2,189,626,967 Health Care .....................................378,473,936 — — 378,473,936 Industrials .......................................1,599,890,486 — — 1,599,890,486 Information Technology ...........................1,178,128,031 — — 1,178,128,031 Materials .......................................548,305,853 — — 548,305,853 Real Estate .....................................31,044,144 — — 31,044,144 Telecommunication Services .......................103,400,904 — — 103,400,904 Utilities .........................................41,264,674 — — 41,264,674 Temporary Cash Investments ........................87,592,812 — — 87,592,812 Securities Lending Collateral ......................... —1,240,541,205 — 1,240,541,205 Futures Contracts**................................(2,038,880) — — (2,038,880) TOTAL ...........................................$8,060,590,494 $1,240,548,118 — $9,301,138,612 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 49 U.S. SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value† Percentage of Net Assets** COMMON STOCKS — (85.5%) Consumer Discretionary — (11.2%) Aaron’s, Inc.............................................2,619,654 $ 64,731,650 0.5% # Marriott Vacations Worldwide Corp..........................886,647 56,373,016 0.5% Scholastic Corp..........................................1,405,229 53,750,009 0.4% Other Securities .........................................1,437,550,390 11.4% Total Consumer Discretionary ..................................1,612,405,065 12.8% Consumer Staples — (3.9%) * Darling Ingredients, Inc....................................5,273,808 71,723,789 0.6% # Fresh Del Monte Produce, Inc..............................1,819,097 109,782,504 0.9% #* Post Holdings, Inc........................................729,726 55,627,013 0.4% #* Seaboard Corp...........................................18,550 62,791,750 0.5% Other Securities .........................................266,035,208 2.1% Total Consumer Staples .......................................565,960,264 4.5% Energy — (9.1%) # Nabors Industries, Ltd.....................................6,743,367 80,246,067 0.6% #* Oasis Petroleum, Inc......................................7,099,759 74,476,472 0.6% # Patterson-UTI Energy, Inc.................................5,206,407 117,040,029 0.9% #* PDC Energy, Inc.........................................1,354,503 83,071,669 0.7% # Rowan Cos. P.L.C. Class A ................................4,670,168 61,973,129 0.5% * RSP Permian, Inc........................................2,076,424 74,958,906 0.6% #* WPX Energy, Inc.........................................8,320,294 90,358,393 0.7% Other Securities .........................................728,160,751 5.8% Total Energy .................................................1,310,285,416 10.4% Financials — (23.3%) American Equity Investment Life Holding Co..................3,022,120 54,186,612 0.4% Argo Group International Holdings, Ltd.......................1,114,881 61,987,384 0.5% Aspen Insurance Holdings, Ltd.............................2,180,395 105,204,059 0.8% # Associated Banc-Corp ....................................5,119,075 103,917,222 0.8% CNO Financial Group, Inc..................................5,075,652 76,540,832 0.6% Endurance Specialty Holdings, Ltd..........................1,510,269 138,869,235 1.1% # FNB Corp...............................................4,087,225 53,420,031 0.4% # Fulton Financial Corp.....................................5,483,715 81,707,353 0.7% # Hancock Holding Co......................................2,430,305 81,536,733 0.7% # Hanover Insurance Group, Inc. (The)........................1,211,123 92,275,461 0.7% # Iberiabank Corp..........................................1,089,503 71,525,872 0.6% # Kemper Corp............................................1,719,925 64,583,184 0.5% MB Financial, Inc.........................................2,019,391 73,485,638 0.6% # Old National Bancorp.....................................3,911,008 57,491,818 0.5% # Provident Financial Services, Inc............................2,304,932 52,298,907 0.4% # Selective Insurance Group, Inc.............................1,813,049 66,992,161 0.5% # Washington Federal, Inc...................................3,026,177 82,463,323 0.7% # Webster Financial Corp....................................1,721,848 69,562,659 0.6% # Wintrust Financial Corp....................................1,662,760 89,705,902 0.7% Other Securities .........................................1,872,244,452 14.8% Total Financials ..............................................3,349,998,838 26.6% Health Care — (3.9%) #* LifePoint Health, Inc......................................1,329,027 79,542,266 0.6% Other Securities .........................................478,998,709 3.8% Total Health Care .............................................558,540,975 4.4% 50 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** Industrials — (16.3%) # AMERCO .............................................257,968 $ 83,166,304 0.7% #* DigitalGlobe, Inc........................................2,364,203 59,341,495 0.5% #* Esterline Technologies Corp..............................1,119,490 82,226,540 0.7% # GATX Corp............................................1,668,824 73,044,426 0.6% # Terex Corp.............................................2,260,148 53,972,334 0.4% #* WESCO International, Inc................................1,292,611 70,059,516 0.6% Other Securities ........................................1,921,247,349 15.1% Total Industrials .............................................2,343,057,964 18.6% Information Technology — (11.8%) * CACI International, Inc. Class A ...........................858,360 83,990,526 0.7% # Convergys Corp........................................3,815,481 111,412,045 0.9% MKS Instruments, Inc....................................1,746,536 88,112,741 0.7% * Sanmina Corp..........................................2,632,783 72,796,450 0.6% # SYNNEX Corp..........................................1,127,587 115,622,771 0.9% * Tech Data Corp.........................................1,052,415 81,057,003 0.7% # Vishay Intertechnology, Inc...............................4,973,378 70,124,630 0.6% Other Securities ........................................1,073,379,767 8.3% Total Information Technology .................................1,696,495,933 13.4% Materials — (4.9%) # Commercial Metals Co...................................4,211,702 66,165,838 0.5% Domtar Corp...........................................2,244,104 80,675,539 0.6% Hecla Mining Co........................................11,724,548 70,230,043 0.6% Other Securities ........................................487,436,138 3.9% Total Materials ..............................................704,507,558 5.6% Real Estate — (0.2%) Other Securities ........................................23,804,157 0.2% Telecommunication Services — (0.7%) Other Securities ........................................103,486,357 0.8% Utilities — (0.2%) Other Securities ........................................23,427,929 0.2% TOTAL COMMON STOCKS ..................................12,291,970,456 97.5% TOTAL INVESTMENT SECURITIES ...........................12,291,970,456 TEMPORARY CASH INVESTMENTS — (2.0%) State Street Institutional U.S. Government Money Market Fund, 0.260%.............................................283,404,183 283,404,183 2.2% SECURITIES LENDING COLLATERAL — (12.5%) §@ DFA Short Term Investment Fund .........................155,722,809 1,802,024,349 14.3% TOTAL INVESTMENTS — (100.0%) (Cost $12,171,084,667)....................................$14,377,398,988 114.0% 51 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Consumer Discretionary ......................... $1,612,405,065 — — $ 1,612,405,065 Consumer Staples .............................565,960,264 — — 565,960,264 Energy .......................................1,310,285,416 — — 1,310,285,416 Financials ....................................3,349,986,790 $ 12,048 — 3,349,998,838 Health Care ...................................558,540,975 — — 558,540,975 Industrials ....................................2,343,057,964 — — 2,343,057,964 Information Technology .........................1,696,495,933 — — 1,696,495,933 Materials .....................................704,507,558 — — 704,507,558 Real Estate ...................................23,804,157 — — 23,804,157 Telecommunication Services .....................103,486,357 — — 103,486,357 Utilities .......................................23,427,929 — — 23,427,929 Temporary Cash Investments ......................283,404,183 — — 283,404,183 Securities Lending Collateral ....................... —1,802,024,349 — 1,802,024,349 Futures Contracts**..............................(3,945,888) — — (3,945,888) TOTAL .........................................$12,571,416,703 $1,802,036,397 — $14,373,453,100 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 52 U.S. CORE EQUITY 1 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value† Percentage of Net Assets** COMMON STOCKS — (90.3%) Consumer Discretionary — (14.0%) * Amazon.com, Inc.........................................250,397 $ 197,768,559 1.3% Comcast Corp. Class A ....................................1,901,433 117,546,588 0.8% Home Depot, Inc. (The)....................................756,178 92,261,278 0.6% McDonald’s Corp.........................................530,776 59,749,454 0.4% Starbucks Corp...........................................870,072 46,174,721 0.3% Time Warner, Inc.........................................482,981 42,980,479 0.3% Walt Disney Co. (The).....................................805,208 74,634,730 0.5% Other Securities ..........................................1,657,204,270 11.1% Total Consumer Discretionary ...................................2,288,320,079 15.3% Consumer Staples — (7.8%) Altria Group, Inc..........................................1,195,886 79,071,982 0.5% Coca-Cola Co. (The)......................................2,096,157 88,877,057 0.6% CVS Health Corp.........................................645,839 54,315,060 0.4% PepsiCo, Inc.............................................877,848 94,105,306 0.6% Philip Morris International, Inc...............................687,129 66,266,721 0.5% Procter & Gamble Co. (The)................................1,135,621 98,571,903 0.7% Wal-Mart Stores, Inc.......................................1,208,559 84,623,301 0.6% Other Securities ..........................................706,978,514 4.6% Total Consumer Staples .......................................1,272,809,844 8.5% Energy — (5.4%) Chevron Corp............................................976,212 102,258,207 0.7% Exxon Mobil Corp.........................................2,081,293 173,413,333 1.2% Other Securities ..........................................613,459,356 4.0% Total Energy .................................................889,130,896 5.9% Financials — (13.2%) Bank of America Corp.....................................4,254,770 70,203,705 0.5% * Berkshire Hathaway, Inc. Class B ...........................839,905 121,198,291 0.8% Citigroup, Inc.............................................1,228,689 60,390,064 0.4% JPMorgan Chase & Co....................................1,957,414 135,570,494 0.9% Wells Fargo & Co.........................................2,832,919 130,342,603 0.9% Other Securities ..........................................1,653,107,668 11.0% Total Financials ...............................................2,170,812,825 14.5% Health Care — (10.3%) AbbVie, Inc..............................................996,807 55,601,894 0.4% Amgen, Inc..............................................323,892 45,720,595 0.3% Gilead Sciences, Inc.......................................809,650 59,614,529 0.4% Johnson & Johnson .......................................1,195,271 138,639,483 0.9% Merck & Co., Inc..........................................1,202,109 70,587,840 0.5% Pfizer, Inc...............................................2,732,131 86,635,874 0.6% UnitedHealth Group, Inc...................................505,441 71,433,977 0.5% Other Securities ..........................................1,152,557,911 7.6% Total Health Care .............................................1,680,792,103 11.2% Industrials — (12.0%) 3MCo. .................................................374,232 61,860,550 0.4% # Boeing Co. (The).........................................368,258 52,450,987 0.4% General Electric Co.......................................2,137,237 62,193,597 0.4% Lockheed Martin Corp.....................................168,798 41,588,451 0.3% Union Pacific Corp........................................498,031 43,916,374 0.3% United Parcel Service, Inc. Class B ..........................428,021 46,123,543 0.3% 53 U.S. CORE EQUITY 1PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** Industrials — (Continued) United Technologies Corp................................496,912 $ 50,784,406 0.4% Other Securities .......................................1,615,098,714 10.7% Total Industrials ............................................1,974,016,622 13.2% Information Technology — (18.1%) Accenture P.L.C. Class A ................................364,757 42,399,354 0.3% * Alphabet, Inc. Class A ..................................96,373 78,052,493 0.5% * Alphabet, Inc. Class C ..................................101,097 79,314,640 0.5% Apple, Inc.............................................3,494,715 396,789,941 2.7% Cisco Systems, Inc.....................................3,096,820 95,010,438 0.6% * Facebook, Inc. Class A ..................................724,263 94,871,210 0.6% Intel Corp.............................................3,555,626 123,984,679 0.8% # International Business Machines Corp.....................550,964 84,677,657 0.6% Mastercard, Inc. Class A ................................586,074 62,721,639 0.4% Microsoft Corp.........................................3,909,747 234,272,040 1.6% Oracle Corp...........................................1,433,762 55,085,136 0.4% QUALCOMM, Inc.......................................905,277 62,210,635 0.4% # Visa, Inc. Class A ......................................980,278 80,882,738 0.6% Other Securities .......................................1,467,222,979 9.8% Total Information Technology .................................2,957,495,579 19.8% Materials — (4.1%) Other Securities .......................................665,729,324 4.5% Real Estate — (0.2%) Other Securities .......................................36,928,080 0.3% Telecommunication Services — (2.4%) AT&T, Inc.............................................4,867,797 179,086,252 1.2% Verizon Communications, Inc.............................2,600,726 125,094,921 0.9% Other Securities .......................................89,185,801 0.5% Total Telecommunication Services ............................393,366,974 2.6% Utilities — (2.8%) Other Securities .......................................466,182,552 3.1% TOTAL COMMON STOCKS ..................................14,795,584,878 98.9% RIGHTS/WARRANTS — (0.0%) Other Securities .......................................288,782 0.0% Face Amount (000) BONDS — (0.0%) Financials — (0.0%) Other Securities ....................................... 486 0.0% TOTAL INVESTMENT SECURITIES ...........................14,795,874,146 Shares TEMPORARY CASH INVESTMENTS — (1.0%) State Street Institutional U.S. Government Money Market Fund, 0.260%.......................................164,854,069 164,854,069 1.1% SECURITIES LENDING COLLATERAL — (8.7%) §@ DFA Short Term Investment Fund .........................122,384,250 1,416,230,536 9.5% TOTAL INVESTMENTS — (100.0%) (Cost $12,906,896,966)....................................$16,376,958,751 109.5% 54 U.S. CORE EQUITY 1PORTFOLIO CONTINUED Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Consumer Discretionary ......................... $2,288,319,629 $ 450 — $ 2,288,320,079 Consumer Staples .............................1,272,809,844 — — 1,272,809,844 Energy .......................................889,130,896 — — 889,130,896 Financials ....................................2,170,812,811 14 — 2,170,812,825 Health Care ...................................1,680,792,103 — — 1,680,792,103 Industrials ....................................1,974,016,622 — — 1,974,016,622 Information Technology .........................2,957,495,579 — — 2,957,495,579 Materials .....................................665,729,324 — — 665,729,324 Real Estate ...................................36,928,080 — — 36,928,080 Telecommunication Services .....................393,366,974 — — 393,366,974 Utilities .......................................466,182,552 — — 466,182,552 Rights/Warrants ................................. —288,782 — 288,782 Bonds Financials .................................... — 486 — 486 Temporary Cash Investments ......................164,854,069 — — 164,854,069 Securities Lending Collateral ....................... —1,416,230,536 — 1,416,230,536 Futures Contracts**..............................(3,223,874) — — (3,223,874) TOTAL .........................................$14,957,214,609 $1,416,520,268 — $16,373,734,877 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 55 U.S. CORE EQUITY 2 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value† Percentage of Net Assets** COMMON STOCKS — (89.1%) Consumer Discretionary — (12.8%) * Amazon.com, Inc..........................................92,798 $ 73,293,716 0.4% Comcast Corp. Class A ....................................2,688,214 166,185,389 1.0% Ford Motor Co............................................4,094,278 48,066,824 0.3% General Motors Co........................................1,628,062 51,446,759 0.3% Time Warner, Inc..........................................819,384 72,916,982 0.4% Walt Disney Co. (The).....................................797,924 73,959,576 0.4% Other Securities ..........................................1,912,343,860 11.4% Total Consumer Discretionary ...................................2,398,213,106 14.2% Consumer Staples — (6.5%) Coca-Cola Co. (The)......................................1,116,947 47,358,553 0.3% CVS Health Corp..........................................951,257 80,000,714 0.5% Mondelez International, Inc. Class A .........................1,063,522 47,794,679 0.3% PepsiCo, Inc..............................................441,915 47,373,288 0.3% Procter & Gamble Co. (The)................................1,378,860 119,685,048 0.7% Wal-Mart Stores, Inc.......................................1,736,979 121,623,270 0.7% Walgreens Boots Alliance, Inc...............................601,602 49,770,533 0.3% Other Securities ..........................................704,946,070 4.1% Total Consumer Staples ........................................1,218,552,155 7.2% Energy — (6.6%) Chevron Corp.............................................903,415 94,632,721 0.6% Exxon Mobil Corp.........................................3,452,202 287,637,471 1.7% Schlumberger, Ltd.........................................707,001 55,308,688 0.3% Other Securities ..........................................792,436,584 4.7% Total Energy ..................................................1,230,015,464 7.3% Financials — (15.4%) American Express Co......................................891,891 59,239,400 0.4% Bank of America Corp......................................4,757,621 78,500,746 0.5% * Berkshire Hathaway, Inc. Class B ............................418,047 60,324,182 0.4% Citigroup, Inc.............................................1,387,754 68,208,109 0.4% JPMorgan Chase & Co.....................................2,648,420 183,429,569 1.1% U.S. Bancorp.............................................1,202,817 53,838,089 0.3% Wells Fargo & Co.........................................4,176,562 192,163,618 1.1% Other Securities ..........................................2,186,100,062 12.9% Total Financials ...............................................2,881,803,775 17.1% Health Care — (9.6%) Abbott Laboratories .......................................977,224 38,346,270 0.2% Amgen, Inc...............................................302,107 42,645,424 0.3% * Express Scripts Holding Co.................................708,012 47,720,009 0.3% Johnson & Johnson .......................................1,146,077 132,933,471 0.8% Medtronic P.L.C...........................................632,272 51,858,949 0.3% Merck & Co., Inc..........................................1,166,009 68,468,048 0.4% Pfizer, Inc................................................4,006,194 127,036,412 0.8% Thermo Fisher Scientific, Inc................................263,037 38,674,330 0.2% UnitedHealth Group, Inc....................................576,403 81,463,036 0.5% Other Securities ..........................................1,159,142,075 6.8% Total Health Care .............................................1,788,288,024 10.6% 56 U.S. CORE EQUITY 2PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** Industrials — (12.4%) FedEx Corp..............................................216,896 $ 37,809,311 0.2% General Electric Co........................................2,865,545 83,387,360 0.5% Union Pacific Corp........................................697,153 61,474,952 0.4% United Technologies Corp..................................668,943 68,365,975 0.4% Other Securities ..........................................2,076,061,696 12.3% Total Industrials ...............................................2,327,099,294 13.8% Information Technology — (16.7%) * Alphabet, Inc. Class A .....................................92,515 74,927,898 0.5% * Alphabet, Inc. Class C .....................................97,000 76,100,380 0.5% Apple, Inc................................................3,310,342 375,856,231 2.2% Cisco Systems, Inc........................................4,466,540 137,033,447 0.8% * Facebook, Inc. Class A ....................................369,031 48,339,371 0.3% Hewlett Packard Enterprise Co..............................1,807,285 40,609,694 0.3% Intel Corp................................................5,141,165 179,272,424 1.1% Microsoft Corp............................................3,539,615 212,093,731 1.3% Oracle Corp..............................................1,315,382 50,536,976 0.3% QUALCOMM, Inc.........................................1,310,728 90,073,228 0.5% # Visa, Inc. Class A .........................................547,188 45,148,482 0.3% Other Securities ..........................................1,784,149,765 10.4% Total Information Technology ....................................3,114,141,627 18.5% Materials — (4.2%) Dow Chemical Co. (The)...................................878,752 47,285,645 0.3% Other Securities ..........................................742,321,499 4.4% Total Materials ................................................789,607,144 4.7% Real Estate — (0.3%) Other Securities ..........................................54,654,832 0.3% Telecommunication Services — (2.7%) AT&T, Inc................................................7,348,948 270,367,797 1.6% Verizon Communications, Inc...............................2,287,031 110,006,191 0.7% Other Securities ..........................................121,517,343 0.7% Total Telecommunication Services ...............................501,891,331 3.0% Utilities — (1.9%) Other Securities ..........................................359,606,647 2.2% TOTAL COMMON STOCKS ....................................16,663,873,399 98.9% RIGHTS/WARRANTS — (0.0%) Other Securities ..........................................316,401 0.0% Face Amount (000) BONDS — (0.0%) Financials — (0.0%) Other Securities ..........................................1,134 0.0% TOTAL INVESTMENT SECURITIES .............................16,664,190,934 57 U.S. CORE EQUITY 2PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** TEMPORARY CASH INVESTMENTS — (1.0%) State Street Institutional U.S. Government Money Market Fund, 0.260%........................................183,777,496 $ 183,777,496 1.1% SECURITIES LENDING COLLATERAL — (9.9%) §@ DFA Short Term Investment Fund .........................161,181,286 1,865,189,843 11.1% TOTAL INVESTMENTS — (100.0%) (Cost $14,482,818,245)....................................$18,713,158,273 111.1% Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Consumer Discretionary ......................... $2,398,212,074 $ 1,032 — $ 2,398,213,106 Consumer Staples .............................1,218,552,155 — — 1,218,552,155 Energy .......................................1,230,015,464 — — 1,230,015,464 Financials ....................................2,881,802,054 1,721 — 2,881,803,775 Health Care ...................................1,788,288,024 — — 1,788,288,024 Industrials ....................................2,327,099,294 — — 2,327,099,294 Information Technology .........................3,114,141,627 — — 3,114,141,627 Materials .....................................789,607,144 — — 789,607,144 Real Estate ...................................54,654,832 — — 54,654,832 Telecommunication Services .....................501,891,331 — — 501,891,331 Utilities .......................................359,606,647 — — 359,606,647 Rights/Warrants ................................. —316,401 — 316,401 Bonds Financials .................................... —1,134 — 1,134 Temporary Cash Investments ......................183,777,496 — — 183,777,496 Securities Lending Collateral ....................... —1,865,189,843 — 1,865,189,843 Futures Contracts**..............................(3,629,644) — — (3,629,644) TOTAL .........................................$16,844,018,498 $1,865,510,131 — $18,709,528,629 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 58 U.S. VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value† Percentage of Net Assets** COMMON STOCKS — (87.4%) Consumer Discretionary — (12.4%) * Charter Communications, Inc. Class A .........................37,711 $ 9,423,602 0.3% Comcast Corp. Class A .....................................467,989 28,931,080 0.8% Ford Motor Co.............................................829,745 9,741,206 0.3% General Motors Co.........................................339,484 10,727,694 0.3% Time Warner, Inc...........................................94,912 8,446,219 0.2% Walt Disney Co. (The)......................................118,253 10,960,871 0.3% Other Securities ...........................................459,291,025 11.9% Total Consumer Discretionary ....................................537,521,697 14.1% Consumer Staples — (4.2%) CVS Health Corp...........................................102,304 8,603,766 0.2% JM Smucker Co. (The)......................................60,483 7,942,023 0.2% Procter & Gamble Co. (The).................................99,988 8,678,958 0.2% Wal-Mart Stores, Inc........................................179,784 12,588,476 0.3% Other Securities ...........................................144,905,623 3.9% Total Consumer Staples .........................................182,718,846 4.8% Energy — (6.9%) Chevron Corp..............................................222,498 23,306,665 0.6% Exxon Mobil Corp..........................................465,409 38,777,878 1.0% Tesoro Corp...............................................121,066 10,286,978 0.3% Valero Energy Corp.........................................125,201 7,416,907 0.2% Other Securities ...........................................218,565,840 5.7% Total Energy ...................................................298,354,268 7.8% Financials — (21.5%) American International Group, Inc.............................128,798 7,946,837 0.2% Bank of America Corp.......................................1,204,998 19,882,467 0.5% Chubb, Ltd................................................58,676 7,451,852 0.2% Citigroup, Inc..............................................347,253 17,067,485 0.5% Endurance Specialty Holdings, Ltd............................95,353 8,767,708 0.2% Fifth Third Bancorp .........................................403,189 8,773,393 0.2% Goldman Sachs Group, Inc. (The)............................44,550 7,940,592 0.2% Huntington Bancshares, Inc..................................748,332 7,932,319 0.2% JPMorgan Chase & Co......................................550,713 38,142,382 1.0% KeyCorp ..................................................521,658 7,365,811 0.2% Principal Financial Group, Inc.................................157,281 8,587,543 0.2% Travelers Cos., Inc. (The)...................................66,684 7,213,875 0.2% Wells Fargo & Co...........................................913,280 42,020,013 1.1% Other Securities ...........................................743,387,298 19.5% Total Financials ................................................932,479,575 24.4% Health Care — (7.1%) * Allergan P.L.C.............................................38,459 8,035,623 0.2% Johnson & Johnson ........................................98,222 11,392,770 0.3% Merck & Co., Inc...........................................149,737 8,792,557 0.2% Pfizer, Inc.................................................459,005 14,555,049 0.4% UnitedHealth Group, Inc.....................................69,193 9,779,047 0.3% Other Securities ...........................................254,811,203 6.6% Total Health Care ...............................................307,366,249 8.0% 59 U.S. VECTOR EQUITY PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** Industrials — (13.7%) General Electric Co.........................................299,460 $ 8,714,286 0.2% Union Pacific Corp..........................................79,133 6,977,948 0.2% * United Rentals, Inc.........................................117,421 8,884,073 0.2% United Technologies Corp...................................74,891 7,653,860 0.2% Other Securities ...........................................559,426,056 14.7% Total Industrials ................................................591,656,223 15.5% Information Technology — (13.2%) * Alphabet, Inc. Class A ......................................9,286 7,520,731 0.2% * Alphabet, Inc. Class C ......................................9,743 7,643,773 0.2% Apple, Inc.................................................329,973 37,465,134 1.0% Cisco Systems, Inc.........................................479,871 14,722,442 0.4% Intel Corp.................................................578,019 20,155,523 0.5% * Micron Technology, Inc......................................650,355 11,160,092 0.3% Microsoft Corp.............................................278,222 16,671,062 0.4% QUALCOMM, Inc...........................................140,266 9,639,080 0.3% # Visa, Inc. Class A ..........................................116,012 9,572,150 0.3% Other Securities ...........................................438,055,756 11.4% Total Information Technology .....................................572,605,743 15.0% Materials — (4.6%) Newmont Mining Corp......................................252,066 9,336,525 0.3% Other Securities ...........................................191,048,264 4.9% Total Materials .................................................200,384,789 5.2% Real Estate — (0.4%) Other Securities ...........................................16,384,164 0.4% Telecommunication Services — (2.3%) AT&T, Inc.................................................1,215,522 44,719,054 1.2% # CenturyLink, Inc............................................526,869 14,004,178 0.4% Verizon Communications, Inc................................259,639 12,488,636 0.3% Other Securities ...........................................30,610,456 0.8% Total Telecommunication Services ................................101,822,324 2.7% Utilities — (1.1%) UGI Corp.................................................157,006 7,267,808 0.2% Other Securities ...........................................38,789,597 1.0% Total Utilities ..................................................46,057,405 1.2% TOTAL COMMON STOCKS .....................................3,787,351,283 99.1% RIGHTS/WARRANTS — (0.0%) Other Securities ...........................................61,431 0.0% Face Amount (000) BONDS — (0.0%) Financials — (0.0%) Other Securities ........................................... 249 0.0% TOTAL INVESTMENT SECURITIES ..............................3,787,412,963 60 U.S. VECTOR EQUITY PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** TEMPORARY CASH INVESTMENTS — (0.9%) State Street Institutional U.S. Government Money Market Fund, 0.260%...............................................37,303,788 $ 37,303,788 1.0% SECURITIES LENDING COLLATERAL — (11.7%) §@ DFA Short Term Investment Fund ...........................44,015,065 509,342,336 13.3% TOTAL INVESTMENTS — (100.0%) (Cost $3,439,212,409).......................................$4,334,059,087 113.4% Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Consumer Discretionary ............................ $537,521,697 — — $ 537,521,697 Consumer Staples .................................182,718,846 — — 182,718,846 Energy ...........................................298,354,268 — — 298,354,268 Financials ........................................932,479,561 $ 14 — 932,479,575 Health Care .......................................307,366,249 — — 307,366,249 Industrials ........................................591,656,223 — — 591,656,223 Information Technology .............................572,605,743 — — 572,605,743 Materials .........................................200,384,789 — — 200,384,789 Real Estate .......................................16,384,164 — — 16,384,164 Telecommunication Services ........................101,822,324 — — 101,822,324 Utilities ...........................................46,057,405 — — 46,057,405 Rights/Warrants ..................................... —61,431 — 61,431 Bonds Financials ........................................ — 249 — 249 Temporary Cash Investments ..........................37,303,788 — — 37,303,788 Securities Lending Collateral .......................... —509,342,336 — 509,342,336 Futures Contracts**..................................(834,976) — — (834,976) TOTAL .............................................$3,823,820,081 $509,404,030 — $4,333,224,111 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 61 U.S. SMALL CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value† Percentage of Net Assets** COMMON STOCKS — (82.5%) Consumer Discretionary — (13.2%) # Brinker International, Inc....................................617,456 $ 30,403,533 0.2% Jack in the Box, Inc........................................357,108 33,471,733 0.3% * Murphy USA, Inc..........................................419,540 28,855,961 0.2% # Papa John’s International, Inc................................393,634 29,699,685 0.2% #* Tenneco, Inc..............................................550,288 30,304,360 0.2% # Texas Roadhouse, Inc......................................698,310 28,295,521 0.2% Thor Industries, Inc.........................................471,347 37,382,531 0.3% # Wendy’s Co. (The)........................................2,782,938 30,167,048 0.2% Other Securities ...........................................1,799,231,492 14.0% Total Consumer Discretionary ....................................2,047,811,864 15.8% Consumer Staples — (3.8%) # Snyder’s-Lance, Inc........................................822,391 29,252,448 0.2% Other Securities ...........................................557,877,990 4.3% Total Consumer Staples ........................................587,130,438 4.5% Energy — (3.5%) * Parsley Energy, Inc. Class A ................................1,036,429 34,098,514 0.3% # Patterson-UTI Energy, Inc...................................1,368,035 30,753,427 0.2% # Superior Energy Services, Inc................................2,025,077 28,675,090 0.2% Other Securities ...........................................452,526,393 3.5% Total Energy ..................................................546,053,424 4.2% Financials — (16.3%) # Associated Banc-Corp .....................................1,454,729 29,530,999 0.2% # Bank of Hawaii Corp.......................................422,076 31,719,011 0.2% # FNB Corp................................................2,174,721 28,423,603 0.2% MarketAxess Holdings, Inc..................................232,513 35,053,660 0.3% # Mercury General Corp......................................537,758 29,291,678 0.2% # Primerica, Inc.............................................604,825 33,083,927 0.3% PrivateBancorp, Inc........................................716,638 32,420,703 0.3% ProAssurance Corp........................................573,835 30,585,405 0.2% #* Texas Capital Bancshares, Inc...............................519,188 30,787,848 0.2% # UMB Financial Corp........................................504,045 31,275,992 0.2% # United Bankshares, Inc.....................................780,243 29,415,161 0.2% Other Securities ...........................................2,192,611,155 17.0% Total Financials ...............................................2,534,199,142 19.5% Health Care — (6.8%) Cantel Medical Corp........................................414,757 29,543,141 0.2% #* Integra LifeSciences Holdings Corp...........................391,182 31,102,881 0.2% #* NuVasive, Inc.............................................483,734 28,893,432 0.2% Other Securities ...........................................974,356,810 7.6% Total Health Care ..............................................1,063,896,264 8.2% Industrials — (15.8%) # CLARCOR, Inc............................................480,948 29,919,775 0.2% EMCOR Group, Inc........................................543,968 32,888,305 0.3% EnerSys .................................................439,795 28,643,848 0.2% # Landstar System, Inc.......................................405,580 28,857,017 0.2% # Valmont Industries, Inc.....................................241,944 30,956,735 0.2% Other Securities ...........................................2,303,425,786 17.8% Total Industrials ...............................................2,454,691,466 18.9% 62 U.S. SMALL CAP PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** Information Technology — (13.4%) * Cirrus Logic, Inc........................................640,150 $ 34,555,297 0.3% * Coherent, Inc..........................................280,344 29,189,417 0.2% Fair Isaac Corp.........................................241,729 29,171,856 0.2% #* Finisar Corp...........................................1,068,758 29,262,594 0.2% * Integrated Device Technology, Inc.........................1,375,469 28,485,963 0.2% Intersil Corp. Class A ...................................1,298,168 28,663,549 0.2% Littelfuse, Inc..........................................214,417 29,911,171 0.2% Mentor Graphics Corp...................................1,218,313 35,209,246 0.3% #* Paycom Software, Inc...................................565,608 29,258,902 0.2% Science Applications International Corp....................441,505 30,424,110 0.2% Other Securities .......................................1,773,252,649 13.8% Total Information Technology .................................2,077,384,754 16.0% Materials — (4.8%) Hecla Mining Co........................................5,071,896 30,380,657 0.2% * Louisiana-Pacific Corp...................................1,673,693 30,712,267 0.2% Sensient Technologies Corp..............................410,208 30,564,598 0.2% # United States Steel Corp.................................2,199,218 42,532,876 0.3% Worthington Industries, Inc...............................635,344 29,861,168 0.2% Other Securities .......................................580,757,928 4.6% Total Materials .............................................744,809,494 5.7% Real Estate — (0.5%) Other Securities .......................................76,852,267 0.6% Telecommunication Services — (0.8%) Other Securities .......................................123,052,617 1.0% Utilities — (3.6%) ALLETE, Inc...........................................482,475 29,570,893 0.2% # Black Hills Corp........................................507,714 31,402,111 0.2% Portland General Electric Co.............................690,542 30,135,253 0.2% Southwest Gas Corp....................................436,198 31,606,907 0.3% Other Securities .......................................446,178,138 3.5% Total Utilities ...............................................568,893,302 4.4% TOTAL COMMON STOCKS ..................................12,824,775,032 98.8% RIGHTS/WARRANTS — (0.0%) Other Securities ....................................... 20 0.0% Face Amount (000) BONDS — (0.0%) Financials — (0.0%) Other Securities .......................................2,106 0.0% TOTAL INVESTMENT SECURITIES ...........................12,824,777,158 TEMPORARY CASH INVESTMENTS — (1.0%) State Street Institutional U.S. Government Money Market Fund, 0.260%.............................................159,359,591 159,359,591 1.2% SECURITIES LENDING COLLATERAL — (16.5%) §@ DFA Short Term Investment Fund .........................221,707,965 2,565,604,574 19.8% TOTAL INVESTMENTS — (100.0%) (Cost $13,461,178,185)....................................$15,549,741,323 119.8% 63 U.S. SMALL CAP PORTFOLIO CONTINUED Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Consumer Discretionary ......................... $2,047,809,164 $ 2,700 — $ 2,047,811,864 Consumer Staples .............................587,130,438 — — 587,130,438 Energy .......................................546,048,955 4,469 — 546,053,424 Financials ....................................2,534,173,706 25,436 — 2,534,199,142 Health Care ...................................1,063,896,264 — — 1,063,896,264 Industrials ....................................2,454,691,466 — — 2,454,691,466 Information Technology .........................2,077,384,754 — — 2,077,384,754 Materials .....................................744,809,494 — — 744,809,494 Real Estate ...................................76,852,267 — — 76,852,267 Telecommunication Services .....................123,052,617 — — 123,052,617 Utilities .......................................568,893,302 — — 568,893,302 Rights/Warrants ................................. — 20 — 20 Bonds Financials .................................... —2,106 — 2,106 Temporary Cash Investments ......................159,359,591 — — 159,359,591 Securities Lending Collateral ....................... —2,565,604,574 — 2,565,604,574 Futures Contracts**..............................(4,289,881) — — (4,289,881) TOTAL .........................................$12,979,812,137 $2,565,639,305 — $15,545,451,442 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 64 U.S. MICRO CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value† Percentage of Net Assets** COMMON STOCKS — (85.6%) Consumer Discretionary — (14.0%) * American Axle & Manufacturing Holdings, Inc..................801,076 $ 14,355,282 0.3% # Children’s Place, Inc. (The).................................197,911 15,031,340 0.3% #* iRobot Corp...............................................256,033 12,980,873 0.3% La-Z-Boy, Inc.............................................582,277 13,625,282 0.3% # Nexstar Broadcasting Group, Inc. Class A .....................270,654 13,207,915 0.3% #* Popeyes Louisiana Kitchen, Inc..............................268,854 14,351,427 0.3% #* Smith & Wesson Holding Corp...............................524,678 13,867,240 0.3% # Sonic Corp...............................................598,492 13,711,452 0.3% Standard Motor Products, Inc................................256,836 12,559,280 0.3% Other Securities ...........................................700,845,778 13.4% Total Consumer Discretionary ....................................824,535,869 16.1% Consumer Staples — (3.0%) # WD-40 Co................................................145,060 15,467,022 0.3% Other Securities ...........................................163,581,879 3.2% Total Consumer Staples ........................................179,048,901 3.5% Energy — (2.3%) Other Securities ...........................................133,958,199 2.6% Financials — (18.7%) #* BofI Holding, Inc...........................................689,616 12,847,546 0.3% # Columbia Banking System, Inc...............................385,842 12,740,503 0.3% # Community Bank System, Inc................................265,690 12,516,656 0.3% FBL Financial Group, Inc. Class A ............................265,072 16,779,058 0.3% First Midwest Bancorp, Inc..................................753,336 14,546,918 0.3% FirstCash, Inc.............................................343,499 16,213,153 0.3% Horace Mann Educators Corp................................408,077 14,670,368 0.3% Independent Bank Corp.....................................230,864 12,732,150 0.3% # LegacyTexas Financial Group, Inc............................475,476 16,266,034 0.3% # Northwest Bancshares, Inc..................................947,369 14,911,588 0.3% Other Securities ...........................................956,160,755 18.5% Total Financials ...............................................1,100,384,729 21.5% Health Care — (8.2%) #* Cambrex Corp............................................340,394 13,717,878 0.3% #* ICU Medical, Inc...........................................113,977 15,876,996 0.3% * Natus Medical, Inc.........................................355,299 13,981,016 0.3% * Omnicell, Inc..............................................388,890 12,687,536 0.3% Other Securities ...........................................425,847,551 8.2% Total Health Care ..............................................482,110,977 9.4% Industrials — (17.8%) # AAON, Inc................................................563,173 16,867,031 0.3% Exponent, Inc.............................................266,014 15,229,301 0.3% Forward Air Corp..........................................308,222 12,735,733 0.3% G&K Services, Inc. Class A .................................178,867 16,938,705 0.3% Insperity, Inc..............................................230,702 17,348,790 0.3% John Bean Technologies Corp...............................209,011 16,689,528 0.3% * MRC Global, Inc...........................................966,521 14,246,520 0.3% Mueller Water Products, Inc. Class A .........................1,171,951 14,438,436 0.3% #* Trex Co., Inc..............................................299,194 16,099,629 0.3% Other Securities ...........................................907,722,426 17.7% Total Industrials ...............................................1,048,316,099 20.4% 65 U.S. MICRO CAP PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** Information Technology — (12.3%) * Advanced Energy Industries, Inc...............................353,998 $ 16,885,705 0.3% Cabot Microelectronics Corp..................................273,995 15,140,964 0.3% # CSG Systems International, Inc................................348,861 13,267,184 0.3% * ExlService Holdings, Inc......................................330,438 14,549,185 0.3% Methode Electronics, Inc......................................456,176 14,232,691 0.3% #* NETGEAR, Inc..............................................248,640 12,556,320 0.3% NIC, Inc....................................................621,988 14,274,625 0.3% #* OSI Systems, Inc............................................210,211 14,742,097 0.3% Other Securities ............................................608,447,189 11.7% Total Information Technology ......................................724,095,960 14.1% Materials — (4.8%) Innospec, Inc...............................................251,708 15,165,407 0.3% Neenah Paper, Inc...........................................166,919 13,336,828 0.3% Quaker Chemical Corp.......................................133,400 14,340,500 0.3% Stepan Co.................................................188,462 13,386,456 0.3% Other Securities ............................................227,984,277 4.3% Total Materials ..................................................284,213,468 5.5% Real Estate — (0.7%) Other Securities ............................................43,411,885 0.9% Telecommunication Services — (1.5%) # Shenandoah Telecommunications Co...........................502,216 13,258,502 0.3% Other Securities ............................................78,954,809 1.5% Total Telecommunication Services .................................92,213,311 1.8% Utilities — (2.3%) # American States Water Co....................................394,204 15,760,276 0.3% # California Water Service Group ................................493,470 15,297,570 0.3% # MGE Energy, Inc............................................270,481 15,809,614 0.3% Northwest Natural Gas Co....................................215,566 12,675,281 0.3% Other Securities ............................................74,233,231 1.4% Total Utilities ....................................................133,775,972 2.6% TOTAL COMMON STOCKS .......................................5,046,065,370 98.4% RIGHTS/WARRANTS — (0.0%) Other Securities ............................................ 16 0.0% Face Amount (000) BONDS — (0.0%) Financials — (0.0%) Other Securities ............................................8,945 0.0% TOTAL INVESTMENT SECURITIES ................................5,046,074,331 66 U.S. MICRO CAP PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** TEMPORARY CASH INVESTMENTS — (0.7%) State Street Institutional U.S. Government Money Market Fund, 0.260%...............................................42,875,826 $ 42,875,826 0.8% SECURITIES LENDING COLLATERAL — (13.7%) §@ DFA Short Term Investment Fund ...........................69,547,620 804,805,059 15.7% TOTAL INVESTMENTS — (100.0%) (Cost $4,608,078,487).......................................$5,893,755,216 114.9% Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Consumer Discretionary ............................ $824,512,903 $ 22,966 — $ 824,535,869 Consumer Staples .................................179,048,901 — — 179,048,901 Energy ...........................................133,941,707 16,492 — 133,958,199 Financials ........................................1,100,381,682 3,047 — 1,100,384,729 Health Care .......................................482,110,977 — — 482,110,977 Industrials ........................................1,048,316,099 — — 1,048,316,099 Information Technology .............................724,095,960 — — 724,095,960 Materials .........................................284,213,468 — — 284,213,468 Real Estate .......................................43,411,885 — — 43,411,885 Telecommunication Services ........................92,213,311 — — 92,213,311 Utilities ...........................................133,775,972 — — 133,775,972 Rights/Warrants ..................................... — 16 — 16 Bonds Financials ........................................ —8,945 — 8,945 Temporary Cash Investments ..........................42,875,826 — — 42,875,826 Securities Lending Collateral .......................... —804,805,059 — 804,805,059 Futures Contracts**..................................(1,662,432) — — (1,662,432) TOTAL .............................................$5,087,236,259 $804,856,525 — $5,892,092,784 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 67 DFA REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value† Percentage of Net Assets** COMMON STOCKS — (93.1%) Real Estate — (93.1%) # Alexandria Real Estate Equities, Inc...........................720,216 $ 77,646,487 1.1% # American Campus Communities, Inc..........................1,213,467 63,233,765 0.9% Apartment Investment & Management Co. Class A ..............1,525,464 67,227,198 0.9% AvalonBay Communities, Inc.................................1,327,485 227,238,882 3.1% Boston Properties, Inc.......................................1,506,103 181,455,289 2.5% Brixmor Property Group, Inc..................................2,184,902 55,540,209 0.8% # Camden Property Trust .....................................844,698 68,792,205 0.9% CubeSmart ...............................................1,753,596 45,716,248 0.6% DCT Industrial Trust, Inc.....................................903,208 42,224,974 0.6% DDR Corp.................................................3,104,998 47,475,419 0.7% # Digital Realty Trust, Inc......................................1,447,241 135,215,727 1.9% # Douglas Emmett, Inc........................................1,378,896 50,329,704 0.7% # Duke Realty Corp..........................................3,381,456 88,425,074 1.2% EPR Properties ............................................582,095 42,329,948 0.6% Equinix, Inc...............................................544,188 194,427,489 2.7% Equity Lifestyle Properties, Inc................................784,291 59,480,629 0.8% Equity Residential ..........................................3,532,521 218,133,172 3.0% Essex Property Trust, Inc....................................642,088 137,464,620 1.9% # Extra Space Storage, Inc....................................1,156,690 84,611,873 1.2% Federal Realty Investment Trust ..............................677,286 98,362,246 1.4% Gaming and Leisure Properties, Inc...........................1,519,882 49,897,726 0.7% General Growth Properties, Inc...............................5,585,578 139,360,171 1.9% HCP, Inc..................................................4,530,819 155,180,551 2.1% Highwoods Properties, Inc...................................930,202 46,165,925 0.6% # Host Hotels & Resorts, Inc...................................7,456,077 115,420,072 1.6% # Iron Mountain, Inc..........................................2,162,348 72,935,998 1.0% Kilroy Realty Corp..........................................896,716 64,411,110 0.9% Kimco Realty Corp.........................................4,031,807 107,286,384 1.5% Liberty Property Trust .......................................1,471,333 59,485,993 0.8% Macerich Co. (The).........................................1,466,447 103,795,119 1.4% Mid-America Apartment Communities, Inc......................735,123 68,182,658 0.9% National Retail Properties, Inc................................1,321,316 60,278,436 0.8% # Omega Healthcare Investors, Inc.............................1,734,691 55,215,215 0.8% Prologis, Inc...............................................5,065,428 264,212,724 3.6% Public Storage ............................................1,433,171 306,297,306 4.2% # Realty Income Corp........................................2,392,365 141,723,703 2.0% Regency Centers Corp......................................958,173 69,055,528 1.0% Senior Housing Properties Trust ..............................2,309,088 49,114,302 0.7% Simon Property Group, Inc...................................2,957,958 550,061,870 7.6% # SL Green Realty Corp.......................................972,860 95,554,309 1.3% Spirit Realty Capital, Inc.....................................4,534,334 54,003,918 0.7% Sun Communities, Inc.......................................586,641 45,130,292 0.6% Taubman Centers, Inc......................................620,452 44,957,952 0.6% UDR, Inc..................................................2,556,062 89,385,488 1.2% Ventas, Inc................................................3,250,505 220,221,714 3.0% VEREIT, Inc. REIT .........................................8,620,068 81,028,639 1.1% Vornado Realty Trust .......................................1,669,064 154,855,758 2.1% Weingarten Realty Investors .................................1,173,966 42,509,309 0.6% Welltower, Inc.............................................3,434,840 235,389,585 3.2% WP Carey, Inc.............................................949,550 57,675,667 0.8% Other Securities ...........................................1,609,452,453 22.3% TOTAL COMMON STOCKS .....................................7,193,577,033 99.1% TOTAL INVESTMENT SECURITIES ..............................7,193,577,033 68 DFA REAL ESTATE SECURITIES PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** TEMPORARY CASH INVESTMENTS — (0.9%) State Street Institutional U.S. Government Money Market Fund, 0.260% ...............................................67,516,660 $ 67,516,660 0.9% SECURITIES LENDING COLLATERAL — (6.0%) §@ DFA Short Term Investment Fund ...........................39,885,634 461,556,560 6.4% TOTAL INVESTMENTS — (100.0%) (Cost $5,617,986,921).......................................$7,722,650,253 106.4% Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Real Estate .......................................$7,193,577,033 — — $7,193,577,033 Temporary Cash Investments ..........................67,516,660 — — 67,516,660 Securities Lending Collateral .......................... —$461,556,560 — 461,556,560 Futures Contracts**..................................(1,518,080) — — (1,518,080) TOTAL .............................................$7,259,575,613 $461,556,560 — $7,721,132,173 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 69 LARGE CAP INTERNATIONAL PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value†† Percentage of Net Assets** COMMON STOCKS — (93.9%) AUSTRALIA — (5.8%) Australia & New Zealand Banking Group, Ltd.....................643,282 $ 13,583,162 0.4% BHP Billiton, Ltd.............................................816,132 14,258,502 0.4% # Commonwealth Bank of Australia ..............................360,229 20,054,267 0.6% National Australia Bank, Ltd....................................570,039 12,100,464 0.4% Westpac Banking Corp........................................790,393 18,277,786 0.5% Other Securities .............................................136,917,797 3.8% TOTAL AUSTRALIA ..............................................215,191,978 6.1% AUSTRIA — (0.2%) Other Securities .............................................6,631,352 0.2% BELGIUM — (1.2%) Anheuser-Busch InBev SA ....................................170,354 19,551,493 0.6% Other Securities .............................................24,710,275 0.7% TOTAL BELGIUM ................................................44,261,768 1.3% CANADA — (8.3%) Bank of Nova Scotia (The)....................................181,668 9,762,640 0.3% Royal Bank of Canada ........................................246,120 15,376,766 0.4% Toronto-Dominion Bank (The).................................270,619 12,279,037 0.4% Other Securities .............................................268,497,721 7.6% TOTAL CANADA .................................................305,916,164 8.7% DENMARK — (1.5%) Novo Nordisk A.S. Class B ....................................411,533 14,661,061 0.3% Other Securities .............................................39,053,449 1.2% TOTAL DENMARK ...............................................53,714,510 1.5% FINLAND — (0.9%) Other Securities .............................................33,176,858 0.9% FRANCE — (8.2%) BNP Paribas SA .............................................261,502 15,162,737 0.4% Danone SA .................................................140,586 9,750,811 0.3% L’Oreal SA .................................................61,025 10,933,185 0.3% LVMH Moet Hennessy Louis Vuitton SE .........................74,220 13,512,577 0.4% Sanofi .....................................................243,641 18,959,844 0.5% Total SA ...................................................399,254 19,126,223 0.5% Other Securities .............................................215,281,036 6.2% TOTAL FRANCE .................................................302,726,413 8.6% GERMANY — (7.2%) Allianz SE ..................................................76,148 11,887,025 0.3% BASF SE ...................................................233,002 20,568,940 0.6% Bayer AG ..................................................177,385 17,612,490 0.5% Daimler AG .................................................265,526 18,943,149 0.5% Deutsche Telekom AG .......................................829,875 13,539,591 0.4% SAPSE....................................................185,556 16,347,377 0.5% Siemens AG ................................................151,354 17,196,439 0.5% Other Securities .............................................148,923,152 4.2% TOTAL GERMANY ...............................................265,018,163 7.5% 70 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** HONG KONG — (2.9%) AIA Group, Ltd.............................................2,502,600 $ 15,743,861 0.5% Other Securities ...........................................89,463,523 2.5% TOTAL HONG KONG ...........................................105,207,384 3.0% IRELAND — (0.5%) Other Securities ...........................................17,246,217 0.5% ISRAEL — (0.5%) Other Securities ...........................................17,274,396 0.5% ITALY — (1.7%) Other Securities ...........................................61,192,587 1.7% JAPAN — (22.8%) Japan Tobacco, Inc.........................................294,200 11,185,520 0.3% KDDI Corp................................................492,100 14,956,471 0.4% SoftBank Group Corp.......................................258,360 16,271,791 0.5% Sumitomo Mitsui Financial Group, Inc..........................300,940 10,434,090 0.3% Toyota Motor Corp..........................................516,669 29,970,271 0.9% Toyota Motor Corp. Sponsored ADR ..........................96,721 11,186,751 0.3% Other Securities ...........................................745,363,913 21.1% TOTAL JAPAN .................................................839,368,807 23.8% NETHERLANDS — (2.6%) # Unilever NV ...............................................256,547 10,730,329 0.3% Other Securities ...........................................85,584,302 2.4% TOTAL NETHERLANDS .........................................96,314,631 2.7% NEW ZEALAND — (0.2%) Other Securities ...........................................7,703,900 0.2% NORWAY — (0.7%) Other Securities ...........................................24,569,910 0.7% PORTUGAL — (0.2%) Other Securities ...........................................5,616,292 0.2% SINGAPORE — (1.0%) Other Securities ...........................................38,097,183 1.1% SPAIN — (2.6%) Banco Santander SA .......................................2,510,082 12,299,466 0.3% Other Securities ...........................................85,110,915 2.5% TOTAL SPAIN .................................................97,410,381 2.8% SWEDEN — (2.4%) Other Securities ...........................................90,092,687 2.5% SWITZERLAND — (7.2%) Nestle SA .................................................782,441 56,737,823 1.6% Novartis AG ...............................................431,870 30,648,770 0.9% Roche Holding AG .........................................183,267 42,093,048 1.2% Other Securities ...........................................137,305,900 3.9% TOTAL SWITZERLAND .........................................266,785,541 7.6% 71 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** UNITED KINGDOM — (15.3%) BP P.L.C. Sponsored ADR .................................798,270 $ 28,378,481 0.8% British American Tobacco P.L.C.............................322,533 18,485,313 0.5% # Diageo P.L.C. Sponsored ADR ..............................106,769 11,480,871 0.3% GlaxoSmithKline P.L.C.....................................566,003 11,181,008 0.3% # GlaxoSmithKline P.L.C. Sponsored ADR ......................364,297 14,575,523 0.4% * Glencore P.L.C...........................................3,170,885 9,706,413 0.3% HSBC Holdings P.L.C......................................1,783,266 13,430,020 0.4% # HSBC Holdings P.L.C. Sponsored ADR ......................538,345 20,257,922 0.6% Imperial Brands P.L.C......................................213,827 10,343,202 0.3% Reckitt Benckiser Group P.L.C..............................153,746 13,754,195 0.4% Royal Dutch Shell P.L.C. Class A ............................449,764 11,202,290 0.3% Royal Dutch Shell P.L.C. Sponsored ADR, Class A .............293,116 14,600,121 0.4% # Royal Dutch Shell P.L.C. Sponsored ADR, Class B .............270,733 14,162,043 0.4% Unilever P.L.C. Sponsored ADR .............................241,380 10,058,305 0.3% Vodafone Group P.L.C.....................................4,075,813 11,193,505 0.3% Other Securities ..........................................349,728,527 9.9% TOTAL UNITED KINGDOM .....................................562,537,739 15.9% UNITED STATES — (0.0%) Other Securities ..........................................227,016 0.0% TOTAL COMMON STOCKS ....................................3,456,281,877 98.0% PREFERRED STOCKS — (0.5%) GERMANY — (0.5%) Other Securities ..........................................16,981,064 0.5% TOTAL PREFERRED STOCKS ..................................16,981,064 0.5% RIGHTS/WARRANTS — (0.0%) SPAIN — (0.0%) Other Securities ..........................................202,968 0.0% SWEDEN — (0.0%) Other Securities ..........................................42,577 0.0% TOTAL RIGHTS/WARRANTS ...................................245,545 0.0% TOTAL INVESTMENT SECURITIES .............................3,473,508,486 Value† SECURITIES LENDING COLLATERAL — (5.6%) §@ DFA Short Term Investment Fund ...........................17,954,930 207,774,454 5.9% TOTAL INVESTMENTS — (100.0%) (Cost $3,448,198,124).......................................$3,681,282,940 104.4% 72 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Australia ......................................... $5,086,440 $ 210,105,538 — $ 215,191,978 Austria ........................................... —6,631,352 — 6,631,352 Belgium ..........................................22,518,893 21,742,875 — 44,261,768 Canada ..........................................305,916,164 — — 305,916,164 Denmark .........................................2,149,708 51,564,802 — 53,714,510 Finland ...........................................1,417,006 31,759,852 — 33,176,858 France ...........................................9,305,388 293,421,025 — 302,726,413 Germany .........................................16,983,548 248,034,615 — 265,018,163 Hong Kong .......................................571,437 104,635,947 — 105,207,384 Ireland ...........................................3,949,806 13,296,411 — 17,246,217 Israel ............................................9,067,086 8,207,310 — 17,274,396 Italy .............................................3,474,243 57,718,344 — 61,192,587 Japan ............................................36,199,503 803,169,304 — 839,368,807 Netherlands .......................................20,384,578 75,930,053 — 96,314,631 New Zealand ...................................... —7,703,900 — 7,703,900 Norway ..........................................768,438 23,801,472 — 24,569,910 Portugal .......................................... —5,616,292 — 5,616,292 Singapore ........................................ —38,097,183 — 38,097,183 Spain ............................................12,512,270 84,898,111 — 97,410,381 Sweden .......................................... —90,092,687 — 90,092,687 Switzerland .......................................16,403,240 250,382,301 — 266,785,541 United Kingdom ...................................181,389,085 381,148,654 — 562,537,739 United States ..................................... —227,016 — 227,016 Preferred Stocks Germany ......................................... —16,981,064 — 16,981,064 Rights/Warrants Spain ............................................ —202,968 — 202,968 Sweden .......................................... —42,577 — 42,577 Securities Lending Collateral .......................... —207,774,454 — 207,774,454 Futures Contracts**..................................(869,741) — — (869,741) TOTAL .............................................$647,227,092 $3,033,186,107 — $3,680,413,199 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 73 INTERNATIONAL CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value†† Percentage of Net Assets** COMMON STOCKS — (92.7%) AUSTRALIA — (6.0%) # Australia & New Zealand Banking Group, Ltd..................2,056,866 $ 43,431,565 0.3% BHP Billiton, Ltd...........................................2,388,698 41,732,533 0.3% # Commonwealth Bank of Australia ............................536,081 29,844,102 0.2% Macquarie Group, Ltd......................................602,362 36,412,406 0.2% National Australia Bank, Ltd.................................1,864,442 39,577,315 0.2% Westpac Banking Corp.....................................1,908,557 44,135,255 0.3% Woodside Petroleum, Ltd...................................1,399,661 29,961,126 0.2% Other Securities ..........................................809,573,794 4.6% TOTAL AUSTRALIA ...........................................1,074,668,096 6.3% AUSTRIA — (0.5%) Other Securities ..........................................91,731,975 0.5% BELGIUM — (1.4%) Anheuser-Busch InBev SA .................................393,517 45,163,864 0.3% Other Securities ..........................................199,927,530 1.1% TOTAL BELGIUM .............................................245,091,394 1.4% CANADA — (8.5%) Royal Bank of Canada .....................................699,021 43,674,832 0.3% Toronto-Dominion Bank (The)...............................680,144 30,860,780 0.2% Other Securities ..........................................1,449,023,827 8.5% TOTAL CANADA ..............................................1,523,559,439 9.0% CHINA — (0.0%) Other Securities ..........................................2,708,191 0.0% DENMARK — (1.8%) Other Securities ..........................................320,918,627 1.9% FINLAND — (1.7%) UPM-Kymmene Oyj .......................................1,573,268 36,596,585 0.2% Other Securities ..........................................270,742,567 1.6% TOTAL FINLAND ..............................................307,339,152 1.8% FRANCE — (6.7%) BNP Paribas SA ..........................................796,740 46,197,577 0.3% Cie de Saint-Gobain .......................................677,742 30,093,894 0.2% Cie Generale des Etablissements Michelin ....................362,160 39,224,836 0.2% Orange SA ..............................................2,108,185 33,169,456 0.2% Total SA .................................................1,954,493 93,629,793 0.6% Other Securities ..........................................956,157,803 5.5% TOTAL FRANCE ..............................................1,198,473,359 7.0% GERMANY — (6.6%) Adidas AG ...............................................191,209 31,414,494 0.2% BASF SE ................................................707,050 62,416,929 0.4% Bayerische Motoren Werke AG ..............................472,907 41,258,985 0.3% Daimler AG ..............................................1,158,983 82,684,133 0.5% Deutsche Telekom AG .....................................2,550,534 41,612,518 0.3% E.ON SE ................................................5,371,567 39,367,437 0.2% 74 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** GERMANY — (Continued) Fresenius SE & Co. KGaA ..................................594,150 $ 43,900,083 0.3% Other Securities ..........................................836,999,292 4.7% TOTAL GERMANY ............................................1,179,653,871 6.9% HONG KONG — (2.8%) AIA Group, Ltd............................................6,136,600 38,605,361 0.2% Other Securities ..........................................462,170,603 2.7% TOTAL HONG KONG ..........................................500,775,964 2.9% IRELAND — (0.5%) Other Securities ..........................................85,350,165 0.5% ISRAEL — (0.6%) Other Securities ..........................................104,555,277 0.6% ITALY — (2.3%) Assicurazioni Generali SpA .................................2,476,453 31,989,189 0.2% EniSpA .................................................2,230,601 32,371,056 0.2% Other Securities ..........................................354,242,498 2.1% TOTAL ITALY ................................................418,602,743 2.5% JAPAN — (23.2%) # Honda Motor Co., Ltd......................................1,287,400 38,521,073 0.2% Mitsubishi UFJ Financial Group, Inc..........................6,194,700 31,963,466 0.2% Nissan Motor Co., Ltd......................................3,081,900 31,350,574 0.2% NTT DOCOMO, Inc........................................1,305,900 32,796,350 0.2% Toyota Motor Corp........................................1,432,494 83,094,269 0.5% # Toyota Motor Corp. Sponsored ADR .........................384,641 44,487,578 0.3% Other Securities ..........................................3,908,722,637 23.0% TOTAL JAPAN ................................................4,170,935,947 24.6% NETHERLANDS — (2.5%) Koninklijke Ahold Delhaize NV ..............................2,136,192 48,731,664 0.3% Other Securities ..........................................406,732,883 2.4% TOTAL NETHERLANDS ........................................455,464,547 2.7% NEW ZEALAND — (0.4%) Other Securities ..........................................75,118,626 0.4% NORWAY — (0.8%) Other Securities ..........................................149,177,332 0.9% PORTUGAL — (0.3%) Other Securities ..........................................44,394,308 0.3% SINGAPORE — (1.0%) Other Securities ..........................................182,338,798 1.1% SPAIN — (2.2%) Banco Santander SA ......................................8,235,475 40,354,037 0.3% Iberdrola SA .............................................6,182,145 42,072,266 0.3% Other Securities ..........................................321,145,827 1.8% TOTAL SPAIN ................................................403,572,130 2.4% 75 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** SWEDEN — (2.6%) Other Securities ......................................... $474,138,525 2.8% SWITZERLAND — (6.0%) ABB, Ltd................................................1,450,592 29,926,319 0.2% Nestle SA ..............................................2,417,067 175,270,877 1.0% Novartis AG Sponsored ADR ..............................794,013 56,390,803 0.3% Roche Holding AG .......................................153,905 35,349,138 0.2% Syngenta AG ...........................................92,858 37,158,601 0.2% Other Securities .........................................745,940,760 4.5% TOTAL SWITZERLAND .......................................1,080,036,498 6.4% UNITED KINGDOM — (14.3%) BP P.L.C. Sponsored ADR ................................2,592,381 92,159,153 0.6% # HSBC Holdings P.L.C. Sponsored ADR .....................1,960,952 73,790,624 0.4% Lloyds Banking Group P.L.C...............................46,732,230 32,634,191 0.2% # Rio Tinto P.L.C. Sponsored ADR ...........................929,561 32,395,201 0.2% Royal Dutch Shell P.L.C. Class A ...........................1,299,991 32,378,927 0.2% Royal Dutch Shell P.L.C. Sponsored ADR, Class A ............1,185,020 59,025,846 0.4% # Royal Dutch Shell P.L.C. Sponsored ADR, Class B ............1,354,884 70,873,982 0.4% * Tesco P.L.C.............................................11,587,266 29,845,153 0.2% # Vodafone Group P.L.C. Sponsored ADR .....................1,397,631 38,910,039 0.2% Other Securities .........................................2,114,841,864 12.4% TOTAL UNITED KINGDOM ....................................2,576,854,980 15.2% UNITED STATES — (0.0%) Other Securities .........................................3,901,386 0.0% TOTAL COMMON STOCKS ...................................16,669,361,330 98.1% PREFERRED STOCKS — (0.4%) GERMANY — (0.4%) Volkswagen AG .........................................225,791 31,131,053 0.2% Other Securities .........................................34,513,017 0.2% TOTAL GERMANY ...........................................65,644,070 0.4% UNITED KINGDOM — (0.0%) Other Securities .........................................14,278 0.0% TOTAL PREFERRED STOCKS ................................65,658,348 0.4% RIGHTS/WARRANTS — (0.0%) AUSTRALIA — (0.0%) Other Securities .........................................87,327 0.0% FRANCE — (0.0%) Other Securities ......................................... 35 0.0% HONG KONG — (0.0%) Other Securities ......................................... 736 0.0% SINGAPORE — (0.0%) Other Securities .........................................26,148 0.0% SPAIN — (0.0%) Other Securities .........................................604,074 0.0% 76 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** SWEDEN — (0.0%) Other Securities ....................................... $299,130 0.0% UNITED KINGDOM — (0.0%) Other Securities .......................................1,203,565 0.0% TOTAL RIGHTS/WARRANTS ................................2,221,015 0.0% TOTAL INVESTMENT SECURITIES ...........................16,737,240,693 Value† SECURITIES LENDING COLLATERAL — (6.9%) §@ DFA Short Term Investment Fund ........................106,864,635 1,236,637,558 7.3% TOTAL INVESTMENTS — (100.0%) (Cost $17,498,407,878)....................................$17,973,878,251 105.8% Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Australia ...................................... $37,103,287 $ 1,037,564,809 — $ 1,074,668,096 Austria .......................................49,098 91,682,877 — 91,731,975 Belgium ......................................58,744,725 186,346,669 — 245,091,394 Canada ......................................1,523,377,449 181,990 — 1,523,559,439 China ........................................ —2,708,191 — 2,708,191 Denmark .....................................21,156,358 299,762,269 — 320,918,627 Finland .......................................6,367,123 300,972,029 — 307,339,152 France .......................................69,350,590 1,129,122,769 — 1,198,473,359 Germany .....................................79,163,985 1,100,489,886 — 1,179,653,871 Hong Kong ....................................1,718,770 499,057,194 — 500,775,964 Ireland .......................................19,547,023 65,803,142 — 85,350,165 Israel ........................................28,473,368 76,081,909 — 104,555,277 Italy ..........................................11,331,958 407,270,785 — 418,602,743 Japan ........................................115,521,400 4,055,414,547 — 4,170,935,947 Netherlands ...................................67,080,426 388,384,121 — 455,464,547 New Zealand ..................................656,849 74,461,777 — 75,118,626 Norway .......................................12,717,633 136,459,699 — 149,177,332 Portugal ......................................238,098 44,156,210 — 44,394,308 Singapore .................................... 680 182,338,118 — 182,338,798 Spain ........................................25,603,409 377,968,721 — 403,572,130 Sweden ......................................2,614,670 471,523,855 — 474,138,525 Switzerland ...................................93,775,066 986,261,432 — 1,080,036,498 United Kingdom ...............................602,836,047 1,974,018,933 — 2,576,854,980 United States ..................................1,630,990 2,270,396 — 3,901,386 Preferred Stocks Germany ..................................... —65,644,070 — 65,644,070 United Kingdom ............................... —14,278 — 14,278 77 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Rights/Warrants Australia ...................................... — $87,327 — $ 87,327 France ....................................... — 35 — 35 Hong Kong .................................... — 736 — 736 Singapore .................................... —26,148 — 26,148 Spain ........................................ —604,074 — 604,074 Sweden ...................................... —299,130 — 299,130 United Kingdom ............................... —1,203,565 — 1,203,565 Securities Lending Collateral ....................... —1,236,637,558 — 1,236,637,558 Futures Contracts**.............................. $(2,947,701) — — (2,947,701) TOTAL .........................................$2,776,111,301 $15,194,819,249 — $17,970,930,550 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 78 INTERNATIONAL SMALL COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2016 Value† AFFILIATED INVESTMENT COMPANIES — (100.0%) Investment in The Continental Small Company Series of The DFA Investment Trust Company ............................................... $3,831,133,408 Investment in The Japanese Small Company Series of The DFA Investment Trust Company ...............................................2,622,939,356 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company ...............................................1,623,793,646 Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company ...............................................1,304,060,854 Investment in The Canadian Small Company Series of The DFA Investment Trust Company ...............................................912,080,702 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $9,548,011,247).......................................................10,294,007,966 TOTAL INVESTMENTS — (100.0%) (Cost $9,548,011,247).......................................................$10,294,007,966 Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Affiliated Investment Companies ...........................$10,294,007,966 — — $10,294,007,966 Futures Contracts**......................................(2,788,124) — — (2,788,124) TOTAL ................................................$10,291,219,842 — — $10,291,219,842 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 79 SCHEDULES OF INVESTMENTS October 31, 2016 JAPANESE SMALL COMPANY PORTFOLIO Value† AFFILIATED INVESTMENT COMPANY — (100.0%) Investment in The Japanese Small Company Series of The DFA Investment Trust Company .................................................$509,654,577 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $438,858,924)...........................................................$509,654,577 Summary of the Portfolio’s Master Fund’s investments as of October 31, 2016, based on their valuation inputs, is located within this report (See Security Valuation Note). ASIA PACIFIC SMALL COMPANY PORTFOLIO Value† AFFILIATED INVESTMENT COMPANY — (100.0%) Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company .................................................$251,675,013 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $260,212,173)...........................................................$251,675,013 Summary of the Portfolio’s Master Fund’s investments as of October 31, 2016, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 80 SCHEDULES OF INVESTMENTS October 31, 2016 UNITED KINGDOM SMALL COMPANY PORTFOLIO Value† AFFILIATED INVESTMENT COMPANY — (100.0%) Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company ..................................................$32,369,395 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $30,007,760).............................................................$32,369,395 Summary of the Portfolio’s Master Fund’s investments as of October 31, 2016, based on their valuation inputs, is located within this report (See Security Valuation Note). CONTINENTAL SMALL COMPANY PORTFOLIO Value† AFFILIATED INVESTMENT COMPANY — (100.0%) Investment in The Continental Small Company Series of The DFA Investment Trust Company .................................................$292,248,971 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $254,355,139)...........................................................$292,248,971 Summary of the Portfolio’s Master Fund’s investments as of October 31, 2016, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 81 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value†† Percentage of Net Assets** COMMON STOCKS — (96.3%) AUSTRALIA — (19.3%) Dexus Property Group .....................................10,421,155 $ 70,792,307 1.7% Goodman Group ..........................................18,851,899 97,172,423 2.3% GPT Group (The).........................................19,362,947 68,455,268 1.6% Scentre Group ............................................54,296,774 173,778,720 4.2% Stockland ................................................25,313,761 85,014,734 2.0% Vicinity Centres ...........................................34,732,755 75,743,821 1.8% Westfield Corp............................................20,974,759 141,744,743 3.4% Other Securities ..........................................109,559,306 2.7% TOTAL AUSTRALIA ...........................................822,261,322 19.7% BELGIUM — (1.9%) Cofinimmo SA ............................................238,829 27,961,580 0.6% Other Securities ..........................................53,212,619 1.3% TOTAL BELGIUM .............................................81,174,199 1.9% CANADA — (5.4%) H&R REIT ...............................................1,595,665 27,135,707 0.7% # RioCan REIT .............................................1,689,942 32,858,933 0.8% Other Securities ..........................................172,649,171 4.1% TOTAL CANADA ..............................................232,643,811 5.6% CHINA — (0.3%) Other Securities ..........................................11,237,887 0.3% FRANCE — (5.7%) Fonciere Des Regions .....................................379,734 33,187,074 0.8% Gecina SA ...............................................377,040 54,972,887 1.3% ICADE ..................................................402,909 28,934,036 0.7% Klepierre ................................................2,396,542 97,941,331 2.4% Other Securities ..........................................28,802,314 0.6% TOTAL FRANCE ..............................................243,837,642 5.8% GERMANY — (0.6%) Other Securities ..........................................25,143,013 0.6% GREECE — (0.0%) Other Securities ..........................................744,713 0.0% HONG KONG — (4.9%) Link REIT ................................................23,556,305 167,578,021 4.0% Other Securities ..........................................43,309,315 1.1% TOTAL HONG KONG ..........................................210,887,336 5.1% IRELAND — (0.0%) Other Securities ..........................................1,374,206 0.0% ITALY — (0.3%) Other Securities ..........................................11,138,933 0.3% JAPAN — (23.0%) Advance Residence Investment Corp.........................13,996 39,173,593 0.9% # Daiwa House REIT Investment Corp..........................12,360 33,510,134 0.8% # Daiwa Office Investment Corp...............................3,983 22,498,132 0.5% 82 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** JAPAN — (Continued) # Frontier Real Estate Investment Corp.........................5,413 $ 25,460,606 0.6% # GLP J-Reit ...............................................22,433 28,111,373 0.7% Japan Hotel REIT Investment Corp...........................40,160 27,094,758 0.6% # Japan Logistics Fund, Inc...................................10,121 22,012,338 0.5% Japan Prime Realty Investment Corp.........................9,039 39,035,811 0.9% Japan Real Estate Investment Corp..........................14,179 82,108,307 2.0% Japan Retail Fund Investment Corp..........................27,239 61,968,555 1.5% # Kenedix Office Investment Corp.............................5,113 28,829,953 0.7% # Mori Hills REIT Investment Corp.............................17,770 25,055,593 0.6% # Nippon Accommodations Fund, Inc...........................5,159 23,476,891 0.6% # Nippon Building Fund, Inc...................................15,266 90,714,220 2.2% # Nomura Real Estate Master Fund, Inc........................39,926 64,808,049 1.6% Orix JREIT, Inc............................................26,064 44,647,991 1.1% # United Urban Investment Corp...............................31,108 52,604,206 1.3% Other Securities ..........................................270,972,139 6.4% TOTAL JAPAN ................................................982,082,649 23.5% MALAYSIA — (0.6%) Other Securities ..........................................26,876,659 0.7% MEXICO — (2.0%) # Fibra Uno Administracion S.A. de C.V........................27,780,766 52,868,851 1.3% Other Securities ..........................................31,820,022 0.7% TOTAL MEXICO ..............................................84,688,873 2.0% NETHERLANDS — (6.7%) Unibail-Rodamco SE ......................................978,160 232,180,914 5.6% Other Securities ..........................................53,692,413 1.2% TOTAL NETHERLANDS ........................................285,873,327 6.8% NEW ZEALAND — (0.9%) Other Securities ..........................................38,938,815 0.9% SINGAPORE — (7.5%) Ascendas REIT ...........................................25,809,800 43,983,702 1.1% CapitaLand Commercial Trust ...............................28,645,800 32,416,256 0.8% CapitaLand Mall Trust .....................................27,289,300 40,664,892 1.0% Suntec REIT .............................................26,331,900 31,803,711 0.8% Other Securities ..........................................171,622,152 4.0% TOTAL SINGAPORE ..........................................320,490,713 7.7% SOUTH AFRICA — (3.9%) # Growthpoint Properties, Ltd.................................25,861,189 48,224,649 1.2% Redefine Properties, Ltd....................................45,551,268 38,977,751 0.9% Resilient REIT, Ltd.........................................2,831,518 23,424,603 0.6% Other Securities ..........................................53,783,748 1.2% TOTAL SOUTH AFRICA ........................................164,410,751 3.9% SPAIN — (0.9%) Merlin Properties Socimi SA ................................3,441,570 38,613,634 0.9% TAIWAN — (0.3%) Other Securities ..........................................12,147,545 0.3% TURKEY — (0.7%) Other Securities ..........................................29,344,452 0.7% UNITED KINGDOM — (11.4%) British Land Co. P.L.C. (The)...............................10,898,856 78,029,194 1.9% Derwent London P.L.C.....................................1,176,748 34,800,232 0.8% 83 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** UNITED KINGDOM — (Continued) Great Portland Estates P.L.C................................3,858,150 $ 27,994,372 0.7% Hammerson P.L.C.........................................8,960,814 60,284,091 1.4% # Intu Properties P.L.C.......................................10,648,168 35,886,732 0.8% Land Securities Group P.L.C................................8,807,163 107,540,737 2.6% Segro P.L.C..............................................8,436,335 45,185,521 1.1% Shaftesbury P.L.C.........................................2,926,579 32,832,178 0.8% Other Securities ..........................................63,665,670 1.5% TOTAL UNITED KINGDOM .....................................486,218,727 11.6% TOTAL COMMON STOCKS ....................................4,110,129,207 98.3% RIGHTS/WARRANTS — (0.0%) SINGAPORE — (0.0%) Other Securities ..........................................14,393 0.0% TOTAL INVESTMENT SECURITIES .............................4,110,143,600 Value† SECURITIES LENDING COLLATERAL — (3.7%) §@ DFA Short Term Investment Fund ...........................13,647,290 157,926,434 3.8% TOTAL INVESTMENTS — (100.0%) (Cost $4,136,479,829).......................................$4,268,070,034 102.1% Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Australia ......................................... — $822,261,322 — $ 822,261,322 Belgium .......................................... —81,174,199 — 81,174,199 Canada ..........................................$232,643,811 — — 232,643,811 China ............................................ —11,237,887 — 11,237,887 France ...........................................8,846,020 234,991,622 — 243,837,642 Germany ......................................... —25,143,013 — 25,143,013 Greece ........................................... —744,713 — 744,713 Hong Kong ....................................... —210,887,336 — 210,887,336 Ireland ........................................... —1,374,206 — 1,374,206 Italy ............................................. —11,138,933 — 11,138,933 Japan ............................................ —982,082,649 — 982,082,649 Malaysia ......................................... —26,876,659 — 26,876,659 Mexico ...........................................84,688,873 — — 84,688,873 Netherlands ....................................... —285,873,327 — 285,873,327 New Zealand ...................................... —38,938,815 — 38,938,815 Singapore ........................................ —320,490,713 — 320,490,713 South Africa ...................................... —164,410,751 — 164,410,751 Spain ............................................ —38,613,634 — 38,613,634 Taiwan ........................................... —12,147,545 — 12,147,545 Turkey ........................................... —29,344,452 — 29,344,452 United Kingdom ................................... —486,218,727 — 486,218,727 Rights/Warrants Singapore ........................................ —14,393 — 14,393 Securities Lending Collateral .......................... —157,926,434 — 157,926,434 Futures Contracts**..................................(303,666) — — (303,666) TOTAL .............................................$325,875,038 $3,941,891,330 — $4,267,766,368 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 84 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value†† Percentage of Net Assets** COMMON STOCKS — (32.3%) UNITED STATES — (32.3%) Alexandria Real Estate Equities, Inc...........................174,347 $ 18,796,350 0.4% American Campus Communities, Inc..........................279,406 14,559,847 0.3% Apartment Investment & Management Co. Class A ..............335,438 14,782,753 0.3% AvalonBay Communities, Inc.................................291,915 49,970,010 1.0% Boston Properties, Inc.......................................327,235 39,425,273 0.8% Brixmor Property Group, Inc..................................530,182 13,477,226 0.3% # Camden Property Trust .....................................187,245 15,249,233 0.3% CubeSmart ...............................................382,314 9,966,926 0.2% DDR Corp.................................................666,214 10,186,412 0.2% Digital Realty Trust, Inc......................................326,268 30,483,219 0.6% # Douglas Emmett, Inc........................................305,331 11,144,582 0.2% Duke Realty Corp..........................................751,217 19,644,325 0.4% EPR Properties ............................................137,096 9,969,621 0.2% Equinix, Inc...............................................152,062 54,328,711 1.1% Equity Lifestyle Properties, Inc................................163,143 12,372,765 0.3% Equity Residential ..........................................779,120 48,110,660 1.0% Essex Property Trust, Inc....................................138,955 29,748,876 0.6% Extra Space Storage, Inc....................................269,405 19,706,976 0.4% Federal Realty Investment Trust ..............................152,350 22,125,790 0.5% Gaming and Leisure Properties, Inc...........................353,547 11,606,948 0.2% General Growth Properties, Inc...............................1,218,319 30,397,059 0.6% HCP, Inc..................................................996,797 34,140,297 0.7% # Highwoods Properties, Inc...................................212,512 10,546,971 0.2% Hospitality Properties Trust ..................................348,626 9,538,407 0.2% # Host Hotels & Resorts, Inc...................................1,590,717 24,624,299 0.5% Iron Mountain, Inc..........................................537,781 18,139,353 0.4% # Kilroy Realty Corp..........................................197,573 14,191,669 0.3% # Kimco Realty Corp.........................................891,266 23,716,588 0.5% Liberty Property Trust .......................................314,355 12,709,373 0.3% Macerich Co. (The).........................................259,337 18,355,873 0.4% # Mid-America Apartment Communities, Inc......................159,688 14,811,062 0.3% National Retail Properties, Inc................................314,811 14,361,678 0.3% # Omega Healthcare Investors, Inc.............................414,309 13,187,455 0.3% Prologis, Inc...............................................1,126,524 58,759,492 1.2% Public Storage ............................................316,191 67,576,341 1.4% Realty Income Corp........................................548,676 32,503,566 0.7% Regency Centers Corp......................................224,566 16,184,472 0.3% Senior Housing Properties Trust ..............................511,739 10,884,689 0.2% Simon Property Group, Inc...................................675,550 125,625,278 2.6% # SL Green Realty Corp.......................................214,852 21,102,763 0.4% Spirit Realty Capital, Inc.....................................1,027,741 12,240,395 0.3% Sun Communities, Inc.......................................133,702 10,285,695 0.2% UDR, Inc..................................................568,465 19,879,221 0.4% Ventas, Inc................................................745,527 50,509,454 1.0% VEREIT, Inc. REIT .........................................2,089,475 19,641,065 0.4% Vornado Realty Trust .......................................361,278 33,519,373 0.7% Welltower, Inc.............................................764,813 52,412,635 1.1% WP Carey, Inc.............................................209,677 12,735,781 0.3% Other Securities ...........................................354,946,650 7.1% TOTAL COMMON STOCKS .....................................1,593,183,457 32.6% 85 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** AFFILIATED INVESTMENT COMPANIES — (67.0%) UNITED STATES — (67.0%) DFA International Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc.........................320,901,426 $1,678,314,456 34.3% DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc..................................47,182,930 1,619,318,167 33.1% TOTAL UNITED STATES ......................................3,297,632,623 67.4% TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES ..............................................3,297,632,623 67.4% TOTAL INVESTMENT SECURITIES ............................4,890,816,080 Value† SECURITIES LENDING COLLATERAL — (0.7%) §@ DFA Short Term Investment Fund ..........................2,940,518 34,027,679 0.7% TOTAL INVESTMENTS — (100.0%) (Cost $4,228,323,230)......................................$4,924,843,759 100.7% Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks United States ......................................$1,593,183,457 — — $1,593,183,457 Affiliated Investment Companies United States ......................................3,297,632,623 — — 3,297,632,623 Securities Lending Collateral ........................... —$34,027,679 — 34,027,679 TOTAL ..............................................$4,890,816,080 $34,027,679 — $4,924,843,759 See accompanying Notes to Financial Statements. 86 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value†† Percentage of Net Assets** COMMON STOCKS — (92.9%) AUSTRALIA — (7.2%) BlueScope Steel, Ltd......................................10,422,296 $ 61,831,603 0.5% Downer EDI, Ltd.........................................10,628,374 46,976,239 0.4% OZ Minerals, Ltd.........................................7,708,562 39,385,693 0.3% # Primary Health Care, Ltd..................................12,982,539 37,841,289 0.3% Treasury Wine Estates, Ltd................................5,628,238 45,883,460 0.4% Other Securities .........................................765,041,938 5.8% TOTAL AUSTRALIA ..........................................996,960,222 7.7% AUSTRIA — (1.0%) Wienerberger AG ........................................2,688,169 42,958,537 0.3% Other Securities .........................................93,902,207 0.8% TOTAL AUSTRIA ............................................136,860,744 1.1% BELGIUM — (1.2%) Other Securities .........................................168,390,567 1.3% CANADA — (8.0%) * New Gold, Inc...........................................11,382,167 44,890,527 0.4% # Precision Drilling Corp....................................9,599,787 42,799,319 0.3% Other Securities .........................................1,015,574,961 7.8% TOTAL CANADA .............................................1,103,264,807 8.5% CHINA — (0.1%) Other Securities .........................................10,731,956 0.1% DENMARK — (1.7%) Jyske Bank A.S..........................................1,025,280 46,486,501 0.4% Sydbank A.S............................................1,377,895 43,026,529 0.3% Other Securities .........................................143,175,738 1.1% TOTAL DENMARK ...........................................232,688,768 1.8% FINLAND — (2.5%) Cargotec Oyj Class B .....................................973,185 39,910,579 0.3% Kesko Oyj Class B .......................................1,458,967 72,495,964 0.6% Other Securities .........................................225,344,052 1.7% TOTAL FINLAND .............................................337,750,595 2.6% FRANCE — (4.4%) Arkema SA .............................................1,001,886 95,001,175 0.7% * Nexans SA .............................................759,787 43,188,043 0.3% Rexel SA ...............................................3,645,764 50,563,981 0.4% Other Securities .........................................412,423,919 3.2% TOTAL FRANCE .............................................601,177,118 4.6% GERMANY — (6.8%) Aareal Bank AG .........................................1,773,002 64,129,789 0.5% Aurubis AG .............................................1,167,679 60,878,661 0.5% DMG Mori AG ...........................................999,797 45,763,876 0.4% Lanxess AG .............................................1,639,319 105,120,810 0.8% Osram Licht AG .........................................1,096,994 62,305,723 0.5% Rheinmetall AG ..........................................1,078,306 74,853,689 0.6% 87 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** GERMANY — (Continued) Salzgitter AG ...........................................1,332,610 $ 43,805,512 0.4% Other Securities ........................................481,546,452 3.5% TOTAL GERMANY ..........................................938,404,512 7.2% GREECE — (0.0%) Other Securities ........................................1,886 0.0% HONG KONG — (3.1%) Other Securities ........................................420,368,732 3.2% IRELAND — (0.3%) Other Securities ........................................43,620,825 0.3% ISRAEL — (0.6%) Other Securities ........................................82,215,729 0.6% ITALY — (3.0%) Banca Popolare dell’Emilia Romagna SC ...................13,794,426 64,820,979 0.5% # Banca Popolare di Milano Scarl ...........................131,508,015 60,272,546 0.5% Unipol Gruppo Finanziario SpA ...........................12,280,894 37,597,880 0.3% Other Securities ........................................256,609,430 1.9% TOTAL ITALY ..............................................419,300,835 3.2% JAPAN — (25.9%) Fujikura, Ltd............................................6,644,200 39,038,012 0.3% Kyushu Financial Group, Inc..............................5,673,395 37,724,890 0.3% Other Securities ........................................3,491,498,246 26.8% TOTAL JAPAN ..............................................3,568,261,148 27.4% NETHERLANDS — (2.1%) # APERAM SA ...........................................1,295,977 58,939,499 0.5% Delta Lloyd NV .........................................7,177,283 43,360,353 0.3% # SBM Offshore NV .......................................4,403,531 63,209,832 0.5% Other Securities ........................................129,334,903 1.0% TOTAL NETHERLANDS .....................................294,844,587 2.3% NEW ZEALAND — (0.4%) Other Securities ........................................58,409,655 0.4% NORWAY — (0.7%) Other Securities ........................................94,820,762 0.7% PORTUGAL — (0.3%) Other Securities ........................................39,952,792 0.3% SINGAPORE — (1.2%) Other Securities ........................................158,940,173 1.2% SPAIN — (2.3%) Acciona SA ............................................641,361 48,739,153 0.4% # Acerinox SA ...........................................3,328,284 40,957,184 0.3% Gamesa Corp. Tecnologica SA ...........................2,275,221 52,531,263 0.4% Other Securities ........................................169,582,811 1.3% TOTAL SPAIN ..............................................311,810,411 2.4% 88 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** SWEDEN — (3.0%) BillerudKorsnas AB ......................................2,518,920 $ 41,364,292 0.3% Holmen AB Class B ......................................1,244,509 42,581,753 0.3% Saab AB Class B ........................................1,090,814 38,634,039 0.3% Other Securities .........................................290,912,982 2.3% TOTAL SWEDEN ............................................413,493,066 3.2% SWITZERLAND — (4.4%) Baloise Holding AG ......................................499,895 61,501,836 0.5% Helvetia Holding AG ......................................166,174 86,454,389 0.7% Other Securities .........................................458,006,489 3.5% TOTAL SWITZERLAND .......................................605,962,714 4.7% UNITED KINGDOM — (12.7%) Beazley P.L.C...........................................13,328,414 59,345,802 0.5% Bellway P.L.C...........................................3,292,215 95,270,849 0.7% Bodycote P.L.C..........................................5,196,658 37,662,195 0.3% Bovis Homes Group P.L.C.................................4,562,935 42,247,075 0.3% Centamin P.L.C..........................................25,014,912 48,451,085 0.4% Close Brothers Group P.L.C...............................2,394,726 38,860,135 0.3% Greene King P.L.C.......................................7,070,307 63,247,094 0.5% Hiscox, Ltd..............................................7,430,506 92,783,332 0.7% Inchcape P.L.C..........................................6,553,522 52,105,182 0.4% John Wood Group P.L.C..................................7,902,149 74,273,651 0.6% Man Group P.L.C........................................27,750,733 42,307,017 0.3% Melrose Industries P.L.C..................................38,390,186 79,225,571 0.6% Other Securities .........................................1,028,984,021 7.9% TOTAL UNITED KINGDOM ....................................1,754,763,009 13.5% UNITED STATES — (0.0%) Other Securities .........................................3,056,896 0.0% TOTAL COMMON STOCKS ...................................12,796,052,509 98.3% PREFERRED STOCKS — (0.1%) GERMANY — (0.1%) Other Securities .........................................7,352,563 0.1% TOTAL PREFERRED STOCKS ................................7,352,563 0.1% RIGHTS/WARRANTS — (0.1%) AUSTRALIA — (0.0%) Other Securities .........................................91,309 0.0% SINGAPORE — (0.0%) Other Securities .........................................131,043 0.0% SPAIN — (0.0%) Other Securities .........................................215,821 0.0% UNITED KINGDOM — (0.1%) Other Securities .........................................6,722,457 0.1% TOTAL RIGHTS/WARRANTS ..................................7,160,630 0.1% TOTAL INVESTMENT SECURITIES ............................12,810,565,702 89 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** SECURITIES LENDING COLLATERAL — (6.9%) §@ DFA Short Term Investment Fund ..........................81,879,790 $ 947,512,927 7.3% TOTAL INVESTMENTS — (100.0%) (Cost $12,684,369,059).....................................$13,758,078,629 105.8% Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Australia ...................................... — $996,960,222 — $ 996,960,222 Austria ....................................... —136,860,744 — 136,860,744 Belgium ...................................... —168,390,567 — 168,390,567 Canada ......................................$1,102,402,780 862,027 — 1,103,264,807 China ........................................ —10,731,956 — 10,731,956 Denmark ..................................... —232,688,768 — 232,688,768 Finland ....................................... —337,750,595 — 337,750,595 France .......................................86,852 601,090,266 — 601,177,118 Germany ..................................... —938,404,512 — 938,404,512 Greece ....................................... —1,886 — 1,886 Hong Kong ....................................79,646 420,289,086 — 420,368,732 Ireland ....................................... —43,620,825 — 43,620,825 Israel ........................................ —82,215,729 — 82,215,729 Italy .......................................... —419,300,835 — 419,300,835 Japan ........................................4,531,599 3,563,729,549 — 3,568,261,148 Netherlands ................................... —294,844,587 — 294,844,587 New Zealand .................................. —58,409,655 — 58,409,655 Norway ....................................... —94,820,762 — 94,820,762 Portugal ...................................... —39,952,792 — 39,952,792 Singapore ....................................438,984 158,501,189 — 158,940,173 Spain ........................................ —311,810,411 — 311,810,411 Sweden ...................................... —413,493,066 — 413,493,066 Switzerland ................................... —605,962,714 — 605,962,714 United Kingdom ............................... —1,754,763,009 — 1,754,763,009 United States ..................................150,425 2,906,471 — 3,056,896 Preferred Stocks Germany ..................................... —7,352,563 — 7,352,563 Rights/Warrants Australia ...................................... —91,309 — 91,309 Singapore .................................... —131,043 — 131,043 Spain ........................................ —215,821 — 215,821 United Kingdom ............................... —6,722,457 — 6,722,457 Securities Lending Collateral ....................... —947,512,927 — 947,512,927 Futures Contracts**..............................(3,457,941) — — (3,457,941) TOTAL .........................................$1,104,232,345 $12,650,388,343 — $13,754,620,688 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 90 INTERNATIONAL VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value†† Percentage of Net Assets** COMMON STOCKS — (92.4%) AUSTRALIA — (6.2%) Australia & New Zealand Banking Group, Ltd.....................214,260 $ 4,524,187 0.3% BHP Billiton, Ltd.............................................314,531 5,495,117 0.3% # Fortescue Metals Group, Ltd...................................868,376 3,644,250 0.2% Macquarie Group, Ltd.........................................80,830 4,886,127 0.3% Treasury Wine Estates, Ltd....................................356,118 2,903,204 0.2% Woodside Petroleum, Ltd......................................224,990 4,816,133 0.3% Other Securities .............................................97,973,431 5.1% TOTAL AUSTRALIA ..............................................124,242,449 6.7% AUSTRIA — (0.6%) Other Securities .............................................12,418,345 0.7% BELGIUM — (1.7%) Ageas .....................................................83,970 3,067,703 0.2% # Anheuser-Busch InBev SA ....................................27,589 3,166,384 0.2% Umicore SA ................................................56,575 3,438,746 0.2% Other Securities .............................................23,106,059 1.2% TOTAL BELGIUM ................................................32,778,892 1.8% CANADA — (8.2%) Suncor Energy, Inc...........................................139,453 4,184,723 0.2% Other Securities .............................................160,062,099 8.7% TOTAL CANADA .................................................164,246,822 8.9% CHINA — (0.0%) Other Securities .............................................811,856 0.0% DENMARK — (1.8%) Other Securities .............................................36,479,776 2.0% FINLAND — (2.1%) UPM-Kymmene Oyj ..........................................273,652 6,365,558 0.4% Other Securities .............................................35,417,221 1.9% TOTAL FINLAND ................................................41,782,779 2.3% FRANCE — (6.0%) BNP Paribas SA .............................................73,561 4,265,306 0.2% Cie de Saint-Gobain .........................................105,119 4,667,617 0.3% Technip SA .................................................50,974 3,383,140 0.2% Total SA ...................................................240,139 11,503,835 0.6% Other Securities .............................................95,214,376 5.1% TOTAL FRANCE .................................................119,034,274 6.4% GERMANY — (5.6%) Allianz SE ..................................................25,753 4,020,152 0.2% BASF SE ...................................................38,075 3,361,183 0.2% Daimler AG .................................................89,896 6,413,358 0.4% E.ON SE ...................................................588,434 4,312,548 0.2% * RWEAG ...................................................247,438 3,936,537 0.2% Other Securities .............................................89,878,733 4.8% TOTAL GERMANY ...............................................111,922,511 6.0% 91 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** HONG KONG — (3.0%) Other Securities ............................................. $60,120,275 3.2% IRELAND — (0.5%) Other Securities .............................................9,302,904 0.5% ISRAEL — (0.7%) Other Securities .............................................13,848,935 0.7% ITALY — (2.5%) Assicurazioni Generali SpA ...................................303,243 3,917,093 0.2% EniSpA....................................................211,731 3,072,695 0.2% Other Securities .............................................42,065,042 2.2% TOTAL ITALY ...................................................49,054,830 2.6% JAPAN — (23.8%) Honda Motor Co., Ltd.........................................108,123 3,235,214 0.2% Mitsubishi Chemical Holdings Corp.............................462,400 3,036,083 0.2% Mitsubishi UFJ Financial Group, Inc.............................817,300 4,217,111 0.2% Sumitomo Mitsui Financial Group, Inc...........................88,341 3,062,929 0.2% Toyota Motor Corp...........................................55,363 3,211,426 0.2% Toyota Motor Corp. Sponsored ADR ............................36,827 4,259,411 0.3% Other Securities .............................................453,241,144 24.2% TOTAL JAPAN ..................................................474,263,318 25.5% NETHERLANDS — (2.7%) Koninklijke Ahold Delhaize NV .................................290,458 6,626,044 0.4% Koninklijke DSM NV ..........................................62,767 4,034,318 0.2% Other Securities .............................................43,716,231 2.3% TOTAL NETHERLANDS ..........................................54,376,593 2.9% NEW ZEALAND — (0.5%) Other Securities .............................................10,447,365 0.6% NORWAY — (0.9%) Other Securities .............................................18,361,505 1.0% PORTUGAL — (0.3%) Other Securities .............................................5,076,833 0.3% SINGAPORE — (1.1%) Other Securities .............................................21,758,685 1.2% SPAIN — (2.1%) Banco Santander SA .........................................853,014 4,179,790 0.2% Other Securities .............................................37,107,416 2.0% TOTAL SPAIN ...................................................41,287,206 2.2% SWEDEN — (2.6%) Other Securities .............................................50,731,426 2.7% SWITZERLAND — (6.1%) Baloise Holding AG ..........................................26,119 3,213,408 0.2% Clariant AG .................................................182,599 3,023,740 0.2% Flughafen Zuerich AG ........................................16,575 3,046,882 0.2% Lonza Group AG ............................................15,916 3,003,376 0.2% Nestle SA ..................................................110,012 7,977,396 0.4% 92 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** SWITZERLAND — (Continued) Novartis AG ...............................................52,784 $ 3,745,953 0.2% Novartis AG Sponsored ADR ................................73,269 5,203,564 0.3% Swiss Life Holding AG ......................................12,759 3,376,447 0.2% Swiss Re AG ..............................................39,527 3,668,568 0.2% Zurich Insurance Group AG ..................................11,416 2,988,212 0.2% Other Securities ...........................................81,499,610 4.2% TOTAL SWITZERLAND .........................................120,747,156 6.5% UNITED KINGDOM — (13.4%) * Anglo American P.L.C.......................................210,298 2,918,769 0.2% BP P.L.C. Sponsored ADR ..................................259,985 9,242,472 0.5% HSBC Holdings P.L.C. Sponsored ADR .......................228,451 8,596,611 0.5% Melrose Industries P.L.C....................................1,702,272 3,512,968 0.2% Royal Dutch Shell P.L.C. Sponsored ADR, Class A ..............147,757 7,359,766 0.4% Royal Dutch Shell P.L.C. Sponsored ADR, Class B ..............113,939 5,960,149 0.3% * Standard Chartered P.L.C...................................374,495 3,256,575 0.2% # Vodafone Group P.L.C. Sponsored ADR .......................142,624 3,970,657 0.2% WM Morrison Supermarkets P.L.C............................1,327,157 3,673,920 0.2% Other Securities ...........................................218,402,900 11.7% TOTAL UNITED KINGDOM ......................................266,894,787 14.4% UNITED STATES — (0.0%) Other Securities ...........................................700,028 0.0% TOTAL COMMON STOCKS .....................................1,840,689,550 99.1% PREFERRED STOCKS — (0.4%) GERMANY — (0.4%) Other Securities ...........................................6,885,828 0.4% UNITED KINGDOM — (0.0%) Other Securities ...........................................1,326 0.0% TOTAL PREFERRED STOCKS ...................................6,887,154 0.4% RIGHTS/WARRANTS — (0.0%) AUSTRALIA — (0.0%) Other Securities ...........................................4,475 0.0% HONG KONG — (0.0%) Other Securities ........................................... 151 0.0% SPAIN — (0.0%) Other Securities ...........................................60,463 0.0% SWEDEN — (0.0%) Other Securities ...........................................37,741 0.0% UNITED KINGDOM — (0.0%) Other Securities ...........................................236,150 0.0% TOTAL RIGHTS/WARRANTS ....................................338,980 0.0% TOTAL INVESTMENT SECURITIES ..............................1,847,915,684 93 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** SECURITIES LENDING COLLATERAL — (7.2%) §@ DFA Short Term Investment Fund ...........................12,465,810 $ 144,254,351 7.8% TOTAL INVESTMENTS — (100.0%) (Cost $1,899,597,169).......................................$1,992,170,035 107.3% Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Australia ......................................... $2,866,003 $ 121,376,446 — $ 124,242,449 Austria ........................................... —12,418,345 — 12,418,345 Belgium ..........................................3,908,754 28,870,138 — 32,778,892 Canada ..........................................164,215,258 31,564 — 164,246,822 China ............................................ —811,856 — 811,856 Denmark ......................................... —36,479,776 — 36,479,776 Finland ........................................... —41,782,779 — 41,782,779 France ...........................................488,883 118,545,391 — 119,034,274 Germany .........................................3,778,788 108,143,723 — 111,922,511 Hong Kong .......................................372,251 59,748,024 — 60,120,275 Ireland ...........................................2,225,599 7,077,305 — 9,302,904 Israel ............................................2,102,368 11,746,567 — 13,848,935 Italy .............................................507,826 48,547,004 — 49,054,830 Japan ............................................9,015,112 465,248,206 — 474,263,318 Netherlands .......................................6,228,570 48,148,023 — 54,376,593 New Zealand ......................................49,885 10,397,480 — 10,447,365 Norway ..........................................490,003 17,871,502 — 18,361,505 Portugal .......................................... —5,076,833 — 5,076,833 Singapore ........................................14,322 21,744,363 — 21,758,685 Spain ............................................2,418,495 38,868,711 — 41,287,206 Sweden ..........................................132,406 50,599,020 — 50,731,426 Switzerland .......................................8,678,108 112,069,048 — 120,747,156 United Kingdom ...................................51,871,871 215,022,916 — 266,894,787 United States .....................................248,573 451,455 — 700,028 Preferred Stocks Germany ......................................... —6,885,828 — 6,885,828 United Kingdom ................................... —1,326 — 1,326 Rights/Warrants Australia ......................................... —4,475 — 4,475 Hong Kong ....................................... — 151 — 151 Spain ............................................ —60,463 — 60,463 Sweden .......................................... —37,741 — 37,741 United Kingdom ................................... —236,150 — 236,150 Securities Lending Collateral .......................... —144,254,351 — 144,254,351 TOTAL .............................................$259,613,075 $1,732,556,960 — $1,992,170,035 See accompanying Notes to Financial Statements. 94 WORLD EX U.S. VALUE PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2016 Shares Value† AFFILIATED INVESTMENT COMPANIES — (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company .......................................$122,604,492 Investment in Dimensional Emerging Markets Value Fund .......................45,155,236 Investment in DFA International Small Cap Value Portfolio of DFA Investment Dimensions Group Inc.....................................1,059,135 20,451,904 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $188,081,378)................................................188,211,632 TOTAL INVESTMENTS — (100.0%) (Cost $188,081,378)................................................$188,211,632 Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Affiliated Investment Companies ................................$188,211,632 — — $188,211,632 TOTAL .....................................................$188,211,632 — — $188,211,632 See accompanying Notes to Financial Statements. 95 WORLD EX U.S. TARGETED VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value†† Percentage of Net Assets** COMMON STOCKS — (96.8%) AUSTRALIA — (4.7%) BlueScope Steel, Ltd...........................................88,385 $ 524,355 0.2% Challenger, Ltd................................................73,657 601,300 0.2% Orica, Ltd....................................................46,842 578,704 0.2% Santos, Ltd...................................................212,526 568,666 0.2% Treasury Wine Estates, Ltd......................................78,127 636,920 0.2% Other Securities ..............................................10,485,523 3.8% TOTAL AUSTRALIA ...............................................13,395,468 4.8% AUSTRIA — (0.6%) Other Securities ..............................................1,846,597 0.7% BELGIUM — (0.9%) Ageas .......................................................28,003 1,023,045 0.4% Other Securities ..............................................1,650,898 0.6% TOTAL BELGIUM .................................................2,673,943 1.0% BRAZIL — (1.4%) Kroton Educacional SA .........................................178,300 888,149 0.3% Other Securities ..............................................3,067,544 1.1% TOTAL BRAZIL ...................................................3,955,693 1.4% CANADA — (6.5%) First Quantum Minerals, Ltd.....................................103,517 983,230 0.4% Teck Resources, Ltd. Class B ...................................48,198 1,040,643 0.4% Other Securities ..............................................16,511,927 5.8% TOTAL CANADA ..................................................18,535,800 6.6% CHILE — (0.3%) Other Securities ..............................................820,569 0.3% CHINA — (6.6%) Other Securities ..............................................18,991,993 6.8% COLOMBIA — (0.1%) Other Securities ..............................................188,478 0.1% DENMARK — (1.4%) * TDC A.S.....................................................96,517 532,146 0.2% Other Securities ..............................................3,355,721 1.2% TOTAL DENMARK ................................................3,887,867 1.4% FINLAND — (2.1%) Neste Oyj ....................................................17,647 761,329 0.3% Stora Enso Oyj Class R ........................................70,796 669,031 0.2% UPM-Kymmene Oyj ...........................................72,885 1,695,415 0.6% Other Securities ..............................................3,023,290 1.1% TOTAL FINLAND ..................................................6,149,065 2.2% FRANCE — (4.0%) Arkema SA ...................................................9,229 875,115 0.3% Atos SE .....................................................5,086 527,792 0.2% 96 WORLD EX U.S. TARGETED VALUE PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** FRANCE — (Continued) Rexel SA ....................................................43,153 $ 598,499 0.2% SCOR SE ....................................................23,193 751,073 0.3% STMicroelectronics NV .........................................87,664 832,020 0.3% Technip SA ..................................................15,411 1,022,827 0.4% Other Securities ..............................................6,730,753 2.3% TOTAL FRANCE ..................................................11,338,079 4.0% GERMANY — (4.5%) Lanxess AG ..................................................11,884 762,058 0.3% Osram Licht AG ...............................................10,639 604,261 0.2% Rheinmetall AG ...............................................8,438 585,748 0.2% * RWEAG ....................................................53,047 843,935 0.3% Other Securities ..............................................9,983,758 3.5% TOTAL GERMANY ................................................12,779,760 4.5% HONG KONG — (2.1%) Hang Lung Group, Ltd..........................................135,000 516,407 0.2% Other Securities ..............................................5,470,545 1.9% TOTAL HONG KONG ..............................................5,986,952 2.1% INDIA — (4.1%) Other Securities ..............................................11,697,767 4.2% INDONESIA — (1.0%) Other Securities ..............................................2,942,436 1.0% IRELAND — (0.5%) Smurfit Kappa Group P.L.C.....................................34,342 753,542 0.3% Other Securities ..............................................735,704 0.2% TOTAL IRELAND ..................................................1,489,246 0.5% ISRAEL — (0.5%) Other Securities ..............................................1,527,113 0.5% ITALY — (2.5%) # Fiat Chrysler Automobiles NV ...................................99,560 729,867 0.3% Other Securities ..............................................6,334,151 2.2% TOTAL ITALY .....................................................7,064,018 2.5% JAPAN — (17.7%) Other Securities ..............................................50,738,692 18.0% MALAYSIA — (0.9%) Other Securities ..............................................2,613,089 0.9% MEXICO — (1.2%) * Cemex S.A.B. de C.V..........................................905,938 783,667 0.3% Other Securities ..............................................2,518,164 0.9% TOTAL MEXICO ..................................................3,301,831 1.2% NETHERLANDS — (1.0%) APERAM SA .................................................14,890 677,180 0.3% Other Securities ..............................................2,176,908 0.7% TOTAL NETHERLANDS ............................................2,854,088 1.0% 97 WORLD EX U.S. TARGETED VALUE PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** NEW ZEALAND — (0.4%) Other Securities .............................................. $1,288,946 0.5% NORWAY — (0.8%) Other Securities ..............................................2,227,940 0.8% PHILIPPINES — (0.3%) Other Securities ..............................................1,004,770 0.4% POLAND — (0.3%) Other Securities ..............................................939,013 0.3% PORTUGAL — (0.2%) Other Securities ..............................................550,784 0.2% SINGAPORE — (0.8%) Other Securities ..............................................2,206,646 0.8% SOUTH AFRICA — (2.0%) * AngloGold Ashanti, Ltd. Sponsored ADR ..........................47,956 658,916 0.2% Other Securities ..............................................5,090,776 1.8% TOTAL SOUTH AFRICA ............................................5,749,692 2.0% SOUTH KOREA — (4.9%) Other Securities ..............................................14,046,582 5.0% SPAIN — (1.3%) Banco de Sabadell SA .........................................566,408 756,284 0.3% Other Securities ..............................................3,087,463 1.1% TOTAL SPAIN ....................................................3,843,747 1.4% SWEDEN — (1.8%) Other Securities ..............................................5,080,507 1.8% SWITZERLAND — (3.4%) Baloise Holding AG ............................................6,236 767,212 0.3% * Dufry AG ....................................................4,813 585,538 0.2% Helvetia Holding AG ...........................................1,207 627,959 0.2% Swiss Life Holding AG .........................................4,696 1,242,715 0.5% Other Securities ..............................................6,423,050 2.2% TOTAL SWITZERLAND ............................................9,646,474 3.4% TAIWAN — (4.4%) Other Securities ..............................................12,698,779 4.5% THAILAND — (0.8%) Other Securities ..............................................2,273,285 0.8% TURKEY — (0.4%) Other Securities ..............................................1,037,862 0.4% UNITED KINGDOM — (10.4%) Barratt Developments P.L.C.....................................95,492 529,544 0.2% Bellway P.L.C.................................................25,648 742,208 0.3% Coca-Cola HBC AG ...........................................24,514 529,010 0.2% Direct Line Insurance Group P.L.C...............................174,812 739,555 0.3% GKN P.L.C...................................................201,823 787,073 0.3% Hiscox, Ltd...................................................55,044 687,324 0.3% 98 WORLD EX U.S. TARGETED VALUE PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** UNITED KINGDOM — (Continued) Inchcape P.L.C...............................................64,830 $ 515,445 0.2% J Sainsbury P.L.C.............................................241,161 739,410 0.3% Johnson Matthey P.L.C.........................................24,288 1,012,409 0.4% Marks & Spencer Group P.L.C...................................150,625 626,719 0.2% Persimmon P.L.C..............................................29,335 607,230 0.2% Royal Mail P.L.C..............................................123,358 740,085 0.3% Smiths Group P.L.C............................................49,987 866,184 0.3% Tate & Lyle P.L.C..............................................57,850 551,713 0.2% Travis Perkins P.L.C...........................................34,083 554,511 0.2% WM Morrison Supermarkets P.L.C...............................299,653 829,518 0.3% Other Securities ..............................................18,779,099 6.4% TOTAL UNITED KINGDOM .........................................29,837,037 10.6% UNITED STATES — (0.0%) Other Securities ..............................................66,196 0.0% TOTAL COMMON STOCKS .........................................277,276,804 98.6% PREFERRED STOCKS — (0.7%) BRAZIL — (0.5%) Other Securities ..............................................1,303,313 0.5% CHILE — (0.0%) Other Securities ..............................................30,737 0.0% COLOMBIA — (0.0%) Other Securities ..............................................129,859 0.0% GERMANY — (0.2%) Other Securities ..............................................487,381 0.2% SOUTH KOREA — (0.0%) Other Securities ..............................................27,468 0.0% TOTAL PREFERRED STOCKS ......................................1,978,758 0.7% RIGHTS/WARRANTS — (0.0%) AUSTRALIA — (0.0%) Other Securities ..............................................3,794 0.0% HONG KONG — (0.0%) Other Securities .............................................. 231 0.0% INDIA — (0.0%) Other Securities ..............................................8,078 0.0% SPAIN — (0.0%) Other Securities ..............................................1,620 0.0% SWEDEN — (0.0%) Other Securities ..............................................13,288 0.0% UNITED KINGDOM — (0.0%) Other Securities ..............................................48,844 0.1% TOTAL RIGHTS/WARRANTS .......................................75,855 0.1% TOTAL INVESTMENT SECURITIES ..................................279,331,417 99 WORLD EX U.S. TARGETED VALUE PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** SECURITIES LENDING COLLATERAL — (2.5%) §@ DFA Short Term Investment Fund ...............................617,478 $ 7,145,456 2.5% TOTAL INVESTMENTS — (100.0%) (Cost $272,647,227).............................................$286,476,873 101.9% Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Australia .............................................. — $13,395,468 — $ 13,395,468 Austria ............................................... —1,846,597 — 1,846,597 Belgium .............................................. —2,673,943 — 2,673,943 Brazil ................................................ $3,955,693 — — 3,955,693 Canada ..............................................18,533,056 2,744 — 18,535,800 Chile .................................................269,518 551,051 — 820,569 China ................................................272,255 18,719,738 — 18,991,993 Colombia .............................................188,478 — — 188,478 Denmark ............................................. —3,887,867 — 3,887,867 Finland ............................................... —6,149,065 — 6,149,065 France ............................................... —11,338,079 — 11,338,079 Germany .............................................31,774 12,747,986 — 12,779,760 Hong Kong ............................................39,535 5,947,417 — 5,986,952 India .................................................28,376 11,669,391 — 11,697,767 Indonesia ............................................. —2,942,436 — 2,942,436 Ireland ............................................... —1,489,246 — 1,489,246 Israel ................................................20,588 1,506,525 — 1,527,113 Italy .................................................. —7,064,018 — 7,064,018 Japan ................................................159,283 50,579,409 — 50,738,692 Malaysia .............................................. —2,613,089 — 2,613,089 Mexico ...............................................3,301,831 — — 3,301,831 Netherlands ...........................................55,536 2,798,552 — 2,854,088 New Zealand .......................................... —1,288,946 — 1,288,946 Norway ............................................... —2,227,940 — 2,227,940 Philippines ............................................ —1,004,770 — 1,004,770 Poland ............................................... —939,013 — 939,013 Portugal .............................................. —550,784 — 550,784 Singapore ............................................16,121 2,190,525 — 2,206,646 South Africa ...........................................1,273,262 4,476,430 — 5,749,692 South Korea ..........................................15,289 14,031,293 — 14,046,582 Spain ................................................ —3,843,747 — 3,843,747 Sweden .............................................. —5,080,507 — 5,080,507 Switzerland ........................................... —9,646,474 — 9,646,474 Taiwan ............................................... —12,698,779 — 12,698,779 Thailand ..............................................2,273,285 — — 2,273,285 Turkey ............................................... —1,037,862 — 1,037,862 United Kingdom ....................................... —29,837,037 — 29,837,037 United States .......................................... —66,196 — 66,196 Preferred Stocks Brazil ................................................1,303,313 — — 1,303,313 Chile ................................................. —30,737 — 30,737 Colombia .............................................129,859 — — 129,859 Germany ............................................. —487,381 — 487,381 South Korea ..........................................27,468 — — 27,468 100 WORLD EX U.S. TARGETED VALUE PORTFOLIO CONTINUED Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Rights/Warrants Australia .............................................. — $3,794 — $ 3,794 Hong Kong ............................................ — 231 — 231 India ................................................. —8,078 — 8,078 Spain ................................................ —1,620 — 1,620 Sweden .............................................. —13,288 — 13,288 United Kingdom ....................................... —48,844 — 48,844 Securities Lending Collateral ............................... —7,145,456 — 7,145,456 TOTAL .................................................$31,894,520 $254,582,353 — $286,476,873 See accompanying Notes to Financial Statements. 101 WORLD EX U.S. CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value†† Percentage of Net Assets** COMMON STOCKS — (93.2%) AUSTRALIA — (4.6%) Australia & New Zealand Banking Group, Ltd...................136,042 $ 2,872,582 0.2% BHP Billiton, Ltd............................................219,729 3,838,848 0.3% Commonwealth Bank of Australia .............................42,958 2,391,510 0.2% National Australia Bank, Ltd..................................167,814 3,562,260 0.2% Westpac Banking Corp......................................198,957 4,600,868 0.3% Other Securities ...........................................62,753,461 3.6% TOTAL AUSTRALIA ............................................80,019,529 4.8% AUSTRIA — (0.4%) Other Securities ...........................................7,680,103 0.5% BELGIUM — (1.1%) Anheuser-Busch InBev SA ..................................39,170 4,495,533 0.3% Other Securities ...........................................14,059,749 0.8% TOTAL BELGIUM ..............................................18,555,282 1.1% BRAZIL — (1.5%) Other Securities ...........................................26,540,217 1.6% CANADA — (6.1%) Bank of Montreal ...........................................43,272 2,752,099 0.2% Bank of Nova Scotia (The)...................................50,621 2,721,385 0.2% Canadian Natural Resources, Ltd.............................74,149 2,351,265 0.2% Royal Bank of Canada ......................................72,182 4,509,931 0.3% Toronto-Dominion Bank (The)................................54,161 2,457,826 0.2% Other Securities ...........................................92,344,997 5.4% TOTAL CANADA ...............................................107,137,503 6.5% CHILE — (0.3%) Other Securities ...........................................4,757,960 0.3% CHINA — (5.2%) China Construction Bank Corp. Class H .......................6,570,000 4,797,721 0.3% Industrial & Commercial Bank of China, Ltd. Class H .............4,897,000 2,939,372 0.2% Tencent Holdings, Ltd.......................................91,900 2,435,563 0.2% Other Securities ...........................................79,872,000 4.7% TOTAL CHINA .................................................90,044,656 5.4% COLOMBIA — (0.1%) Other Securities ...........................................1,515,620 0.1% CZECH REPUBLIC — (0.0%) Other Securities ...........................................405,216 0.0% DENMARK — (1.3%) Other Securities ...........................................22,550,888 1.4% EGYPT — (0.0%) Other Securities ...........................................139,538 0.0% FINLAND — (1.2%) UPM-Kymmene Oyj ........................................130,315 3,031,323 0.2% Other Securities ...........................................18,204,516 1.1% TOTAL FINLAND ...............................................21,235,839 1.3% 102 WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** FRANCE — (5.0%) BNP Paribas SA .............................................50,207 $ 2,911,165 0.2% Cie Generale des Etablissements Michelin .......................28,430 3,079,197 0.2% Orange SA .................................................153,965 2,422,432 0.2% Sanofi .....................................................39,753 3,093,530 0.2% Total SA ...................................................185,779 8,899,725 0.6% Other Securities .............................................67,700,511 3.9% TOTAL FRANCE .................................................88,106,560 5.3% GERMANY — (4.8%) Allianz SE ..................................................15,044 2,348,432 0.2% BASF SE ...................................................63,703 5,623,571 0.4% Bayerische Motoren Werke AG ................................37,367 3,260,101 0.2% Daimler AG .................................................84,976 6,062,355 0.4% Deutsche Telekom AG .......................................206,421 3,367,804 0.2% E.ON SE ...................................................360,877 2,644,815 0.2% Other Securities .............................................59,721,059 3.4% TOTAL GERMANY ...............................................83,028,137 5.0% GREECE — (0.0%) Other Securities .............................................432,683 0.0% HONG KONG — (2.1%) AIA Group, Ltd...............................................557,400 3,506,604 0.2% Other Securities .............................................33,937,074 2.1% TOTAL HONG KONG .............................................37,443,678 2.3% HUNGARY — (0.1%) Other Securities .............................................1,321,333 0.1% INDIA — (2.6%) Other Securities .............................................46,087,975 2.8% INDONESIA — (0.7%) Other Securities .............................................11,630,052 0.7% IRELAND — (0.4%) Other Securities .............................................6,869,216 0.4% ISRAEL — (0.5%) Other Securities .............................................7,991,959 0.5% ITALY — (1.7%) EniSpA....................................................205,577 2,983,386 0.2% Other Securities .............................................26,311,110 1.6% TOTAL ITALY ...................................................29,294,496 1.8% JAPAN — (17.7%) Hitachi, Ltd..................................................498,000 2,654,784 0.2% Honda Motor Co., Ltd.........................................104,700 3,132,792 0.2% Nissan Motor Co., Ltd.........................................257,500 2,619,414 0.2% Toyota Motor Corp...........................................156,288 9,065,753 0.6% Other Securities .............................................291,593,321 17.5% TOTAL JAPAN ..................................................309,066,064 18.7% 103 WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** MALAYSIA — (0.7%) Other Securities ............................................. $11,274,046 0.7% MEXICO — (0.9%) Other Securities .............................................16,495,098 1.0% NETHERLANDS — (1.9%) Koninklijke Ahold Delhaize NV .................................155,008 3,536,098 0.2% Koninklijke DSM NV ..........................................40,578 2,608,131 0.2% Other Securities .............................................26,922,912 1.6% TOTAL NETHERLANDS ..........................................33,067,141 2.0% NEW ZEALAND — (0.4%) Other Securities .............................................7,022,283 0.4% NORWAY — (0.6%) Other Securities .............................................10,675,154 0.6% PERU — (0.0%) Other Securities .............................................352,679 0.0% PHILIPPINES — (0.3%) Other Securities .............................................5,911,104 0.4% POLAND — (0.3%) Other Securities .............................................5,277,124 0.3% PORTUGAL — (0.2%) Other Securities .............................................3,621,321 0.2% RUSSIA — (0.3%) Other Securities .............................................4,682,726 0.3% SINGAPORE — (0.8%) Other Securities .............................................13,524,076 0.8% SOUTH AFRICA — (1.8%) Other Securities .............................................31,676,545 1.9% SOUTH KOREA — (4.1%) Samsung Electronics Co., Ltd..................................7,245 10,362,727 0.7% Other Securities .............................................61,042,613 3.6% TOTAL SOUTH KOREA ...........................................71,405,340 4.3% SPAIN — (1.8%) Banco Bilbao Vizcaya Argentaria SA ............................419,111 3,017,052 0.2% Banco Santander SA .........................................715,205 3,504,525 0.2% Other Securities .............................................24,651,683 1.5% TOTAL SPAIN ...................................................31,173,260 1.9% SWEDEN — (1.9%) Other Securities .............................................33,786,883 2.0% SWITZERLAND — (4.5%) ABB, Ltd....................................................127,841 2,637,413 0.2% Nestle SA ..................................................188,507 13,669,372 0.8% Novartis AG ................................................47,933 3,401,689 0.2% Roche Holding AG ...........................................11,852 2,722,186 0.2% 104 WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** SWITZERLAND — (Continued) Syngenta AG ..............................................8,330 $ 3,333,382 0.2% Other Securities ...........................................53,010,824 3.2% TOTAL SWITZERLAND .........................................78,774,866 4.8% TAIWAN — (3.6%) Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR . . . 123,087 3,828,006 0.3% Other Securities ...........................................58,897,843 3.5% TOTAL TAIWAN ...............................................62,725,849 3.8% THAILAND — (0.7%) Other Securities ...........................................11,481,135 0.7% TURKEY — (0.3%) Other Securities ...........................................5,328,110 0.3% UNITED KINGDOM — (10.7%) BP P.L.C. Sponsored ADR ..................................275,906 9,808,458 0.6% # HSBC Holdings P.L.C. Sponsored ADR .......................146,019 5,494,695 0.3% Royal Dutch Shell P.L.C. Sponsored ADR, Class A ..............112,390 5,598,146 0.4% Royal Dutch Shell P.L.C. Sponsored ADR, Class B ..............91,039 4,762,250 0.3% SSE P.L.C................................................129,263 2,513,266 0.2% Vodafone Group P.L.C......................................1,177,738 3,234,451 0.2% Other Securities ...........................................156,096,346 9.3% TOTAL UNITED KINGDOM ......................................187,507,612 11.3% UNITED STATES — (0.0%) Other Securities ...........................................593,241 0.0% TOTAL COMMON STOCKS .....................................1,628,210,097 98.3% PREFERRED STOCKS — (1.0%) BRAZIL — (0.7%) Other Securities ...........................................11,035,263 0.7% CHILE — (0.0%) Other Securities ...........................................173,093 0.0% COLOMBIA — (0.0%) Other Securities ...........................................246,622 0.0% GERMANY — (0.3%) Volkswagen AG ...........................................17,044 2,349,951 0.2% Other Securities ...........................................3,111,594 0.2% TOTAL GERMANY .............................................5,461,545 0.4% SOUTH KOREA — (0.0%) Other Securities ...........................................61,114 0.0% UNITED KINGDOM — (0.0%) Other Securities ...........................................1,830 0.0% TOTAL PREFERRED STOCKS ...................................16,979,467 1.1% RIGHTS/WARRANTS — (0.0%) AUSTRALIA — (0.0%) Other Securities ...........................................48,457 0.0% 105 WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** BRAZIL — (0.0%) Other Securities ........................................... $ 80 0.0% CHINA — (0.0%) Other Securities ........................................... 263 0.0% INDIA — (0.0%) Other Securities ...........................................14,019 0.0% SPAIN — (0.0%) Other Securities ...........................................48,645 0.0% SWEDEN — (0.0%) Other Securities ...........................................22,703 0.0% UNITED KINGDOM — (0.0%) Other Securities ...........................................110,403 0.0% TOTAL RIGHTS/WARRANTS ....................................244,570 0.0% TOTAL INVESTMENT SECURITIES ..............................1,645,434,134 Value† SECURITIES LENDING COLLATERAL — (5.8%) §@ DFA Short Term Investment Fund ............................8,774,063 101,533,454 6.1% TOTAL INVESTMENTS — (100.0%) (Cost $1,755,514,830)........................................$1,746,967,588 105.5% Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Australia ............................................ $891,056 $ 79,128,473 — $ 80,019,529 Austria ............................................. —7,680,103 — 7,680,103 Belgium ............................................4,851,820 13,703,462 — 18,555,282 Brazil ..............................................26,540,217 — — 26,540,217 Canada ............................................107,135,128 2,375 — 107,137,503 Chile ...............................................1,106,857 3,651,103 — 4,757,960 China ..............................................6,089,017 83,955,639 — 90,044,656 Colombia ...........................................1,515,620 — — 1,515,620 Czech Republic ...................................... —405,216 — 405,216 Denmark ...........................................189,926 22,360,962 — 22,550,888 Egypt .............................................. —139,538 — 139,538 Finland .............................................163,491 21,072,348 — 21,235,839 France .............................................1,670,790 86,435,770 — 88,106,560 Germany ...........................................2,997,165 80,030,972 — 83,028,137 Greece ............................................. —432,683 — 432,683 Hong Kong ..........................................137,953 37,305,725 — 37,443,678 Hungary ............................................ —1,321,333 — 1,321,333 India ...............................................941,362 45,146,613 — 46,087,975 Indonesia ...........................................203,564 11,426,488 — 11,630,052 Ireland .............................................1,807,573 5,061,643 — 6,869,216 Israel ..............................................2,183,220 5,808,739 — 7,991,959 106 WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Italy ............................................. $150,542 $ 29,143,954 — $ 29,294,496 Japan ............................................3,248,558 305,817,506 — 309,066,064 Malaysia ......................................... —11,274,046 — 11,274,046 Mexico ...........................................16,495,098 — — 16,495,098 Netherlands .......................................3,265,362 29,801,779 — 33,067,141 New Zealand ......................................9,966 7,012,317 — 7,022,283 Norway ..........................................262,785 10,412,369 — 10,675,154 Peru .............................................352,679 — — 352,679 Philippines ........................................28,620 5,882,484 — 5,911,104 Poland ........................................... —5,277,124 — 5,277,124 Portugal .......................................... —3,621,321 — 3,621,321 Russia ...........................................390,926 4,291,800 — 4,682,726 Singapore ........................................ —13,524,076 — 13,524,076 South Africa ......................................3,779,428 27,897,117 — 31,676,545 South Korea ......................................1,111,922 70,293,418 — 71,405,340 Spain ............................................760,670 30,412,590 — 31,173,260 Sweden ..........................................45,801 33,741,082 — 33,786,883 Switzerland .......................................3,055,601 75,719,265 — 78,774,866 Taiwan ...........................................4,081,719 58,644,130 — 62,725,849 Thailand .........................................11,481,135 — — 11,481,135 Turkey ...........................................19,248 5,308,862 — 5,328,110 United Kingdom ...................................45,963,618 141,543,994 — 187,507,612 United States .....................................465,821 127,420 — 593,241 Preferred Stocks Brazil ............................................11,035,263 — — 11,035,263 Chile ............................................ —173,093 — 173,093 Colombia .........................................246,622 — — 246,622 Germany ......................................... —5,461,545 — 5,461,545 South Korea ......................................61,114 — — 61,114 United Kingdom ................................... —1,830 — 1,830 Rights/Warrants Australia ......................................... —48,457 — 48,457 Brazil ............................................ — 80 — 80 China ............................................ — 263 — 263 India ............................................. —14,019 — 14,019 Spain ............................................ —48,645 — 48,645 Sweden .......................................... —22,703 — 22,703 United Kingdom ................................... —110,403 — 110,403 Securities Lending Collateral .......................... —101,533,454 — 101,533,454 TOTAL .............................................$264,737,257 $1,482,230,331 — $1,746,967,588 See accompanying Notes to Financial Statements. 107 WORLD CORE EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2016 Shares Value† AFFILIATED INVESTMENT COMPANIES — (100.0%) Investment in U.S. Core Equity 1 Portfolio of DFA Investment Dimensions Group Inc....................................10,503,349 $189,060,275 Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc....................................11,886,670 137,647,634 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc....................................2,358,062 43,388,342 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $367,362,816)...............................................370,096,251 TEMPORARY CASH INVESTMENTS — (0.0%) State Street Institutional U.S. Government Money Market Fund, 0.250% (Cost $135,220).......................................................135,220 135,220 TOTAL INVESTMENTS — (100.0%) (Cost $367,498,036)...............................................$370,231,471 Summary of the Fund’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Affiliated Investment Companies ................................$370,096,251 — — $370,096,251 Temporary Cash Investments ..................................135,220 — — 135,220 TOTAL .....................................................$370,231,471 — — $370,231,471 See accompanying Notes to Financial Statements. 108 SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2016 Shares Value† AFFILIATED INVESTMENT COMPANIES — (100.0%) Investment in U.S. Core Equity 2 Portfolio of DFA Investment Dimensions Group Inc.....................................7,247,010 $124,576,109 Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc.....................................8,721,975 101,000,470 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc.....................................2,750,059 50,601,077 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $262,973,959)................................................276,177,656 TOTAL INVESTMENTS — (100.0%) (Cost $262,973,959)................................................$276,177,656 Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Affiliated Investment Companies ..............................$276,177,656 — — $276,177,656 Futures Contracts**.........................................(348,246) — — (348,246) Forward Currency Contracts**................................ —$648,545 — 648,545 TOTAL ....................................................$275,829,410 $648,545 — $276,477,955 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 109 SCHEDULES OF INVESTMENTS October 31, 2016 EMERGING MARKETS PORTFOLIO Value† AFFILIATED INVESTMENT COMPANY — (100.0%) Investment in The Emerging Markets Series of The DFA Investment Trust Company ................................................$4,914,328,310 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $3,933,956,774)........................................................$4,914,328,310 Summary of the Portfolio’s Master Fund’s investments as of October 31, 2016, based on their valuation inputs, is located within this report (See Security Valuation Note). EMERGING MARKETS SMALL CAP PORTFOLIO Value† AFFILIATED INVESTMENT COMPANY — (100.0%) Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company ................................................$5,462,433,773 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $5,273,564,309)........................................................$5,462,433,773 Summary of the Portfolio’s Master Fund’s investments as of October 31, 2016, based on their valuation inputs, is located within this report (See Security Valuation Note). EMERGING MARKETS VALUE PORTFOLIO Value† AFFILIATED INVESTMENT COMPANY — (100.0%) Investment in Dimensional Emerging Markets Value Fund ...............................$16,486,353,176 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $17,575,579,787)......................................................$16,486,353,176 Summary of the Portfolio’s Master Fund’s investments as of October 31, 2016, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 110 EMERGING MARKETS CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value†† Percentage of Net Assets** COMMON STOCKS — (91.5%) BRAZIL — (6.7%) AMBEV SA ADR ........................................12,546,714 $ 74,025,613 0.4% BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros . . 13,167,642 77,553,781 0.4% * Petroleo Brasileiro SA Sponsored ADR .....................3,804,709 44,400,954 0.2% Ultrapar Participacoes SA ................................2,067,950 46,859,281 0.3% Other Securities ........................................1,072,346,099 5.7% TOTAL BRAZIL .............................................1,315,185,728 7.0% CHILE — (1.4%) Other Securities ........................................275,769,136 1.5% CHINA — (14.1%) * Alibaba Group Holding, Ltd. Sponsored ADR ................496,150 50,453,493 0.3% Bank of China, Ltd. Class H ..............................150,583,702 67,479,412 0.4% China Construction Bank Corp. Class H ....................236,178,302 172,468,432 0.9% China Mobile, Ltd.......................................3,748,000 42,938,557 0.2% China Mobile, Ltd. Sponsored ADR ........................1,846,091 106,021,006 0.6% CNOOC, Ltd............................................34,505,000 43,416,745 0.2% Industrial & Commercial Bank of China, Ltd. Class H ..........172,209,725 103,367,047 0.6% Ping An Insurance Group Co. of China, Ltd. Class H ..........12,889,500 67,844,082 0.4% Tencent Holdings, Ltd....................................10,436,500 276,591,471 1.5% Other Securities ........................................1,819,775,830 9.6% TOTAL CHINA ..............................................2,750,356,075 14.7% COLOMBIA — (0.4%) Other Securities ........................................67,342,330 0.4% CZECH REPUBLIC — (0.2%) Other Securities ........................................30,382,918 0.2% EGYPT — (0.1%) Other Securities ........................................17,471,189 0.1% GREECE — (0.3%) Other Securities ........................................49,673,177 0.3% HONG KONG — (0.0%) Other Securities ........................................2,330,709 0.0% HUNGARY — (0.3%) Other Securities ........................................62,864,262 0.3% INDIA — (12.6%) HDFC Bank, Ltd........................................2,994,559 56,121,149 0.3% Housing Development Finance Corp., Ltd...................2,148,830 44,361,378 0.3% Infosys, Ltd.............................................2,997,055 44,946,786 0.3% # Infosys, Ltd. Sponsored ADR .............................3,708,004 56,584,141 0.3% ITC, Ltd................................................12,536,994 45,357,157 0.3% Reliance Industries, Ltd..................................3,320,225 52,171,656 0.3% Tata Consultancy Services, Ltd............................1,537,993 55,052,747 0.3% Other Securities ........................................2,112,215,323 11.1% TOTAL INDIA ...............................................2,466,810,337 13.2% 111 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** INDONESIA — (3.2%) Astra International Tbk PT .................................70,413,000 $ 44,424,093 0.3% Bank Central Asia Tbk PT .................................41,064,300 48,823,200 0.3% Bank Rakyat Indonesia Persero Tbk PT .....................50,598,500 47,247,330 0.3% Other Securities .........................................487,905,040 2.5% TOTAL INDONESIA ..........................................628,399,663 3.4% MALAYSIA — (3.5%) Other Securities .........................................687,558,992 3.7% MEXICO — (4.2%) # America Movil S.A.B. de C.V. Series L ADR ..................3,134,148 41,182,704 0.2% * Cemex S.A.B. de C.V. Sponsored ADR ......................6,971,669 60,514,088 0.3% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR .................................................627,285 60,012,356 0.3% # Grupo Financiero Banorte S.A.B. de C.V. Class O .............8,068,930 47,599,899 0.3% # Grupo Mexico S.A.B. de C.V. Series B ......................19,578,566 48,063,354 0.3% Grupo Televisa S.A.B. Sponsored ADR ......................1,922,391 47,156,251 0.3% Other Securities .........................................521,520,285 2.7% TOTAL MEXICO .............................................826,048,937 4.4% PERU — (0.1%) Other Securities .........................................25,378,230 0.1% PHILIPPINES — (1.5%) Other Securities .........................................291,108,976 1.6% POLAND — (1.5%) Other Securities .........................................285,379,966 1.5% RUSSIA — (1.3%) Other Securities .........................................252,847,002 1.3% SOUTH AFRICA — (7.7%) * AngloGold Ashanti, Ltd. Sponsored ADR ....................4,151,296 57,038,807 0.3% FirstRand, Ltd...........................................17,937,935 64,321,236 0.4% MTN Group, Ltd..........................................9,901,001 85,518,271 0.5% Naspers, Ltd. Class N ....................................568,071 95,140,661 0.5% Sanlam, Ltd.............................................9,204,888 44,585,717 0.2% Standard Bank Group, Ltd.................................6,015,257 63,853,654 0.3% # Steinhoff International Holdings NV .........................9,034,034 48,735,616 0.3% Other Securities .........................................1,038,433,994 5.5% TOTAL SOUTH AFRICA .......................................1,497,627,956 8.0% SOUTH KOREA — (13.6%) Hyundai Motor Co........................................364,834 44,542,372 0.3% NAVER Corp............................................62,169 46,512,689 0.3% Samsung Electronics Co., Ltd..............................379,401 542,667,873 2.9% SK Hynix, Inc............................................2,440,058 87,272,625 0.5% Other Securities .........................................1,926,609,968 10.1% TOTAL SOUTH KOREA .......................................2,647,605,527 14.1% TAIWAN — (14.1%) # Hon Hai Precision Industry Co., Ltd..........................55,950,504 151,131,357 0.8% Taiwan Semiconductor Manufacturing Co., Ltd................41,147,652 246,941,518 1.3% 112 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** TAIWAN — (Continued) Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR . .5,726,641 $ 178,098,535 1.0% Other Securities .........................................2,177,762,272 11.6% TOTAL TAIWAN .............................................2,753,933,682 14.7% THAILAND — (3.1%) PTTPCL ...............................................5,479,380 54,171,455 0.3% Other Securities .........................................554,594,571 2.9% TOTAL THAILAND ...........................................608,766,026 3.2% TURKEY — (1.6%) Other Securities .........................................315,650,023 1.7% TOTAL COMMON STOCKS ...................................17,858,490,841 95.4% PREFERRED STOCKS — (3.2%) BRAZIL — (3.1%) Banco Bradesco SA ......................................4,819,172 50,486,564 0.3% Banco Bradesco SA ADR .................................4,068,175 42,349,700 0.2% Itau Unibanco Holding SA .................................10,663,754 128,285,762 0.7% Itau Unibanco Holding SA ADR ............................6,510,406 77,669,143 0.4% * Petroleo Brasileiro SA ....................................9,738,720 53,971,791 0.3% * Petroleo Brasileiro SA Sponsored ADR ......................4,323,435 47,817,191 0.3% Other Securities .........................................201,052,509 1.0% TOTAL BRAZIL ..............................................601,632,660 3.2% CHILE — (0.0%) Other Securities .........................................3,532,418 0.0% COLOMBIA — (0.1%) Other Securities .........................................16,088,406 0.1% SOUTH KOREA — (0.0%) Other Securities .........................................762,788 0.0% TOTAL PREFERRED STOCKS ................................622,016,272 3.3% RIGHTS/WARRANTS — (0.0%) BRAZIL — (0.0%) Other Securities .........................................3,518 0.0% CHINA — (0.0%) Other Securities .........................................2,893 0.0% INDIA — (0.0%) Other Securities .........................................681,471 0.0% KOREA — (0.0%) Other Securities .........................................91,836 0.0% SOUTH KOREA — (0.0%) Other Securities .........................................1,028,102 0.0% TAIWAN — (0.0%) Other Securities .........................................2,899 0.0% THAILAND — (0.0%) Other Securities ......................................... 502 0.0% TOTAL RIGHTS/WARRANTS ..................................1,811,221 0.0% TOTAL INVESTMENT SECURITIES ............................18,482,318,334 113 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** SECURITIES LENDING COLLATERAL — (5.3%) §@ DFA Short Term Investment Fund ..........................89,883,156 $ 1,040,127,884 5.6% TOTAL INVESTMENTS — (100.0%) (Cost $18,654,071,551).....................................$19,522,446,218 104.3% Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Brazil ........................................$1,315,185,728 — — $ 1,315,185,728 Chile .........................................92,720,557 $ 183,048,579 — 275,769,136 China ........................................296,032,195 2,454,323,880 — 2,750,356,075 Colombia .....................................67,342,330 — — 67,342,330 Czech Republic ................................ —30,382,918 — 30,382,918 Egypt ........................................873,114 16,598,075 — 17,471,189 Greece ....................................... —49,673,177 — 49,673,177 Hong Kong .................................... —2,330,709 — 2,330,709 Hungary ......................................297,975 62,566,287 — 62,864,262 India .........................................118,055,293 2,348,755,044 — 2,466,810,337 Indonesia .....................................29,984,610 598,415,053 — 628,399,663 Malaysia ...................................... —687,558,992 — 687,558,992 Mexico .......................................826,048,937 — — 826,048,937 Peru .........................................25,378,230 — — 25,378,230 Philippines ....................................5,316,547 285,792,429 — 291,108,976 Poland ....................................... —285,379,966 — 285,379,966 Russia .......................................13,016,138 239,830,864 — 252,847,002 South Africa ...................................145,078,248 1,352,549,708 — 1,497,627,956 South Korea ..................................83,894,614 2,563,710,913 — 2,647,605,527 Taiwan .......................................205,016,334 2,548,917,348 — 2,753,933,682 Thailand ......................................608,588,877 177,149 — 608,766,026 Turkey .......................................2,338,047 313,311,976 — 315,650,023 Preferred Stocks Brazil ........................................601,632,660 — — 601,632,660 Chile ......................................... —3,532,418 — 3,532,418 Colombia .....................................16,088,406 — — 16,088,406 South Korea ..................................762,788 — — 762,788 Rights/Warrants Brazil ........................................ —3,518 — 3,518 China ........................................ —2,893 — 2,893 India ......................................... —681,471 — 681,471 Korea ........................................ —91,836 — 91,836 South Korea .................................. —1,028,102 — 1,028,102 Taiwan ....................................... —2,899 — 2,899 Thailand ...................................... — 502 — 502 Securities Lending Collateral ....................... —1,040,127,884 — 1,040,127,884 Futures Contracts**..............................(3,446,602) — — (3,446,602) TOTAL .........................................$4,450,205,026 $15,068,794,590 — $19,518,999,616 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 114 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (Amounts in thousands, except share and per share amounts) Enhanced U.S. Large Company Portfolio U.S. Large Cap Equity Portfolio* U.S. Large Cap Value Portfolio U.S. Targeted Value Portfolio* ASSETS: Investments in Affiliated Investment Company at Value ......... — — $17,646,269 — Investments at Value (including $0, $53,986, $0 and $1,565,476 of securities on loan, respectively)........................$ 234,208 $ 848,164 — $ 7,975,043 Temporary Cash Investments at Value & Cost ................ —3,254 — 87,593 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0, $46,030, $0 and $1,240,328)..........— 46,037 — 1,240,541 Segregated Cash for Futures Contracts ...................... — — —3,420 Cash ..................................................8,411 — — — Receivables: Investment Securities/Affiliated Investment Company Sold .... — 180 —61,483 Dividends, Interest and Tax Reclaims .....................1,060 1,012 — 2,380 Securities Lending Income .............................. — 18 — 432 Fund Shares Sold ...................................... 110 539 38,325 5,191 Prepaid Expenses and Other Assets ........................ 16 22 114 58 Total Assets ......................................243,805 899,226 17,684,708 9,376,141 LIABILITIES: Payables: Upon Return of Securities Loaned ........................ —46,029 — 1,240,317 Investment Securities/Affiliated Investment Company Purchased ..........................................4,829 1,147 — 57,171 Fund Shares Redeemed ................................ 72 562 8,422 7,221 Due to Advisor ........................................ 40 109 2,260 2,439 Futures Margin Variation ................................ 427 — — 141 Accrued Expenses and Other Liabilities ...................... 24 56 773 563 Total Liabilities ....................................5,392 47,903 11,455 1,307,852 NET ASSETS ........................................... $238,413 $ 851,323 $ 17,673,253 $ 8,068,289 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R1 Shares — based on net assets of $0; $0; $0 and $35,661 and shares outstanding of 0; 0; 0 and 1,677,570, respectively ...........................................N/A N/A N/A $ 21.26 NUMBER OF SHARES AUTHORIZED ...................... N/A N/A N/A 100,000,000 Class R2 Shares — based on net assets of $0; $0; $0 and $147,945 and shares outstanding of 0; 0; 0 and 6,990,693, respectively ...........................................N/A N/A N/A $ 21.16 NUMBER OF SHARES AUTHORIZED ...................... N/A N/A N/A 100,000,000 Institutional Class Shares — based on net assets of $238,413; $851,323; $17,673,253 and $7,884,683 and shares outstanding of 19,513,163; 65,183,149; 541,624,567 and 370,883,194, respectively ...............................$ 12.22 $ 13.06 $ 32.63 $ 21.26 NUMBER OF SHARES AUTHORIZED ......................300,000,000 100,000,000 2,000,000,000 700,000,000 Investments in Affiliated Investment Company at Cost .......... $ — $ — $13,161,852 $ — Investments at Cost ...................................... $234,200 $ 793,916 $ — $ 7,084,402 NET ASSETS CONSIST OF: Paid-In Capital .......................................... $231,408 $ 806,457 $ 12,720,635 $ 6,878,063 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).................................201 1,887 18,983 1,417 Accumulated Net Realized Gain (Loss)...................... 6,558 (11,276) 449,218 299,994 Net Unrealized Appreciation (Depreciation)................... 246 54,255 4,484,417 888,815 NET ASSETS ........................................... $238,413 $ 851,323 $ 17,673,253 $ 8,068,289 * See Note K in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 115 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (Amounts in thousands, except share and per share amounts) U.S. Small Cap Value Portfolio* U.S. Core Equity 1 Portfolio* U.S. Core Equity 2 Portfolio* U.S. Vector Equity Portfolio* ASSETS: Investments at Value (including $1,943,046, $1,995,032, $2,369,893 and $656,011 of securities on loan, respectively)........................$ 12,291,970 $ 14,795,874 $ 16,664,191 $ 3,787,413 Temporary Cash Investments at Value & Cost ......283,404 164,854 183,777 37,304 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $1,801,739, $1,416,026, $1,864,887 and $509,259)..........1,802,024 1,416,231 1,865,190 509,342 Segregated Cash for Futures Contracts ...........12,321 5,040 5,670 1,305 Receivables: Investment Securities Sold ....................86,220 2,721 11,313 821 Dividends and Interest .......................3,198 14,707 16,403 2,747 Securities Lending Income .................... 507 637 832 224 Fund Shares Sold ...........................5,780 9,283 9,566 1,859 Prepaid Expenses and Other Assets .............. 116 172 115 26 Total Assets ............................14,485,540 16,409,519 18,757,057 4,341,041 LIABILITIES: Payables: Upon Return of Securities Loaned ..............1,801,676 1,415,949 1,864,857 509,255 Investment Securities Purchased ...............51,203 21,930 31,705 2,159 Fund Shares Redeemed ......................12,581 8,277 5,348 5,688 Due to Advisor ..............................5,485 2,168 2,882 988 Futures Margin Variation ...................... 507 207 233 54 Accrued Expenses and Other Liabilities ........... 903 829 986 250 Total Liabilities ..........................1,872,355 1,449,360 1,906,011 518,394 NET ASSETS ................................ $12,613,185 $ 14,960,159 $ 16,851,046 $ 3,822,647 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares — based on net assets of $12,613,185; $14,960,159; $16,851,046 and $3,822,647 and shares outstanding of 385,110,575; 831,236,058; 980,473,669 and 239,934,633, respectively .....................$ 32.75 $ 18.00 $ 17.19 $ 15.93 NUMBER OF SHARES AUTHORIZED ............1,700,000,000 1,500,000,000 2,300,000,000 1,000,000,000 Investments at Cost ........................... $10,085,942 $ 11,326,017 $ 12,434,154 $ 2,892,649 NET ASSETS CONSIST OF: Paid-In Capital ................................ $ 9,878,016 $ 11,386,149 $ 12,472,449 $ 2,824,977 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)........... (1,771) 33,644 26,714 150 Accumulated Net Realized Gain (Loss)............ 534,573 73,528 125,173 103,508 Net Unrealized Appreciation (Depreciation)........2,202,367 3,466,838 4,226,710 894,012 NET ASSETS ................................ $12,613,185 $ 14,960,159 $ 16,851,046 $ 3,822,647 * See Note K in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 116 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (Amounts in thousands, except share and per share amounts) U.S. Small Cap Portfolio* U.S. Micro Cap Portfolio* DFA Real Estate Securities Portfolio* Large Cap International Portfolio* ASSETS: Investments at Value (including $2,734,250, $866,990, $601,613 and $199,224 of securities on loan, respectively)................................... $12,824,777 $ 5,046,074 $ 7,193,577 $ 3,473,508 Temporary Cash Investments at Value & Cost .........159,360 42,876 67,517 — Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $2,565,207, $804,677, $461,489 and $207,749).........................2,565,605 804,805 461,557 207,774 Segregated Cash for Futures Contracts ..............5,903 2,709 2,412 1,473 Foreign Currencies at Value ........................ — — —10,328 Cash ........................................... — — —27,839 Receivables: Investment Securities Sold .......................14,794 52,190 154 19,362 Dividends, Interest and Tax Reclaims ..............3,059 1,582 5,834 11,545 Securities Lending Income .......................1,155 358 90 253 Fund Shares Sold ..............................10,547 2,483 4,054 1,824 Futures Margin Variation ......................... 79 3 — — Unrealized Gain on Foreign Currency Contracts ....... — — — 2 Prepaid Expenses and Other Assets ................. 89 38 65 22 Total Assets ...............................15,585,368 5,953,118 7,735,260 3,753,930 LIABILITIES: Payables: Upon Return of Securities Loaned .................2,565,111 804,670 461,482 207,738 Investment Securities Purchased ..................27,611 13,328 8,118 15,610 Fund Shares Redeemed .........................10,670 4,200 3,938 1,760 Due to Advisor .................................3,878 2,222 983 750 Futures Margin Variation ......................... — — 99 19 Unrealized Loss on Foreign Currency Contracts ....... — — — 10 Accrued Expenses and Other Liabilities .............. 899 375 460 268 Total Liabilities .............................2,608,169 824,795 475,080 226,155 NET ASSETS ................................... $12,977,199 $ 5,128,323 $ 7,260,180 $ 3,527,775 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares — based on net assets of $12,977,199; $5,128,323; $7,260,180 and $3,527,775 and shares outstanding of 430,635,066; 275,979,542; 211,528,474 and 180,746,924, respectively .........$ 30.14 $ 18.58 $ 34.32 $ 19.52 NUMBER OF SHARES AUTHORIZED ...............1,000,000,000 1,500,000,000 700,000,000 500,000,000 Investments at Cost ............................... $10,736,611 $ 3,760,525 $ 5,088,981 $ 3,240,449 Foreign Currencies at Cost ......................... $ — $ — $ — $10,325 NET ASSETS CONSIST OF: Paid-In Capital ................................... $10,544,580 $ 3,590,798 $ 5,130,102 $ 3,512,948 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).................2,738 1,818 39,022 11,729 Accumulated Net Realized Gain (Loss)...............345,607 251,692 (12,090) (228,787) Net Unrealized Foreign Exchange Gain (Loss)......... — — —(332) Net Unrealized Appreciation (Depreciation)...........2,084,274 1,284,015 2,103,146 232,217 NET ASSETS ................................... $12,977,199 $ 5,128,323 $ 7,260,180 $ 3,527,775 * See Note K in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 117 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (Amounts in thousands, except share and per share amounts) International Core Equity Portfolio* International Small Company Portfolio Japanese Small Company Portfolio Asia Pacific Small Company Portfolio ASSETS: Investments in Affiliated Investment Companies at Value ........................................ — $10,294,008 $ 509,655 $ 251,675 Investments at Value (including $1,202,449, $0, $0 and $0 of securities on loan, respectively)............. $16,737,241 — — — Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $1,236,430, $0, $0 and $0)..........................................1,236,638 — — — Segregated Cash for Futures Contracts .............6,030 3,866 — — Foreign Currencies at Value .......................23,403 — — — Cash ..........................................158,681 97,178 — — Receivables: Investment Securities Sold ...................... 489 — — — Dividends, Interest and Tax Reclaims .............49,672 — — — Securities Lending Income ......................2,314 — — — Fund Shares Sold .............................21,215 2,600 — 17 Prepaid Expenses and Other Assets ................ 158 110 8 8 Total Assets ..............................18,235,841 10,397,762 509,663 251,700 LIABILITIES: Payables: Upon Return of Securities Loaned ................1,236,407 — — — Investment Securities Purchased .................1,463 — — — Fund Shares Redeemed ........................8,573 6,350 67 25 Due to Advisor ................................5,034 3,567 170 87 Futures Margin Variation ........................ 248 2 — — Accrued Expenses and Other Liabilities .............1,105 482 13 13 Total Liabilities ............................1,252,830 10,401 250 125 NET ASSETS .................................. $16,983,011 $ 10,387,361 $ 509,413 $ 251,575 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares — based on net assets of $16,983,011; $10,387,361; $509,413 and $251,575 and shares outstanding of 1,466,221,305; 584,367,957; 22,135,681 and 11,829,539, respectively ..................................$ 11.58 $ 17.78 $ 23.01 $ 21.27 NUMBER OF SHARES AUTHORIZED ..............2,000,000,000 1,500,000,000 100,000,000 100,000,000 Investments in Affiliated Investment Companies at Cost ........................................ $ — $9,548,011 $ 438,859 $ 260,212 Investments at Cost .............................. $16,261,978 $ — $ — $ — Foreign Currencies at Cost ........................ $23,405 $ — $ — $ — NET ASSETS CONSIST OF: Paid-In Capital .................................. $16,830,111 $ 9,407,620 $ 470,614 $ 281,710 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................49,229 (18,870) 2,402 511 Accumulated Net Realized Gain (Loss).............. (367,321) 256,462 (34,243) (22,109) Net Unrealized Foreign Exchange Gain (Loss)........(1,529) (1,059) (156) — Net Unrealized Appreciation (Depreciation)..........472,521 743,208 70,796 (8,537) NET ASSETS .................................. $16,983,011 $ 10,387,361 $ 509,413 $ 251,575 * See Note K in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 118 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (Amounts in thousands, except share and per share amounts) United Kingdom Small Company Portfolio Continental Small Company Portfolio DFA International Real Estate Securities Portfolio* DFA Global Real Estate Securities Portfolio DFA International Small Cap Value Portfolio* ASSETS: Investments in Affiliated Investment Companies at Value ....................................$ 32,369 $ 292,249 — $ 3,297,633 — Investments at Value (including $0, $0, $153,418, $33,099 and $894,648 of securities on loan, respectively)..............................— — $ 4,110,144 1,593,183 $ 12,810,566 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0, $0, $157,915, $34,022 and $947,349)............— — 157,926 34,028 947,513 Segregated Cash for Futures Contracts .......... — —1,238 — 5,653 Foreign Currencies at Value ................... — —18,761 120 51,381 Cash ...................................... — —39,036 10,382 95,845 Receivables: Investment Securities/Affiliated Investment Company Sold ...........................— — 577 — 16,986 Dividends, Interest and Tax Reclaims ......... — —14,191 1,322 43,106 Securities Lending Income ................... — — 128 10 1,924 Fund Shares Sold .......................... 22 8 2,545 5,285 14,151 Unrealized Gain on Foreign Currency Contracts . . . — — — — 8 Prepaid Expenses and Other Assets ............ 18 11 21 65 77 Total Assets ...........................32,409 292,268 4,344,567 4,942,028 13,987,210 LIABILITIES: Payables: Upon Return of Securities Loaned ............ — —157,910 34,018 947,321 Investment Securities/Affiliated Investment Company Purchased .....................— — 2,811 5,093 14,693 Fund Shares Redeemed .................... 72 32 1,000 13,564 7,184 Due to Advisor ............................ 10 108 891 162 7,191 Futures Margin Variation .................... — — 51 — 174 Unrealized Loss on Foreign Currency Contracts . . . — — 1 — — Accrued Expenses and Other Liabilities .......... 4 11 280 236 918 Total Liabilities ........................ 86 151 162,944 53,073 977,481 NET ASSETS ............................... $32,323 $ 292,117 $ 4,181,623 $ 4,888,955 $ 13,009,729 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares — based on net assets of $32,323; $292,117; $4,181,623; $4,888,955 and $13,009,729 and shares outstanding of 1,187,810; 13,601,917; 799,639,322; 450,869,182 and 673,643,118, respectively .....$ 27.21 $ 21.48 $ 5.23 $ 10.84 $ 19.31 NUMBER OF SHARES AUTHORIZED ..........100,000,000 100,000,000 1,200,000,000 1,500,000,000 2,300,000,000 Investments in Affiliated Investment Companies at Cost .....................................$ 30,008 $ 254,355 $ — $ 2,659,558 $ — Investments at Cost .......................... $ — $ — $3,978,565 $ 1,534,743 $ 11,737,020 Foreign Currencies at Cost .................... $ — $ — $18,681 $ 117 $ 51,989 NET ASSETS CONSIST OF: Paid-In Capital .............................. $ 28,283 $ 264,520 $ 4,440,849 $ 4,154,717 $ 11,585,752 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)..........199 227 (148,335) 61,223 (39,951) Accumulated Net Realized Gain (Loss).......... 1,478 (10,637) (241,893) (23,508) 395,817 Net Unrealized Foreign Exchange Gain (Loss).... 2 113 (364) — (1,533) Net Unrealized Appreciation (Depreciation).......2,361 37,894 131,366 696,523 1,069,644 NET ASSETS ............................... $32,323 $ 292,117 $ 4,181,623 $ 4,888,955 $ 13,009,729 * See Note K in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 119 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (Amounts in thousands, except share and per share amounts) International Vector Equity Portfolio* World ex U.S. Value Portfolio World ex U.S. Targeted Value Portfolio* World ex U.S. Core Equity Portfolio* World Core Equity Portfolio ASSETS: Investments in Affiliated Investment Companies at Value ......................................— $ 188,212 — — $ 370,096 Investments at Value (including $138,147, $0, $7,915, $105,597 and $0 of securities on loan, respectively)................................$ 1,847,916 — $ 279,331 $ 1,645,434 — Temporary Cash Investments at Value & Cost ...... — — — — 135 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $144,230, $0, $7,144, $101,516 and $0)............................144,254 — 7,145 101,533 — Foreign Currencies at Value .....................4,420 — 1,028 2,874 — Cash ........................................ 284 43 18 3,306 — Receivables: Investment Securities Sold .................... 851 — 661 61 — Dividends, Interest and Tax Reclaims ...........5,604 — 661 3,976 — Securities Lending Income .................... 273 — 22 239 — Fund Shares Sold ...........................1,028 — 308 1,741 2 From Advisor ............................... — — — — 8 Unrealized Gain on Foreign Currency Contracts ..... — — 1 — — Prepaid Expenses and Other Assets .............. 31 12 22 18 15 Total Assets ............................2,004,661 188,267 289,197 1,759,182 370,256 LIABILITIES: Payables: Upon Return of Securities Loaned ..............144,226 — 7,144 101,515 — Investment Securities Purchased ...............1,285 — 259 80 — Fund Shares Redeemed ......................1,815 52 383 545 6 Due to Advisor .............................. 711 54 141 393 — Unrealized Loss on Foreign Currency Contracts ..... 2 — 1 — — Accrued Expenses and Other Liabilities ........... 148 7 57 204 21 Total Liabilities ..........................148,187 113 7,985 102,737 27 NET ASSETS ................................. $1,856,474 $ 188,154 $ 281,212 $ 1,656,445 $ 370,229 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares — based on net assets of $1,856,474; $188,154; $281,212; $1,656,445 and $370,229 and shares outstanding of 172,237,676; 18,255,169; 23,363,536; 166,766,789 and 28,171,065, respectively ......................$ 10.78 $ 10.31 $ 12.04 $ 9.93 $ 13.14 NUMBER OF SHARES AUTHORIZED ............500,000,000 100,000,000 100,000,000 500,000,000 100,000,000 Investments in Affiliated Investment Companies at Cost .......................................$ — $ 188,081 $ — $ — $ 367,363 Investments at Cost ............................ $1,755,367 $ — $ 265,503 $ 1,653,999 $ — Foreign Currencies at Cost ...................... $4,427 $ — $ 1,031 $ 2,878 $ — NET ASSETS CONSIST OF: Paid-In Capital ................................ $1,756,001 $ 190,641 $ 274,788 $ 1,673,173 $ 369,759 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)..............4,967 737 882 4,174 205 Accumulated Net Realized Gain (Loss)............ 3,124 (3,306) (8,262) (12,234) (2,468) Net Unrealized Foreign Exchange Gain (Loss)......(184) (48) (22) (116) — Net Unrealized Appreciation (Depreciation).........92,566 130 13,826 (8,552) 2,733 NET ASSETS ................................. $1,856,474 $ 188,154 $ 281,212 $ 1,656,445 $ 370,229 * See Note K in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 120 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (Amounts in thousands, except share and per share amounts) Selectively Hedged Global Equity Portfolio Emerging Markets Portfolio Emerging Markets Small Cap Portfolio Emerging Markets Value Portfolio Emerging Markets Core Equity Portfolio* ASSETS: Investments in Affiliated Investment Companies at Value . . . $ 276,178 $ 4,914,328 $ 5,462,434 $ 16,486,353 — Investments at Value (including $0, $0, $0, $0 and $1,574,094 of securities on loan, respectively)..........— — — — $ 18,482,318 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0, $0, $0, $0 and $1,039,952) . . .— — — — 1,040,128 Segregated Cash for Futures Contracts .................. 572 — — —6,871 Foreign Currencies at Value ........................... — — — —98,558 Cash ..............................................12,553 — — — 139,308 Receivables: Investment Securities/Affiliated Investment Companies Sold ...........................................— — — — 634 Dividends, Interest and Tax Reclaims ................. — — — —12,373 Securities Lending Income ........................... — — — —5,094 Fund Shares Sold .................................. 40 5,121 2,266 5,442 15,651 Unrealized Gain on Forward Currency Contracts .......... 847 — — — — Unrealized Gain on Foreign Currency Contracts ........... — — — — 1 Prepaid Expenses and Other Assets .................... 13 32 42 103 85 Total Assets ...................................290,203 4,919,481 5,464,742 16,491,898 19,801,021 LIABILITIES: Payables: Upon Return of Securities Loaned .................... — — — —1,039,932 Investment Securities/Affiliated Investment Companies Purchased ......................................— — — — 28,037 Fund Shares Redeemed ............................ 66 2,214 2,976 83,446 9,734 Due to Advisor ..................................... —1,667 2,098 5,568 8,700 Futures Margin Variation ............................ 23 — — — 80 Unrealized Loss on Forward Currency Contracts .......... 198 — — — — Unrealized Loss on Foreign Currency Contracts ........... — — — — 1 Accrued Expenses and Other Liabilities .................. 12 200 159 640 1,571 Total Liabilities ................................. 299 4,081 5,233 89,654 1,088,055 NET ASSETS ....................................... $289,904 $ 4,915,400 $ 5,459,509 $ 16,402,244 $ 18,712,966 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares — based on net assets of $0; $0; $0; $97,923 and $0 and shares outstanding of 0; 0; 0; 3,963,250 and 0, respectively ........................N/A N/A N/A $ 24.71 N/A NUMBER OF SHARES AUTHORIZED .................. N/A N/A N/A 100,000,000 N/A Institutional Class Shares — based on net assets of $289,904; $4,915,400; $5,459,509; $16,304,321 and $18,712,966 and shares outstanding of 21,214,902; 203,789,810; 267,753,160; 656,277,888 and 1,017,087,290, respectively ..........................$ 13.67 $ 24.12 $ 20.39 $ 24.84 $ 18.40 NUMBER OF SHARES AUTHORIZED ..................100,000,000 500,000,000 500,000,000 1,500,000,000 1,500,000,000 Investments in Affiliated Investment Companies at Cost .... $262,974 $ 3,933,957 $ 5,273,564 $ 17,575,580 $ — Investments at Cost .................................. $ — $ — $ — $ — $17,614,120 Foreign Currencies at Cost ............................ $ — $ — $ — $ — $98,578 NET ASSETS CONSIST OF: Paid-In Capital ...................................... $270,820 $ 4,153,898 $ 5,139,325 $ 18,602,540 $ 18,639,428 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)....................4,245 3,519 12,479 (49,300) 11,774 Accumulated Net Realized Gain (Loss).................. 1,334 (222,448) 118,721 (1,061,981) (803,309) Net Unrealized Foreign Exchange Gain (Loss)............ 649 60 114 212 166 Net Unrealized Appreciation (Depreciation)...............12,856 980,371 188,870 (1,089,227) 864,907 NET ASSETS ....................................... $289,904 $ 4,915,400 $ 5,459,509 $ 16,402,244 $ 18,712,966 * See Note K in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 121 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (Amounts in thousands) Enhanced U.S. Large Company Portfolio U.S. Large Cap Equity Portfolio U.S. Large Cap Value Portfolio* U.S. Targeted Value Portfolio Investment Income Net Investment Income Allocated from Affiliated Investment Company: Dividends (Net of Foreign Taxes Withheld of $0, $0, $17 and $0, respectively)............................................... — — $404,068 — Income from Securities Lending ................................. — —2,879 — Expenses Allocated from Affiliated Investment Company ............ — —(18,139) — Total Net Investment Income Received from Affiliated Investment Company ............................................... — —388,808 — Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $1, $0 and $63, respectively)................................................. —$16,204 — $114,601 Interest .......................................................$2,157 — — — Income from Securities Lending ................................... — 178 —6,652 Total Investment Income .....................................2,157 16,382 — 121,253 Fund Expenses Investment Management Fees .................................... 418 1,135 40,630 26,301 Accounting & Transfer Agent Fees ................................ 15 45 95 420 S&P 500 ®Fees ................................................ 8 — — — Custodian Fees ................................................ 5 — — 74 Shareholder Servicing Fees — Class R1 Shares ............................................. — — — 35 Class R2 Shares ............................................. — — — 365 Filing Fees .................................................... 26 61 444 259 Shareholders’ Reports .......................................... 7 17 416 322 Directors’/Trustees’ Fees & Expenses .............................. 1 5 112 52 Professional Fees .............................................. 5 16 33 149 Other ......................................................... 8 28 94 232 Total Expenses ............................................ 493 1,307 41,824 28,209 Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)................................. — 28 (16,252) — Fees Paid Indirectly (Note C)..................................... (6) — — — Net Expenses ................................................. 487 1,335 25,572 28,209 Net Investment Income (Loss)..................................1,670 15,047 363,236 93,044 Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**...................................(59) (9,470) 447,750 310,791 Futures .....................................................7,848 — 17,635 6,695 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ...................... 118 22,964 (11,625) (32,158) Futures .....................................................(557) — (3,292) (2,039) Net Realized and Unrealized Gain (Loss).........................7,350 13,494 450,468 283,289 Net Increase (Decrease) in Net Assets Resulting from Operations .....$9,020 $28,541 $813,704 $376,333 * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company). ** Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 122 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (Amounts in thousands) U.S. Small Cap Value Portfolio U.S. Core Equity 1 Portfolio U.S. Core Equity 2 Portfolio U.S. Vector Equity Portfolio Investment Income Dividends (Net of Foreign Taxes Withheld of $80, $49, $60 and $19, respectively).................................................$176,347 $278,853 $316,205 $ 68,324 Income from Securities Lending ...................................8,445 8,606 11,265 3,297 Total Investment Income .....................................185,792 287,459 327,470 71,621 Expenses Investment Management Fees ....................................60,645 23,598 31,418 10,982 Accounting & Transfer Agent Fees ................................. 669 765 865 205 Custodian Fees ................................................. 120 117 135 25 Filing Fees ..................................................... 340 490 504 113 Shareholders’ Reports ........................................... 344 240 285 114 Directors’/Trustees’ Fees & Expenses .............................. 84 95 108 25 Professional Fees ............................................... 243 278 316 75 Other ......................................................... 378 432 488 121 Total Expenses .............................................62,823 26,015 34,119 11,660 Net Investment Income (Loss)...................................122,969 261,444 293,351 59,961 Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**....................................533,632 71,932 110,911 103,375 Futures ......................................................42,945 14,545 16,424 3,911 Change in Unrealized Appreciation (Depreciation) of: Investment Securities ..........................................(45,822) 193,308 180,375 (37,035) Futures ......................................................(3,946) (3,224) (3,630) (835) Net Realized and Unrealized Gain (Loss)..........................526,809 276,561 304,080 69,416 Net Increase (Decrease) in Net Assets Resulting from Operations .....$649,778 $538,005 $597,431 $129,377 ** Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 123 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (Amounts in thousands) U.S. Small Cap Portfolio U.S. Micro Cap Portfolio DFA Real Estate Securities Portfolio Large Cap International Portfolio Investment Income Dividends (Net of Foreign Taxes Withheld of $39, $9, $0 and $8,961, respectively)....................................$161,627 $ 63,399 $233,312 $ 101,033 Income from Securities Lending .............................16,878 5,807 784 3,010 Total Investment Income ...............................178,505 69,206 234,096 104,043 Expenses Investment Management Fees ..............................40,791 24,790 11,950 8,053 Accounting & Transfer Agent Fees ........................... 642 276 388 189 Custodian Fees .......................................... 97 36 68 316 Filing Fees .............................................. 445 107 173 127 Shareholders’ Reports ..................................... 311 135 246 136 Directors’/Trustees’ Fees & Expenses ........................ 79 35 48 22 Professional Fees ........................................ 229 102 142 113 Other ................................................... 354 163 199 141 Total Expenses .......................................42,948 25,644 13,214 9,097 Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)................ — —(561) — Fees Paid Indirectly (Note C)............................... — — —(110) Net Expenses ............................................42,948 25,644 12,653 8,987 Net Investment Income (Loss).............................135,557 43,562 221,443 95,056 Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**..............................362,082 265,995 90,717 40,972 Futures ...............................................18,220 4,507 6,786 2,587 Foreign Currency Transactions ............................ — — —(670) Forward Currency Contracts .............................. — — — (1) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency .................11,454 (93,832) 133,266 (163,381) Futures ...............................................(4,290) (1,662) (1,518) (870) Translation of Foreign Currency Denominated Amounts ....... — — —(284) Net Realized and Unrealized Gain (Loss)...................387,466 175,008 229,251 (121,647) Net Increase (Decrease) in Net Assets Resulting from Operations ..............................................$523,023 $218,570 $450,694 $ (26,591) ** Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 124 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (Amounts in thousands) International Core Equity Portfolio International Small Company Portfolio* Japanese Small Company Portfolio* Asia Pacific Small Company Portfolio* Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $20,552, $939 and $212, respectively).......................................... —$262,595 $ 8,477 $ 8,411 Income from Securities Lending ................................. —27,016 930 818 Expenses Allocated from Affiliated Investment Companies ........... —(12,006) (570) (291) Total Net Investment Income Received from Affiliated Investment Companies .............................................. —277,605 8,837 8,938 Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $40,187, $0, $0 and $0, respectively).................................................$463,144 — — — Income from Securities Lending ...................................26,239 — — — Total Investment Income .....................................489,383 — — — Fund Expenses Investment Management Fees ....................................53,516 38,540 2,232 1,120 Accounting & Transfer Agent Fees ................................ 851 58 5 4 Custodian Fees ................................................1,623 6 — — Filing Fees .................................................... 749 279 19 21 Shareholders’ Reports ........................................... 400 280 7 5 Directors’/Trustees’ Fees & Expenses .............................. 104 66 3 2 Professional Fees .............................................. 414 66 1 — Other ......................................................... 620 77 3 3 Total Expenses .............................................58,277 39,372 2,270 1,155 Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)................................. — —(446) (224) Fees Paid Indirectly (Note C).....................................(585) — — — Net Expenses ..................................................57,692 39,372 1,824 931 Net Investment Income (Loss)..................................431,691 238,233 7,013 8,007 Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**....................................(84,212) 261,664 20,065 (4,191) Futures .....................................................19,275 17,796 — — Foreign Currency Transactions .................................(72) 673 326 49 Forward Currency Contracts .................................... (3) — — — Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency .......................(7,083) 13,423 33,546 30,333 Futures .....................................................(2,948) (2,771) — — Translation of Foreign Currency Denominated Amounts .............(1,251) (814) (100) 4 Net Realized and Unrealized Gain (Loss).........................(76,294) 289,971 53,837 26,195 Net Increase (Decrease) in Net Assets Resulting from Operations .....$355,397 $528,204 $60,850 $34,202 * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company). ** Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 125 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (Amounts in thousands) United Kingdom Small Company Portfolio* Continental Small Company Portfolio* DFA International Real Estate Securities Portfolio DFA Global Real Estate Securities Portfolio DFA International Small Cap Value Portfolio Investment Income Net Investment Income Allocated from Affiliated Investment Company: Dividends (Net of Foreign Taxes Withheld of $1, $1,000, $0, $1 and $0, respectively).................................. $1,468 $ 6,890 — $ 42,420 — Income from Securities Lending ........................... 31 1,089 — — — Expenses Allocated from Affiliated Investment Company ......(40) (392) — — — Income Distributions Received from Affiliated Investment Companies ............................................ — — —71,889 — Total Net Investment Income Received from Affiliated Investment Company ................................1,459 7,587 — 114,309 — Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $0, $17,637, $0 and $29,147, respectively)............................... — — $151,831 — $ 353,979 Interest ................................................. — — — 44 — Income from Securities Lending ............................. — —1,972 192 24,293 Total Fund Investment Income .......................... — —153,803 236 378,272 Fund Expenses Investment Management Fees .............................. 168 1,521 9,646 9,072 80,458 Accounting & Transfer Agent Fees .......................... 4 4 225 96 692 Custodian Fees .......................................... — — 404 25 1,740 Filing Fees .............................................. 21 26 137 203 257 Shareholders’ Reports .................................... 3 8 121 220 381 Directors’/Trustees’ Fees & Expenses ........................ — 2 26 30 86 Professional Fees ........................................ 1 1 107 37 353 Other .................................................. — 4 126 51 526 Total Expenses ...................................... 197 1,566 10,792 9,734 84,493 Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)................(40) (304) — (6,179) — Fees Paid Indirectly (Note C)............................... — —(119) — (296) Net Expenses ........................................... 157 1,262 10,673 3,555 84,197 Net Investment Income (Loss)............................1,302 6,325 143,130 110,990 294,075 Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**.............................2,090 6,536 (1,596) 14,561 414,975 Futures ............................................... — 50 4,432 757 29,217 Foreign Currency Transactions ...........................(25) (31) 540 7 7,305 Forward Currency Contracts .............................. — — 48 — 27 In-Kind Redemptions .................................... — — — —29,398 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ................(8,433) 5,988 (118,705) 61,152 (242,603) Futures ............................................... — 2 (304) — (3,458) Translation of Foreign Currency Denominated Amounts ....... (2) (3)(367) — (1,796) Net Realized and Unrealized Gain (Loss)...................(6,370) 12,542 (115,952) 76,477 233,065 Net Increase (Decrease) in Net Assets Resulting from Operations .............................................$(5,068) $18,867 $ 27,178 $187,467 $ 527,140 * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company). ** Net of foreign capital gains tax withheld of $0, $0, $92, $0 and $0, respectively. See accompanying Notes to Financial Statements. 126 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (Amounts in thousands) International Vector Equity Portfolio World ex U.S. Value Portfolio* World ex U.S. Targeted Value Portfolio World ex U.S. Core Equity Portfolio World Core Equity Portfolio Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $492, $0, $0 and $0, respectively).....................— $ 5,381 — — — Income from Securities Lending .................... — 201 — — — Expenses Allocated from Affiliated Investment Companies ...................................— (304) — — — Income Distributions Received from Affiliated Investment Companies .....................................— 588 — — $ 6,062 Total Net Investment Income Received from Affiliated Investment Companies .......................— 5,866 — — 6,062 Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $4,468, $0, $597, $3,996 and $0, respectively).................$51,558 — $ 6,847 $42,011 1 Income from Securities Lending ......................3,343 — 266 2,478 — Total Investment Income ........................54,901 — 7,113 44,489 1 Fund Expenses Investment Management Fees .......................7,682 794 1,404 5,663 834 Accounting & Transfer Agent Fees .................... 107 4 26 94 4 Custodian Fees ................................... 242 4 308 602 1 Filing Fees ....................................... 114 25 60 123 61 Shareholders’ Reports .............................. 78 4 7 68 4 Directors’/Trustees’ Fees & Expenses ................. 12 1 2 9 2 Professional Fees ................................. 46 4 19 56 2 Other ............................................ 88 2 27 73 — Total Expenses ................................8,369 838 1,853 6,688 908 Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)........................................— (385) — (34) (794) Fees Paid Indirectly (Note C)........................(19) 1 (4) (26) — Net Expenses .....................................8,350 454 1,849 6,628 114 Net Investment Income (Loss)......................46,551 5,412 5,264 37,861 5,949 Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies ...........................— 256 — — 1,313 Net Realized Gain (Loss) on: Investment Securities Sold**.......................4,157 (2,948) 6,843 (2,134) (2,896) Futures ........................................ 182 112 —(629) — Foreign Currency Transactions ..................... 127 85 124 189 — Forward Currency Contracts .......................(44) — 8 — — Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ..........16,206 7,285 5,177 47,901 — Affiliated Investment Companies Shares ............. — 148 — —9,340 Futures ........................................ —(19) — — — Translation of Foreign Currency Denominated Amounts .....................................(165) (11) (20) (103) — Net Realized and Unrealized Gain (Loss)............20,463 4,908 12,132 45,224 7,757 Net Increase (Decrease) in Net Assets Resulting from Operations .......................................$67,014 $10,320 $17,396 $83,085 $13,706 * A portion of Investment Income and a portion of Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company). ** Net of foreign capital gain taxes withheld of $0, $0, $1, $0 and $0, respectively. See accompanying Notes to Financial Statements. 127 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (Amounts in thousands) Selectively Hedged Global Equity Portfolio Emerging Markets Portfolio* Emerging Markets Small Cap Portfolio* Emerging Markets Value Portfolio* Emerging Markets Core Equity Portfolio Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $14,897, $12,705, $54,004 and $0, respectively).................— $ 109,056 $117,674 $ 396,366 — Interest ............................................. — 56 46 24 — Income from Securities Lending ......................... —6,581 38,125 30,263 — Expenses Allocated from Affiliated Investment Companies . . . — (6,819) (13,037) (23,422) — Income Distributions Received from Affiliated Investment Companies ..........................................$ 5,430 — — — — Total Net Investment Income Received from Affiliated Investment Companies ............................5,430 108,874 142,808 403,231 — Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $0, $0, $0 and $51,428, respectively).................................37 — — — $ 396,631 Income from Securities Lending ........................... — — — —52,227 Total Fund Investment Income ........................ 37 — — —448,858 Fund Expenses Investment Management Fees ............................ 799 22,217 32,167 74,178 88,014 Accounting & Transfer Agent Fees ......................... 5 29 31 87 887 Custodian Fees ........................................ 1 — — —6,581 Shareholder Servicing Fees — Class R2 Shares ............. — — — 196 — Filing Fees ............................................ 32 151 104 229 620 Shareholders’ Reports ................................... 7 171 119 280 503 Directors’/Trustees’ Fees & Expenses ...................... 2 30 34 102 107 Professional Fees ...................................... 4 10 16 31 640 Other ................................................. 2 28 32 89 612 Total Expenses ..................................... 852 22,636 32,503 75,192 97,964 Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)..............(791) (4,443) (9,898) — — Institutional Class Shares .............................. — — —(14,757) — Class R2 Shares ..................................... — — —(78) — Fees Paid Indirectly (Note C)............................. — — — —(556) Net Expenses .......................................... 63 18,193 22,605 60,357 97,408 Net Investment Income (Loss)...........................5,406 90,681 120,203 342,874 351,450 Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies ..........................................2,164 — — — — Net Realized Gain (Loss) on: Investment Securities Sold**............................(989) (105,635) 141,742 (77,435) (342,991) Futures .............................................1,760 5,655 4,016 11,373 30,116 Foreign Currency Transactions .......................... — 955 338 3,728 (539) Forward Currency Contracts ............................ 371 — — — — Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ............... —506,131 394,050 1,954,176 2,038,618 Affiliated Investment Companies Shares ..................6,150 — — — — Futures .............................................(1,100) (263) 286 (391) (3,447) Translation of Foreign Currency Denominated Amounts ..... — 204 579 46 726 Forward Currency Contracts ............................ 541 — — — — Net Realized and Unrealized Gain (Loss).................8,897 407,047 541,011 1,891,497 1,722,483 Net Increase (Decrease) in Net Assets Resulting from Operations ...........................................$14,303 $ 497,728 $661,214 $2,234,371 $2,073,933 * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company). ** Net of foreign capital gain taxes withheld of $0, $0, $68, $144 and $53, respectively. See accompanying Notes to Financial Statements. 128 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) Enhanced U.S. Large Company Portfolio U.S. Large Cap Equity Portfolio U.S. Large Cap Value Portfolio Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............ $1,670 $ 1,130 $ 15,047 $ 9,255 $ 363,236 $ 317,704 Net Realized Gain (Loss) on: Investment Securities Sold*.............(59) 4,580 (9,470) (1,560) 447,750 681,400 Futures .............................7,848 15,372 — (12) 17,635 (35) Foreign Currency Transactions .......... — 629 — — — — In-Kind Redemptions .................. — — —10,024 — — Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency .......................... 118 (4,379) 22,964 (4,105) (11,625) (815,432) Futures .............................(557) (6,271) — — (3,292) 4 Translation of Foreign Currency Denominated Amounts ............... —(191) — — — — Net Increase (Decrease) in Net Assets Resulting from Operations ..........9,020 10,870 28,541 13,602 813,704 183,641 Distributions From: Net Investment Income: Institutional Class Shares ..............(1,417) (799) (14,431) (8,112) (357,227) (302,945) Net Short-Term Gains: Institutional Class Shares ..............(3,529) (10,591) — (285) — — Net Long-Term Gains: Institutional Class Shares ..............(9,801) (16,610) — (266) (643,970) (86,223) Total Distributions ...................(14,747) (28,000) (14,431) (8,663) (1,001,197) (389,168) Capital Share Transactions (1): Shares Issued ..........................73,655 39,673 301,960 595,263 4,078,939 3,716,590 Shares Issued in Lieu of Cash Distributions .........................13,002 24,405 14,259 8,492 935,970 359,045 Shares Redeemed ......................(46,158) (60,026) (178,150) (184,505) (2,962,098) (3,209,154) Net Increase (Decrease) from Capital Share Transactions ................40,499 4,052 138,069 419,250 2,052,811 866,481 Total Increase (Decrease) in Net Assets ..........................34,772 (13,078) 152,179 424,189 1,865,318 660,954 Net Assets Beginning of Period .....................203,641 216,719 699,144 274,955 15,807,935 15,146,981 End of Period ..........................$238,413 $203,641 $ 851,323 $ 699,144 $17,673,253 $15,807,935 (1) Shares Issued and Redeemed: Shares Issued ..........................6,113 3,122 24,003 46,215 131,035 110,785 Shares Issued in Lieu of Cash Distributions .........................1,111 2,085 1,116 675 29,906 10,996 Shares Redeemed ......................(3,945) (4,848) (14,319) (14,242) (94,466) (95,477) Net Increase (Decrease) from Shares Issued and Redeemed .............3,279 359 10,800 32,648 66,475 26,304 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)..............................$ 201 $ 48 $ 1,887 $ 1,341 $ 18,983 $ 29,922 See page 1 for the Definitions of Abbreviations and Footnotes. * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 129 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) U.S. Targeted Value Portfolio U.S. Small Cap Value Portfolio U.S. Core Equity 1 Portfolio Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)...............$93,044 $ 81,463 $ 122,969 $ 140,359 $ 261,444 $ 209,655 Net Realized Gain (Loss) on: Investment Securities Sold*...............310,791 315,026 533,632 522,294 71,932 164,919 Futures ................................6,695 (296) 42,945 (2,510) 14,545 — In-Kind Redemptions .................... — — —12,630 — 48,790 Change in Unrealized Appreciation (Depreciation) of: Investment Securities ....................(32,158) (527,329) (45,822) (1,025,518) 193,308 (56,468) Futures ................................(2,039) — (3,946) — (3,224) — Net Increase (Decrease) in Net Assets ResultingfromOperations .............376,333 (131,136) 649,778 (352,745) 538,005 366,896 Distributions From: Net Investment Income: Class R1 Shares ........................(462) (374)———— Class R2 Shares ........................(1,837) (1,058)———— Institutional Class Shares .................(92,387) (74,793) (122,993) (130,190) (253,050) (200,298) Net Short-Term Gains: Class R1 Shares ........................(54) (49)———— Class R2 Shares ........................(202) (144)———— Institutional Class Shares .................(9,668) (9,156)———— Net Long-Term Gains: Class R1 Shares ........................(1,571) (1,235)———— Class R2 Shares ........................(5,836) (3,653)———— Institutional Class Shares .................(279,118) (233,022) (487,348) (427,115) (160,152) (49,469) Total Distributions .....................(391,135) (323,484) (610,341) (557,305) (413,202) (249,767) Capital Share Transactions (1): Shares Issued ............................1,989,566 2,861,668 2,855,521 2,562,626 3,836,889 4,137,187 Shares Issued in Lieu of Cash Distributions ....363,680 306,474 547,459 501,839 394,137 236,854 Shares Redeemed ........................(1,433,622) (1,140,962) (2,509,494) (1,986,459) (2,671,444) (1,996,226) Net Increase (Decrease) from Capital Share Transactions ..................919,624 2,027,180 893,486 1,078,006 1,559,582 2,377,815 Total Increase (Decrease) in Net Assets . . . 904,822 1,572,560 932,923 167,956 1,684,385 2,494,944 Net Assets Beginning of Year .........................7,163,467 5,590,907 11,680,262 11,512,306 13,275,774 10,780,830 End of Year ..............................$8,068,289 $ 7,163,467 $12,613,185 $11,680,262 $14,960,159 $13,275,774 (1) Shares Issued and Redeemed: Shares Issued ............................99,453 127,780 94,286 73,971 221,794 230,659 Shares Issued in Lieu of Cash Distributions ....18,127 14,559 17,740 15,227 22,712 13,516 Shares Redeemed ........................(70,370) (51,364) (79,957) (57,511) (154,875) (111,260) Net Increase (Decrease) from Shares Issued and Redeemed ...............47,210 90,975 32,069 31,688 89,631 132,915 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).................................$ 1,417 $ 8,044 $ (1,771) $ 6,188 $ 33,644 $ 21,625 * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 130 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) U.S. Core Equity 2 Portfolio U.S. Vector Equity Portfolio U.S. Small Cap Portfolio Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).... $293,351 $ 239,037 $ 59,961 $ 54,509 $ 135,557 $ 112,326 Net Realized Gain (Loss) on: Investment Securities Sold*....110,911 305,920 103,375 127,309 362,082 532,485 Futures ....................16,424 1,793 3,911 (811) 18,220 — In-Kind Redemptions ......... — — — — —28,254 Change in Unrealized Appreciation (Depreciation) of: Investment Securities .........180,375 (307,072) (37,035) (193,154) 11,454 (457,527) Futures ....................(3,630) — (835) — (4,290) — Net Increase (Decrease) in Net Assets Resulting from Operations ..............597,431 239,678 129,377 (12,147) 523,023 215,538 Distributions From: Net Investment Income: Institutional Class Shares ......(281,321) (228,075) (59,624) (51,799) (133,998) (105,110) Net Short-Term Gains: Institutional Class Shares ...... — — — —(1,951) — Net Long-Term Gains: Institutional Class Shares ......(296,061) (89,857) (119,588) (109,045) (503,176) (268,312) Total Distributions ..........(577,382) (317,932) (179,212) (160,844) (639,125) (373,422) Capital Share Transactions (1): Shares Issued .................3,614,827 4,082,819 802,042 848,464 3,878,897 2,815,856 Shares Issued in Lieu of Cash Distributions ................569,820 313,194 177,958 159,804 601,644 351,264 Shares Redeemed .............(2,554,214) (2,036,371) (759,047) (685,067) (2,003,782) (1,640,410) Net Increase (Decrease) from Capital Share Transactions ............1,630,433 2,359,642 220,953 323,201 2,476,759 1,526,710 Total Increase (Decrease) in Net Assets ..............1,650,482 2,281,388 171,118 150,210 2,360,657 1,368,826 Net Assets Beginning of Year ..............15,200,564 12,919,176 3,651,529 3,501,319 10,616,542 9,247,716 End of Year ...................$16,851,046 $15,200,564 $3,822,647 $3,651,529 $12,977,199 $10,616,542 (1) Shares Issued and Redeemed: Shares Issued .................220,326 234,298 53,015 51,015 133,904 90,041 Shares Issued in Lieu of Cash Distributions ................34,541 18,413 11,617 10,033 20,883 11,800 Shares Redeemed .............(155,064) (116,908) (49,773) (41,495) (68,437) (52,277) Net Increase (Decrease) from Shares Issued and Redeemed ..............99,803 135,803 14,859 19,553 86,350 49,563 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).....$ 26,714 $ 25,434 $ 150 $ 4,454 $ 2,738 $ 7,767 * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 131 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) U.S. Micro Cap Portfolio DFA Real Estate Securities Portfolio Large Cap International Portfolio Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)........... $43,562 $ 41,868 $ 221,443 $ 187,615 $ 95,056 $ 86,418 Net Realized Gain (Loss) on: Investment Securities Sold*...........265,995 283,555 90,717 119,527 40,972 (50,887) Futures ............................4,507 (2,258) 6,786 — 2,587 769 Foreign Currency Transactions ........ — — — —(670) (528) Forward Currency Contracts .......... — — — — (1) — In-Kind Redemptions ................. —12,861 — 258,319 — 33,199 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency .........................(93,832) (281,159) 133,266 (219,248) (163,381) (155,643) Futures ............................(1,662) — (1,518) — (870) — Translation of Foreign Currency Denominated Amounts ............. — — — —(284) 142 Net Increase (Decrease) in Net Assets Resulting from Operations ........218,570 54,867 450,694 346,213 (26,591) (86,530) Distributions From: Net Investment Income: Institutional Class Shares .............(43,417) (39,933) (199,996) (220,092) (92,122) (85,101) Net Long-Term Gains: Institutional Class Shares .............(267,818) (278,652) — — — — Total Distributions .................(311,235) (318,585) (199,996) (220,092) (92,122) (85,101) Capital Share Transactions (1): Shares Issued ........................728,237 657,708 1,324,786 1,268,079 1,137,696 1,019,845 Shares Issued in Lieu of Cash Distributions ........................288,388 296,069 180,508 216,090 81,307 76,483 Shares Redeemed ....................(802,728) (711,995) (1,049,004) (1,664,857) (722,849) (902,210) Net Increase (Decrease) from Capital Share Transactions ..............213,897 241,782 456,290 (180,688) 496,154 194,118 Total Increase (Decrease) in Net Assets .........................121,232 (21,936) 706,988 (54,567) 377,441 22,487 Net Assets Beginning of Year .....................5,007,091 5,029,027 6,553,192 6,607,759 3,150,334 3,127,847 End of Year ..........................$5,128,323 $5,007,091 $ 7,260,180 $ 6,553,192 $3,527,775 $3,150,334 (1) Shares Issued and Redeemed: Shares Issued ........................41,740 33,975 38,318 38,538 59,417 48,288 Shares Issued in Lieu of Cash Distributions ........................16,256 16,153 5,269 6,758 4,282 3,639 Shares Redeemed ....................(45,482) (36,869) (30,405) (51,930) (37,696) (42,081) Net Increase (Decrease) from Shares Issued and Redeemed ...........12,514 13,259 13,182 (6,634) 26,003 9,846 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)..................$ 1,818 $ 2,845 $ 39,022 $ (120) $ 11,729 $ 8,542 * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 132 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) International Core Equity Portfolio International Small Company Portfolio Japanese Small Company Portfolio Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).......... $431,691 $ 354,330 $ 238,233 $ 208,124 $ 7,013 $ 6,024 Net Realized Gain (Loss) on: Investment Securities Sold*..........(84,212) 4,776 261,664 376,613 20,065 12,888 Futures ...........................19,275 — 17,796 (4,583) — — Foreign Currency Transactions ........(72) (2,904) 673 (2,876) 326 (355) Forward Currency Contracts .......... (3) — — — — — In-Kind Redemptions ................ —163,544 — — — — Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ........................(7,083) (679,030) 13,423 (293,604) 33,546 20,984 Futures ...........................(2,948) — (2,771) (22) — — Translation of Foreign Currency Denominated Amounts ............(1,251) 330 (814) 344 (100) 68 Net Increase (Decrease) in Net Assets Resulting from Operations .....................355,397 (158,954) 528,204 283,996 60,850 39,609 Distributions From: Net Investment Income: Institutional Class Shares ............(387,589) (367,607) (283,791) (208,535) (6,534) (7,758) Net Short-Term Gains: Institutional Class Shares ............ — — —(27,069) — — Net Long-Term Gains: Institutional Class Shares ............ — —(207,859) (250,320) — — Total Distributions .................(387,589) (367,607) (491,650) (485,924) (6,534) (7,758) Capital Share Transactions (1): Shares Issued .......................5,576,571 5,383,645 2,126,348 1,961,417 50,775 20,159 Shares Issued in Lieu of Cash Distributions .......................367,352 349,000 473,837 472,853 6,058 7,251 Shares Redeemed ....................(3,349,288) (3,080,058) (1,572,870) (1,753,367) (65,733) (103,454) Net Increase (Decrease) from Capital Share Transactions .............2,594,635 2,652,587 1,027,315 680,903 (8,900) (76,044) Total Increase (Decrease) in Net Assets ........................2,562,443 2,126,026 1,063,869 478,975 45,416 (44,193) Net Assets Beginning of Year ....................14,420,568 12,294,542 9,323,492 8,844,517 463,997 508,190 End of Year ..........................$16,983,011 $14,420,568 $10,387,361 $ 9,323,492 $509,413 $ 463,997 (1) Shares Issued and Redeemed: Shares Issued .......................500,176 449,331 124,163 110,551 2,413 1,017 Shares Issued in Lieu of Cash Distributions .......................33,144 29,177 27,874 28,178 298 406 Shares Redeemed ....................(300,515) (256,979) (92,160) (99,058) (3,255) (5,278) Net Increase (Decrease) from Shares Issued and Redeemed ...........232,805 221,528 59,877 39,671 (544) (3,855) Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)..................$ 49,229 $ 17,301 $ (18,870) $ 34,648 $ 2,402 $ 1,497 * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 133 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) Asia Pacific Small Company Portfolio United Kingdom Small Company Portfolio Continental Small Company Portfolio Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............. $8,007 $ 9,355 $ 1,302 $ 1,058 $ 6,325 $ 4,880 Net Realized Gain (Loss) on: Investment Securities Sold*.............(4,191) (2,042) 2,090 2,661 6,536 7,314 Futures .............................. — — — — 50 (267) Foreign Currency Transactions .......... 49 (202) (25) 3 (31) (64) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ...........................30,333 (43,082) (8,433) (569) 5,988 7,186 Futures .............................. — — — — 2 3 Translation of Foreign Currency Denominated Amounts ...............4 (3) (2) 1 (3) (4) Net Increase (Decrease) in Net Assets Resulting from Operations ...........34,202 (35,974) (5,068) 3,154 18,867 19,048 Distributions From: Net Investment Income: Institutional Class Shares ...............(7,760) (16,487) (1,389) (1,011) (6,377) (4,771) Net Short-Term Gains: Institutional Class Shares ............... — — —(57) — — Net Long-Term Gains: Institutional Class Shares ............... — —(1,632) (2,151) — — Total Distributions ...................(7,760) (16,487) (3,021) (3,219) (6,377) (4,771) Capital Share Transactions (1): Shares Issued ..........................30,200 13,081 12,964 4,028 68,569 112,313 Shares Issued in Lieu of Cash Distributions . . 6,990 15,524 2,476 2,521 4,981 4,167 Shares Redeemed .......................(12,327) (139,991) (10,665) (5,897) (71,947) (21,694) Net Increase (Decrease) from Capital Share Transactions ................24,863 (111,386) 4,775 652 1,603 94,786 Total Increase (Decrease) in Net Assets ...........................51,305 (163,847) (3,314) 587 14,093 109,063 Net Assets Beginning of Year .......................200,270 364,117 35,637 35,050 278,024 168,961 End of Year ............................$251,575 $ 200,270 $ 32,323 $35,637 $292,117 $278,024 (1) Shares Issued and Redeemed: Shares Issued ..........................1,570 643 473 117 3,363 5,532 Shares Issued in Lieu of Cash Distributions . . 387 792 78 78 249 199 Shares Redeemed .......................(637) (6,841) (367) (167) (3,414) (1,061) Net Increase (Decrease) from Shares Issued and Redeemed ..............1,320 (5,406) 184 28 198 4,670 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...............................$ 511 $ 83 $ 199 $ 207 $ 227 $ 248 * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 134 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) DFA International Real Estate Securities Portfolio DFA Global Real Estate Securities Portfolio DFA International Small Cap Value Portfolio Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).... $143,130 $ 119,980 $ 110,990 $ 154,237 $ 294,075 $ 239,388 Net Realized Gain (Loss) on: Investment Securities Sold*.....(1,596) (17,379) 14,561 (188) 414,975 203,049 Affiliated Investment Companies Shares Sold ................ — — —(1,351) — — Futures .....................4,432 — 757 — 29,217 (5,555) Foreign Currency Transactions ............... 540 (1,791) 7 — 7,305 (4,926) Forward Currency Contracts .... 48 — — — 27 — In-Kind Redemptions ..........————29,398 193,547 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ...........(118,705) (116,739) 61,152 (43,036) (242,603) (244,703) Affiliated Investment Companies Shares .................... — — —(78,977) — — Futures .....................(304) — — — (3,458) — Translation of Foreign Currency Denominated Amounts .......(367) 284 — — (1,796) 1,015 Net Increase (Decrease) in Net Assets Resulting from Operations ...............27,178 (15,645) 187,467 117,133 527,140 381,815 Distributions From: Net Investment Income: Institutional Class Shares ......(60,576) (182,724) (97,767) (124,281) (381,199) (224,376) Net Long-Term Gains: Institutional Class Shares ......————(182,540) (207,080) Total Distributions ...........(60,576) (182,724) (97,767) (124,281) (563,739) (431,456) Capital Share Transactions (1): Shares Issued ..................1,062,437 886,775 1,524,272 1,347,820 2,066,905 2,629,814 Shares Issued in Lieu of Cash Distributions .................60,055 181,249 93,708 121,908 508,968 392,052 Shares Redeemed ..............(447,563) (417,939) (878,641) (708,136) (2,107,120) (2,079,421) Net Increase (Decrease) from Capital Share Transactions .............674,929 650,085 739,339 761,592 468,753 942,445 Total Increase (Decrease) in Net Assets ...............641,531 451,716 829,039 754,444 432,154 892,804 Net Assets Beginning of Year ...............3,540,092 3,088,376 4,059,916 3,305,472 12,577,575 11,684,771 End of Year ....................$4,181,623 $3,540,092 $4,888,955 $4,059,916 $13,009,729 $12,577,575 (1) Shares Issued and Redeemed: Shares Issued ..................201,532 166,717 139,784 127,842 113,522 135,446 Shares Issued in Lieu of Cash Distributions .................12,306 34,991 9,151 11,884 28,063 21,362 Shares Redeemed ..............(85,422) (79,211) (81,345) (67,340) (115,085) (107,415) Net Increase (Decrease) from Shares Issued and Redeemed ...............128,416 122,497 67,590 72,386 26,500 49,393 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)......$ (148,335) $ (221,598) $ 61,223 $ 50,527 $ (39,951) $ 44,763 * Net of foreign capital gain taxes withheld of $92, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 135 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) International Vector Equity Portfolio World ex U.S. Value Portfolio World ex U.S. Targeted Value Portfolio Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................... $46,551 $ 37,987 $ 5,412 $ 3,484 $ 5,264 $ 3,960 Capital Gain Distributions Received from Affiliated Investment Companies ........................ — — 256 169 —1,932 Net Realized Gain (Loss) on: Investment Securities Sold*....................4,157 5,992 (2,948) — 6,843 (356) Affiliated Investment Companies Shares Sold ...... — — —1,061 — (13,958) Futures ..................................... 182 — 112 — —(347) Foreign Currency Transactions ................. 127 (490) 85 (65) 124 (169) Forward Currency Contracts ...................(44) — — — 8 — In-Kind Redemptions ......................... —10,623 — — — — Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ......16,206 (79,483) 7,285 (16,458) 5,177 8,649 Affiliated Investment Companies Shares ......... — — 148 — —(6,911) Futures ..................................... — —(19) — — — Translation of Foreign Currency Denominated Amounts ..................................(165) 54 (11) 7 (20) (2) Net Increase (Decrease) in Net Assets Resulting from Operations ..........................67,014 (25,317) 10,320 (11,802) 17,396 (7,202) Distributions From: Net Investment Income: Institutional Class Shares ......................(43,651) (36,861) (5,358) (3,283) (4,374) (3,896) Net Short-Term Gains: Institutional Class Shares ...................... —(1,236) — — — — Net Long-Term Gains: Institutional Class Shares ......................(5,716) (10,949) — — — (408) Total Distributions ..........................(49,367) (49,046) (5,358) (3,283) (4,374) (4,304) Capital Share Transactions (1): Shares Issued .................................688,513 757,055 47,689 65,656 164,346 204,717 Shares Issued in Lieu of Cash Distributions .........48,918 48,618 5,353 3,281 4,371 4,301 Shares Redeemed .............................(493,518) (441,949) (25,151) (12,502) (128,258) (120,877) Net Increase (Decrease) from Capital Share Transactions ............................243,913 363,724 27,891 56,435 40,459 88,141 TotalIncrease(Decrease)inNetAssets ........261,560 289,361 32,853 41,350 53,481 76,635 Net Assets Beginning of Period ............................1,594,914 1,305,553 155,301 113,951 227,731 151,096 End of Period ..................................$1,856,474 $1,594,914 $188,154 $155,301 $ 281,212 $ 227,731 (1) Shares Issued and Redeemed: Shares Issued .................................68,056 68,272 5,184 6,010 15,218 17,665 Shares Issued in Lieu of Cash Distributions .........4,797 4,463 562 303 392 377 Shares Redeemed .............................(48,877) (40,404) (2,605) (1,167) (12,154) (10,646) Net Increase (Decrease) from Shares Issued and Redeemed ..............................23,976 32,331 3,141 5,146 3,456 7,396 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)............$ 4,967 $ 3,889 $ 737 $ 517 $ 882 $ 10 See page 1 for the Definitions of Abbreviations and Footnotes. * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $1 and $0, respectively. See accompanying Notes to Financial Statements. 136 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) World ex U.S. Core Equity Portfolio World Core Equity Portfolio Selectively Hedged Global Equity Portfolio Emerging Markets Portfolio Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).......... $37,861 $ 19,993 $ 5,949 $ 2,788 $ 5,406 $ 3,745 $ 90,681 $ 82,136 Capital Gain Distributions Received from Affiliated Investment Companies ......— — 1,313 171 2,164 469 — — Net Realized Gain (Loss) on: Investment Securities Sold*..........(2,134) 534 (2,896) — (989) — (105,635) (98,317) Affiliated Investment Companies Shares Sold .....................— (9,894) — (905) — (251) — — Futures ...........................(629) 171 — — 1,760 (402) 5,655 2,417 Foreign Currency Transactions ....... 189 (238) — — — 3,159 955 (2,155) Forward Currency Contracts ......... — — — — 371 — — — Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency .......................47,901 (56,453) — — — — 506,131 (669,787) Affiliated Investment Companies Shares .........................— 2,100 9,340 (4,000) 6,150 (9,320) — — Futures ........................... — — — —(1,100) 701 (263) 4 Translation of Foreign Currency Denominated Amounts ............(103) (13) — — — (530) 204 (93) Forward Currency Contracts ......... — — — — 541 — — — Net Increase (Decrease) in Net Assets Resulting from Operations ....................83,085 (43,800) 13,706 (1,946) 14,303 (2,429) 497,728 (685,795) Distributions From: Net Investment Income: Institutional Class Shares ............(36,005) (15,824) (5,800) (2,667) (6,333) (4,603) (89,527) (73,891) Net Short-Term Gains: Institutional Class Shares ............ — — —(12) (115) (365) — — Net Long-Term Gains: Institutional Class Shares ............ — —(132) (232) (620) (1,915) — — Total Distributions ................(36,005) (15,824) (5,932) (2,911) (7,068) (6,883) (89,527) (73,891) Capital Share Transactions (1): Shares Issued .......................729,178 946,814 189,580 143,661 77,521 130,229 1,428,054 2,348,904 Shares Issued in Lieu of Cash Distributions .......................34,930 15,654 5,702 2,860 7,066 6,883 83,981 68,708 Shares Redeemed ...................(325,571) (138,664) (35,482) (14,716) (47,024) (29,970) (1,326,366) (1,410,094) Net Increase (Decrease) from Capital Share Transactions .............438,537 823,804 159,800 131,805 37,563 107,142 185,669 1,007,518 Total Increase (Decrease) in Net Assets .......................485,617 764,180 167,574 126,948 44,798 97,830 593,870 247,832 Net Assets Beginning of Period ..................1,170,828 406,648 202,655 75,707 245,106 147,276 4,321,530 4,073,698 End of Period .......................$1,656,445 $1,170,828 $370,229 $202,655 $289,904 $245,106 $ 4,915,400 $ 4,321,530 (1) Shares Issued and Redeemed: Shares Issued .......................78,713 92,639 14,944 10,926 6,131 9,466 67,596 98,569 Shares Issued in Lieu of Cash Distributions .......................3,690 1,533 451 220 552 532 3,805 3,055 Shares Redeemed ...................(34,710) (13,850) (2,883) (1,167) (3,623) (2,213) (62,542) (59,625) Net Increase (Decrease) from Shares Issued and Redeemed . . .47,693 80,322 12,512 9,979 3,060 7,785 8,859 41,999 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)..................$ 4,174 $ 3,451 $ 205 $ 121 $ 4,245 $ 5,058 $ 3,519 $ 5,762 See page 1 for the Definitions of Abbreviations and Footnotes. * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 137 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) Emerging Markets Small Cap Portfolio Emerging Markets Value Portfolio Emerging Markets Core Equity Portfolio Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............... $120,203 $ 109,144 $ 342,874 $ 362,517 $ 351,450 $ 324,860 Net Realized Gain (Loss) on: Investment Securities Sold*................ 141,742 46,152 (77,435) (409,296) (342,991) (327,586) Futures ................................4,016 — 11,373 — 30,116 — Foreign Currency Transactions ............. 338 (4,493) 3,728 (7,810) (539) (8,472) In-Kind Redemptions ..................... — — — — —29,647 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency .............................394,050 (681,504) 1,954,176 (3,279,764) 2,038,618 (2,517,402) Futures ................................ 286 —(391) — (3,447) — Translation of Foreign Currency Denominated Amounts ............................. 579 (237) 46 107 726 (300) Net Increase (Decrease) in Net Assets Resulting from Operations ............. 661,214 (530,938) 2,234,371 (3,334,246) 2,073,933 (2,499,253) Distributions From: Net Investment Income: Class R2 Shares ......................... — —(2,365) (1,822) — — Institutional Class Shares .................(124,387) (99,603) (436,707) (349,391) (349,434) (304,141) Net Short-Term Gains: Institutional Class Shares ................. —(3,364) — — — — Net Long-Term Gains: Institutional Class Shares .................(36,697) (88,636) — — — — Total Distributions ......................(161,084) (191,603) (439,072) (351,213) (349,434) (304,141) Capital Share Transactions (1): Shares Issued ............................. 913,984 1,309,981 2,821,337 3,635,785 6,091,963 6,175,578 Shares Issued in Lieu of Cash Distributions ....151,141 180,085 416,149 332,144 328,562 282,610 Shares Redeemed .........................(950,920) (782,954) (3,539,505) (4,119,848) (4,288,936) (4,525,463) Net Increase (Decrease) from Capital Share Transactions ........................ 114,205 707,112 (302,019) (151,919) 2,131,589 1,932,725 Total Increase (Decrease) in Net Assets . . . 614,335 (15,429) 1,493,280 (3,837,378) 3,856,088 (870,669) Net Assets Beginning of Year ..........................4,845,174 4,860,603 14,908,964 18,746,342 14,856,878 15,727,547 End of Year ...............................$5,459,509 $4,845,174 $16,402,244 $14,908,964 $18,712,966 $14,856,878 (1) Shares Issued and Redeemed: Shares Issued .............................49,652 65,569 133,176 147,429 379,414 339,318 Shares Issued in Lieu of Cash Distributions ....8,492 9,583 19,311 14,339 19,496 16,465 Shares Redeemed .........................(52,089) (40,423) (163,363) (164,669) (265,600) (255,411) Net Increase (Decrease) from Shares Issued and Redeemed ................6,055 34,729 (10,876) (2,901) 133,310 100,372 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).................................$ 12,479 $ 14,068 $ (49,300) $ 24,502 $ 11,774 $ 17,752 * Net of foreign capital gain taxes withheld of $68, $0, $144, $0, $53 and $0, respectively. See accompanying Notes to Financial Statements. 138 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)Enhanced U.S. Large Company PortfolioU.S. Large Cap Equity PortfolioYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014PeriodJune 25,2013(a) toOct. 31,2013NetAssetValue,BeginningofPeriod .............................................. $ 12.54 $ 13.65 $ 11.70 $ 9.29 $ 8.15 $ 12.86 $ 12.65 $ 11.07 $ 10.00Income from Investment OperationsNetInvestmentIncome(Loss)(A) ............................................... 0.10 0.07 0.07 0.07 0.07 0.25 0.23 0.21 0.06NetGains(Losses)onSecurities(RealizedandUnrealized) ........................... 0.45 0.53 1.94 2.42 1.20 0.19 0.21 1.57 1.04TotalfromInvestmentOperations ............................................. 0.55 0.60 2.01 2.49 1.27 0.44 0.44 1.78 1.10Less DistributionsNetInvestmentIncome ....................................................... (0.08) (0.05) (0.06) (0.08) (0.13) (0.24) (0.21) (0.20) (0.03)NetRealizedGains .......................................................... (0.79) (1.66)————(0.02)——TotalDistributions ......................................................... (0.87) (1.71) (0.06) (0.08) (0.13) (0.24) (0.23) (0.20) (0.03)NetAssetValue,EndofPeriod ...................................................$ 12.22$ 12.54$ 13.65$ 11.70$9.29$ 13.06$ 12.86$ 12.65$ 11.07TotalReturn ................................................................. 4.75% 5.25% 17.18% 26.99% 15.84% 3.51% 3.49% 16.19% 11.01%(D)Net Assets, End of Period (thousands).............................................$238,413 $203,641 $216,719 $212,840 $190,011 $851,323 $699,144 $274,955 $135,407Ratio of Expenses to Average Net Assets........................................... 0.23% 0.24% 0.23% 0.24% 0.25% 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)............ 0.24% 0.24% 0.23% 0.24% 0.25% 0.17% 0.19% 0.20% 0.25%(C)(E)RatioofNetInvestmentIncometoAverageNetAssets................................. 0.80% 0.53% 0.55% 0.63% 0.80% 1.99% 1.77% 1.75% 1.58%(C)(E)PortfolioTurnoverRate .........................................................119% 223% 202% 139% 76% 12% 12% 1% 0%(D)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)U.S. Large Cap Value PortfolioYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012NetAssetValue,BeginningofPeriod ................................................................................ $ 33.27 $ 33.75 $ 29.72 $ 22.34 $ 19.29Income from Investment OperationsNetInvestmentIncome(Loss)(A)................................................................................. 0.70 0.69 0.56 0.47 0.41NetGains(Losses)onSecurities(RealizedandUnrealized)............................................................. 0.71 (0.32) 4.02 7.38 3.04TotalfromInvestmentOperations ............................................................................... 1.41 0.37 4.58 7.85 3.45Less DistributionsNetInvestmentIncome......................................................................................... (0.70) (0.66) (0.55) (0.47) (0.40)NetRealizedGains............................................................................................ (1.35) (0.19) — — —TotalDistributions ........................................................................................... (2.05) (0.85) (0.55)(0.47) (0.40)NetAssetValue,EndofPeriod.....................................................................................$ 32.63$ 33.27$ 33.75$ 29.72$ 22.34TotalReturn ................................................................................................... 4.58% 1.16% 15.49% 35.52% 18.14%Net Assets, End of Period (thousands)...............................................................................$17,673,253 $15,807,935 $15,146,981 $11,963,072 $8,334,585Ratio of Expenses to Average Net Assets (B).......................................................................... 0.27% 0.27% 0.27% 0.27% 0.27%Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered byAdvisor)(B).................................................................................................. 0.37% 0.30% 0.27% 0.27% 0.27%RatioofNetInvestmentIncometoAverageNetAssets................................................................... 2.24% 2.04% 1.75% 1.82% 1.99%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 140 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)U.S. Targeted Value Portfolio-Class R1 SharesYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012NetAssetValue,BeginningofYear ..................................................................................................$ 21.58 $ 23.19 $ 22.63 $17.28 $ 15.32Income from Investment OperationsNetInvestmentIncome(Loss)(A) ................................................................................................. 0.24 0.26 0.18 0.27 0.15NetGains(Losses)onSecurities(RealizedandUnrealized) ............................................................................. 0.60 (0.61) 1.86 6.28 2.06TotalfromInvestmentOperations................................................................................................ 0.84 (0.35) 2.04 6.55 2.21Less DistributionsNetInvestmentIncome.......................................................................................................... (0.27) (0.25) (0.16) (0.22) (0.13)NetRealizedGains ............................................................................................................ (0.89) (1.01) (1.32) (0.98) (0.12)TotalDistributions............................................................................................................ (1.16) (1.26) (1.48) (1.20) (0.25)NetAssetValue,EndofYear.......................................................................................................$ 21.26$ 21.58$ 23.19$22.63$ 17.28TotalReturn ....................................................................................................................4.21% (1.33)% 9.47% 40.39% 14.67%Net Assets, End of Year (thousands).................................................................................................$35,661 $40,159 $16,971 $9,470 $49,423Ratio of Expenses to Average Net Assets.............................................................................................. 0.47% 0.47% 0.47% 0.47% 0.48%RatioofNetInvestmentIncometoAverageNetAssets ...................................................................................1.16% 1.15% 0.79% 1.42% 0.93%PortfolioTurnoverRate........................................................................................................... . 28% 15% 10% 16% 20%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 141 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)U.S. Targeted Value Portfolio-Class R2 SharesYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012NetAssetValue,BeginningofYear ............................................................................................... $ 21.51 $ 23.12 $ 22.57 $ 17.26 $ 15.31Income from Investment OperationsNetInvestmentIncome(Loss)(A)............................................................................................... 0.200.23 0.15 0.19 0.13NetGains(Losses)onSecurities(RealizedandUnrealized)........................................................................... 0.60 (0.61) 1.84 6.31 2.05TotalfromInvestmentOperations ............................................................................................. 0.80 (0.38) 1.99 6.50 2.18Less DistributionsNetInvestmentIncome....................................................................................................... (0.26) (0.22) (0.12) (0.21) (0.11)NetRealizedGains.......................................................................................................... (0.89) (1.01) (1.32) (0.98) (0.12)TotalDistributions ......................................................................................................... (1.15) (1.23) (1.44) (1.19) (0.23)NetAssetValue,EndofYear ....................................................................................................$ 21.16$ 21.51$ 23.12$ 22.57$ 17.26TotalReturn ................................................................................................................. 4.04% (1.49)% 9.30% 40.10% 14.46%Net Assets, End of Year (thousands)...............................................................................................$147,945 $135,412 $82,977 $23,305 $12,754Ratio of Expenses to Average Net Assets........................................................................................... 0.62% 0.63% 0.62% 0.62% 0.63%RatioofNetInvestmentIncometoAverageNetAssets................................................................................. 1.00% 1.02% 0.64% 0.95% 0.78%PortfolioTurnoverRate......................................................................................................... 28% 15% 10% 16% 20%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 142 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)U.S. Targeted Value Portfolio-Institutional Class SharesYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012NetAssetValue,BeginningofYear ..................................................................................... $ 21.56 $ 23.16 $22.60 $ 17.28 $ 15.32Income from Investment OperationsNetInvestmentIncome(Loss)(A)..................................................................................... 0.25 0.29 0.21 0.24 0.17NetGains(Losses)onSecurities(RealizedandUnrealized)................................................................. 0.60 (0.61) 1.85 6.31 2.06TotalfromInvestmentOperations................................................................................... 0.85 (0.32) 2.06 6.55 2.23Less DistributionsNetInvestmentIncome............................................................................................. (0.26) (0.27) (0.18) (0.25) (0.15)NetRealizedGains................................................................................................ (0.89) (1.01) (1.32) (0.98) (0.12)TotalDistributions............................................................................................... (1.15) (1.28) (1.50) (1.23) (0.27)NetAssetValue,EndofYear ..........................................................................................$ 21.26$ 21.56$ 23.16$ 22.60$ 17.28TotalReturn ....................................................................................................... 4.29% (1.20)% 9.58% 40.40% 14.78%Net Assets, End of Year (thousands).................................................................................... $7,884,683 $6,987,896 $5,490,959 $4,180,974 $2,989,632Ratio of Expenses to Average Net Assets................................................................................. 0.37% 0.37% 0.37% 0.37% 0.38%RatioofNetInvestmentIncometoAverageNetAssets ...................................................................... 1.24% 1.28% 0.90% 1.25% 1.03%PortfolioTurnoverRate............................................................................................... 28% 15% 10% 16% 20%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)U.S. Small Cap Value PortfolioYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012NetAssetValue,BeginningofYear .................................................................................. $ 33.08 $ 35.82 $ 34.48 $ 26.57 $ 23.50Income from Investment OperationsNetInvestmentIncome(Loss)(A).................................................................................. 0.32 0.41 0.23 0.39 0.20NetGains(Losses)onSecurities(RealizedandUnrealized).............................................................. 1.06 (1.44) 2.939.41 3.38TotalfromInvestmentOperations ................................................................................ 1.38 (1.03) 3.16 9.803.58Less DistributionsNetInvestmentIncome.......................................................................................... (0.33) (0.38) (0.22)(0.37) (0.18)NetRealizedGains............................................................................................. (1.38) (1.33) (1.60)(1.52) (0.33)TotalDistributions............................................................................................ (1.71) (1.71) (1.82) (1.89) (0.51)NetAssetValue,EndofYear .......................................................................................$ 32.75$ 33.08$ 35.82$ 34.48$ 26.57TotalReturn .................................................................................................... 4.49% (2.83)% 9.49% 39.35% 15.60%Net Assets, End of Year (thousands).................................................................................$12,613,185 $11,680,262 $11,512,306 $9,526,981 $7,088,470Ratio of Expenses to Average Net Assets.............................................................................. 0.52% 0.52% 0.52% 0.52% 0.52%RatioofNetInvestmentIncometoAverageNetAssets ................................................................... 1.01% 1.18% 0.66% 1.28% 0.78%PortfolioTurnoverRate............................................................................................ 19% 17% 9% 14% 15%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)U.S. Core Equity 1 PortfolioU.S. Core Equity 2 PortfolioYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012NetAssetValue,BeginningofYear................... $ 17.90 $ 17.71 $ 15.74 $ 12.11 $ 10.78 $ 17.26 $ 17.34 $ 15.62 $ 11.99 $ 10.61Income from Investment OperationsNetInvestmentIncome(Loss)(A).................. 0.33 0.31 0.27 0.25 0.21 0.31 0.30 0.26 0.24 0.20Net Gains (Losses) on Securities (Realized andUnrealized) ................................. 0.30 0.26 2.02 3.62 1.32 0.25 0.02 1.86 3.73 1.36TotalfromInvestmentOperations ................ 0.63 0.57 2.29 3.87 1.53 0.56 0.32 2.12 3.97 1.56Less DistributionsNetInvestmentIncome .......................... (0.32) (0.30) (0.25) (0.24) (0.20) (0.30) (0.28) (0.24) (0.24) (0.18)NetRealizedGains............................. (0.21) (0.08) (0.07) — — (0.33) (0.12) (0.16) (0.10) —TotalDistributions ............................ (0.53) (0.38) (0.32) (0.24) (0.20) (0.63) (0.40) (0.40) (0.34) (0.18)NetAssetValue,EndofYear .......................$ 18.00$ 17.90$ 17.71$ 15.74$ 12.11$ 17.19$ 17.26$ 17.34$ 15.62$ 11.99TotalReturn .................................... 3.68% 3.26% 14.72% 32.32% 14.29% 3.47% 1.92% 13.78% 33.66% 14.81%Net Assets, End of Year (thousands)..................$14,960,159 $13,275,774 $10,780,830 $7,566,179 $4,876,973 $16,851,046 $15,200,564 $12,919,176 $9,989,564 $6,923,984Ratio of Expenses to Average Net Assets.............. 0.19% 0.19% 0.19% 0.19% 0.19% 0.22% 0.22% 0.22% 0.22% 0.22%RatioofNetInvestmentIncometoAverageNetAssets.... 1.88% 1.71% 1.61% 1.79% 1.79% 1.87% 1.68% 1.55% 1.74% 1.74%PortfolioTurnoverRate ............................ 4% 4% 5% 1% 3% 4% 5% 6% 3% 5%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)U.S. Vector Equity PortfolioYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012NetAssetValue,BeginningofYear ..................................................................................... $ 16.22 $ 17.04 $15.62 $ 11.61 $ 10.28Income from Investment OperationsNetInvestmentIncome(Loss)(A)..................................................................................... 0.25 0.25 0.21 0.20 0.16NetGains(Losses)onSecurities(RealizedandUnrealized)................................................................. 0.24 (0.30) 1.62 4.03 1.32TotalfromInvestmentOperations................................................................................... 0.49 (0.05) 1.83 4.23 1.48Less DistributionsNetInvestmentIncome............................................................................................. (0.25) (0.24) (0.19) (0.20) (0.15)NetRealizedGains................................................................................................ (0.53) (0.53) (0.22) (0.02) —TotalDistributions............................................................................................... (0.78) (0.77) (0.41) (0.22) (0.15)NetAssetValue,EndofYear ..........................................................................................$ 15.93$ 16.22$ 17.04$ 15.62$ 11.61TotalReturn ....................................................................................................... 3.28% (0.18)% 11.91% 36.80% 14.55%Net Assets, End of Year (thousands).................................................................................... $3,822,647 $3,651,529 $3,501,319 $2,893,842 $2,009,177Ratio of Expenses to Average Net Assets................................................................................. 0.32% 0.32% 0.32% 0.32% 0.32%RatioofNetInvestmentIncometoAverageNetAssets ...................................................................... 1.64% 1.50% 1.26% 1.50% 1.45%PortfolioTurnoverRate............................................................................................... 10% 10% 10% 3%9%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)U.S. Small Cap PortfolioU.S. Micro Cap PortfolioYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012NetAssetValue,BeginningofYear...................... $ 30.84 $ 31.38 $ 30.03 $ 23.11 $ 20.55 $ 19.00 $ 20.10 $ 19.64 $ 14.84 $ 13.24Income from Investment OperationsNetInvestmentIncome(Loss)(A) ..................... 0.34 0.35 0.26 0.35 0.25 0.16 0.16 0.14 0.19 0.14Net Gains (Losses) on Securities (Realized andUnrealized) .................................... 0.77 0.33 2.27 8.13 2.53 0.60 0.02 1.35 5.57 1.59TotalfromInvestmentOperations ................... 1.11 0.68 2.53 8.48 2.78 0.76 0.18 1.49 5.76 1.73Less DistributionsNetInvestmentIncome ............................. (0.35) (0.33) (0.24) (0.36) (0.22) (0.16) (0.16) (0.13) (0.20) (0.13)NetRealizedGains ................................ (1.46) (0.89) (0.94) (1.20) — (1.02) (1.12) (0.90) (0.76) —TotalDistributions ............................... (1.81) (1.22) (1.18) (1.56) (0.22) (1.18) (1.28) (1.03) (0.96) (0.13)NetAssetValue,EndofYear ..........................$ 30.14$ 30.84$ 31.38$ 30.03$ 23.11$ 18.58$ 19.00$ 20.10$ 19.64$ 14.84TotalReturn ....................................... 3.89% 2.34% 8.67% 39.03% 13.61% 4.32% 1.11% 7.88% 41.34% 13.13%Net Assets, End of Year (thousands).....................$12,977,199 $10,616,542 $9,247,716 $7,446,827 $4,563,345 $5,128,323 $5,007,091 $5,029,027 $4,695,831 $3,437,958Ratio of Expenses to Average Net Assets................. 0.37% 0.37% 0.37% 0.37% 0.37% 0.52% 0.52% 0.52% 0.52% 0.52%RatioofNetInvestmentIncometoAverageNetAssets....... 1.16% 1.10% 0.86% 1.33% 1.14% 0.88% 0.82% 0.69% 1.16% 0.99%PortfolioTurnoverRate ............................... 10% 11% 9% 10% 16% 15% 14% 12% 11% 15%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)DFA Real Estate Securities PortfolioLarge Cap International PortfolioYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012NetAssetValue,BeginningofYear........................ $ 33.04 $ 32.24 $ 27.77 $ 25.83 $ 23.25 $ 20.36 $ 21.59 $ 22.20 $ 18.33 $ 17.91Income from Investment OperationsNetInvestmentIncome(Loss)(A) ....................... 1.09 0.90 0.72 0.67 0.57 0.57 0.58 0.75 0.58 0.60Net Gains (Losses) on Securities (Realized and Unrealized) . . . 1.18 0.95 4.62 1.95 2.74 (0.86) (1.24) (0.62) 3.90 0.40TotalfromInvestmentOperations ..................... 2.27 1.85 5.34 2.62 3.31 (0.29) (0.66) 0.13 4.48 1.00Less DistributionsNetInvestmentIncome ............................... (0.99) (1.05) (0.87) (0.68) (0.73) (0.55) (0.57) (0.74) (0.61) (0.58)TotalDistributions ................................. (0.99) (1.05) (0.87) (0.68) (0.73) (0.55) (0.57) (0.74) (0.61) (0.58)NetAssetValue,EndofYear ............................$ 34.32$ 33.04$ 32.24$ 27.77$ 25.83$ 19.52$ 20.36$ 21.59$ 22.20$ 18.33TotalReturn ......................................... 6.89% 5.89% 19.80% 10.28% 14.45% (1.30)% (3.10)% 0.47% 24.85% 5.89%Net Assets, End of Year (thousands)....................... $7,260,180 $6,553,192 $6,607,759 $4,677,418 $3,716,389 $3,527,775 $3,150,334 $3,127,847 $2,755,114 $2,055,759Ratio of Expenses to Average Net Assets................... 0.18% 0.18% 0.18% 0.18% 0.22% 0.28% 0.29% 0.28% 0.29% 0.30%Ratio of Expenses to Average Net Assets (Excluding Fees(Waived), (Expenses Reimbursed), and/or Previously WaivedFeesRecoveredbyAdvisorandFeesPaidIndirectly)........ 0.19% 0.19% 0.19% 0.19% 0.23% 0.28% 0.29% 0.28% 0.29% 0.30%RatioofNetInvestmentIncometoAverageNetAssets......... 3.15% 2.75% 2.48% 2.42% 2.29% 2.95% 2.71% 3.35% 2.90% 3.38%PortfolioTurnoverRate ................................. 3% 4% 0% 1% 0% 10% 10% 4% 5% 4%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)International Core Equity PortfolioYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012NetAssetValue,BeginningofYear .................................................................................. $ 11.69 $ 12.15 $ 12.57 $ 10.10 $ 9.89Income from Investment OperationsNetInvestmentIncome(Loss)(A).................................................................................. 0.32 0.32 0.38 0.31 0.31NetGains(Losses)onSecurities(RealizedandUnrealized).............................................................. (0.15) (0.45) (0.43) 2.47 0.20TotalfromInvestmentOperations ................................................................................ 0.17 (0.13) (0.05) 2.78 0.51Less DistributionsNetInvestmentIncome.......................................................................................... (0.28) (0.33) (0.37)(0.31) (0.30)TotalDistributions............................................................................................ (0.28) (0.33) (0.37) (0.31) (0.30)NetAssetValue,EndofYear .......................................................................................$ 11.58$ 11.69$ 12.15$ 12.57$ 10.10TotalReturn .................................................................................................... 1.62% (1.10)% (0.55)% 27.98% 5.49%Net Assets, End of Year (thousands).................................................................................$16,983,011 $14,420,568 $12,294,542 $9,508,466 $6,482,738Ratio of Expenses to Average Net Assets.............................................................................. 0.38% 0.38% 0.38% 0.39% 0.40%Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered byAdvisorandFeesPaidIndirectly) .................................................................................. 0.38% 0.38% 0.38% 0.39% 0.40%RatioofNetInvestmentIncometoAverageNetAssets ................................................................... 2.83% 2.63% 3.01% 2.80% 3.18%PortfolioTurnoverRate............................................................................................ 2% 4% 7% 3% 5%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 149 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)International Small Company PortfolioJapanese Small Company PortfolioYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012NetAssetValue,BeginningofYear ............................... $ 17.78 $ 18.24 $ 19.40 $ 15.28 $ 15.21 $ 20.46 $ 19.15 $ 19.33 $ 14.99 $ 15.24Income from Investment OperationsNetInvestmentIncome(Loss)(A) .............................. 0.43 0.41 0.42 0.42 0.38 0.32 0.25 0.24 0.26 0.29NetGains(Losses)onSecurities(RealizedandUnrealized) .......... 0.48 0.12 (0.62) 4.16 0.39 2.51 1.36 0.13 4.21 (0.26)TotalfromInvestmentOperations............................. 0.91 0.53 (0.20) 4.58 0.77 2.83 1.61 0.37 4.47 0.03Less DistributionsNetInvestmentIncome....................................... (0.51) (0.42) (0.42) (0.37) (0.42) (0.28) (0.30) (0.55) (0.13) (0.28)NetRealizedGains ......................................... (0.40) (0.57) (0.54) (0.09) (0.28)—————TotalDistributions......................................... (0.91) (0.99) (0.96) (0.46) (0.70) (0.28) (0.30) (0.55) (0.13) (0.28)NetAssetValue,EndofYear....................................$ 17.78$ 17.78$ 18.24$ 19.40$ 15.28$ 23.01$ 20.46$ 19.15$ 19.33$ 14.99TotalReturn................................................. 5.43% 3.30% (1.09)% 30.66% 5.63% 14.04% 8.62% 2.00% 30.06% 0.20%Net Assets, End of Year (thousands)..............................$10,387,361 $9,323,492 $8,844,517 $8,520,717 $6,423,160 $509,413 $463,997 $508,190 $414,132 $293,968Ratio of Expenses to Average Net Assets (B)........................ 0.53% 0.54% 0.53% 0.54% 0.56% 0.54% 0.54% 0.55% 0.56% 0.57%Ratio of Expenses to Average Net Assets (Excluding Fees (Waived),(Expenses Reimbursed), and/or Previously Waived Fees Recovered byAdvisor)(B) ............................................... 0.53% 0.54% 0.53% 0.54% 0.56% 0.64% 0.57% 0.55% 0.56% 0.57%RatioofNetInvestmentIncometoAverageNetAssets ................ 2.47% 2.30% 2.15% 2.47% 2.58% 1.57% 1.27% 1.25% 1.51% 1.88%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 150 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)Asia Pacific Small Company PortfolioUnited Kingdom Small Company PortfolioYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012NetAssetValue,BeginningofYear .................................... $ 19.06 $ 22.88 $ 24.82 $ 23.22 $ 23.04 $ 35.50 $ 35.92 $ 36.96 $ 27.81 $ 23.44Income from Investment OperationsNetInvestmentIncome(Loss)(A) ................................... 0.71 0.75 0.83 1.01 0.87 1.18 1.06 0.95 0.88 0.69NetGains(Losses)onSecurities(RealizedandUnrealized) ............... 2.24 (3.51) (1.81) 1.37 0.58 (6.55) 1.95 (0.65) 9.17 4.47TotalfromInvestmentOperations.................................. 2.95 (2.76) (0.98) 2.38 1.45 (5.37) 3.01 0.30 10.05 5.16Less DistributionsNetInvestmentIncome ........................................... (0.74) (1.06) (0.96) (0.78) (1.27) (1.29) (1.05) (0.93) (0.90) (0.79)NetRealizedGains ..............................................—————(1.63)(2.38)(0.41)——TotalDistributions.............................................. (0.74) (1.06) (0.96) (0.78) (1.27) (2.92) (3.43) (1.34) (0.90) (0.79)NetAssetValue,EndofYear.........................................$ 21.27$ 19.06$ 22.88$ 24.82$ 23.22$ 27.21$ 35.50$ 35.92$ 36.96$ 27.81TotalReturn...................................................... 16.18% (12.19)% (3.84)% 10.46% 7.09% (16.20)% 9.43% 0.73% 36.81% 22.82%Net Assets, End of Year (thousands)...................................$251,575 $200,270 $364,117 $331,166 $238,191 $32,323 $35,637 $35,050 $37,096 $31,316Ratio of Expenses to Average Net Assets (B)............................. 0.54% 0.55% 0.55% 0.57% 0.59% 0.59% 0.58% 0.58% 0.59% 0.60%Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (ExpensesReimbursed), and/or Previously Waived Fees Recovered by Advisor) (B)..... 0.64% 0.57% 0.55% 0.57% 0.59% 0.71% 0.62% 0.62% 0.63% 0.63%RatioofNetInvestmentIncometoAverageNetAssets ..................... 3.57% 3.67% 3.53% 4.26% 3.91% 3.87% 2.99% 2.50% 2.79% 2.83%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 151 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)Continental Small Company PortfolioDFA International Real Estate Securities PortfolioYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012NetAssetValue,BeginningofYear ....................... $ 20.74 $ 19.34 $ 20.26 $ 14.51 $ 14.66 $ 5.27 $ 5.63 $ 5.48 $ 5.67 $ 4.90Income from Investment OperationsNetInvestmentIncome(Loss)(A)....................... 0.43 0.43 0.42 0.37 0.39 0.20 0.19 0.22 0.22 0.27Net Gains (Losses) on Securities (Realized and Unrealized) . . . 0.72 1.38 (0.90) 5.78 (0.17) (0.15) (0.22) 0.19 0.25 0.75TotalfromInvestmentOperations ..................... 1.15 1.81 (0.48) 6.15 0.22 0.05 (0.03) 0.41 0.47 1.02Less DistributionsNetInvestmentIncome............................... (0.41) (0.41) (0.44) (0.40) (0.37) (0.09) (0.33) (0.26) (0.66) (0.25)TotalDistributions ................................. (0.41) (0.41) (0.44) (0.40) (0.37) (0.09) (0.33) (0.26) (0.66) (0.25)NetAssetValue,EndofYear ............................$ 21.48$ 20.74$ 19.34$ 20.26$ 14.51$5.23$5.27$5.63$5.48$5.67TotalReturn ......................................... 5.70% 9.37% (2.68)% 42.99% 1.85% 1.05% (0.37)% 8.21% 9.24% 22.34%Net Assets, End of Year (thousands).......................$292,117 $278,024 $168,961 $170,806 $106,316 $4,181,623 $3,540,092 $3,088,376 $2,158,977 $1,531,708Ratio of Expenses to Average Net Assets................... 0.54%(B) 0.55%(B) 0.56%(B) 0.58%(B) 0.59%(B) 0.28% 0.32% 0.38% 0.39% 0.41%Ratio of Expenses to Average Net Assets (Excluding Fees(Waived), (Expenses Reimbursed), and/or Previously WaivedFeesRecoveredbyAdvisorandFeesPaidIndirectly)........ 0.64%(B) 0.58%(B) 0.56%(B) 0.58%(B) 0.59%(B) 0.28% 0.32% 0.38% 0.39% 0.41%RatioofNetInvestmentIncometoAverageNetAssets......... 2.08% 2.09% 1.97% 2.16% 2.78% 3.71% 3.64% 4.14% 4.07% 5.45%PortfolioTurnoverRate................................. N/A N/A N/A N/A N/A 1% 2% 1% 5% 3%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 152 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)DFA Global Real Estate Securities PortfolioDFA International Small Cap Value PortfolioYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012NetAssetValue,BeginningofYear............. $ 10.59 $ 10.63 $ 9.59 $ 9.33 $ 8.21 $ 19.44 $ 19.55 $ 20.17 $ 15.16 $ 14.85Income from Investment OperationsNetInvestmentIncome(Loss)(A) ............ 0.27 0.44 0.31 0.49 0.29 0.44 0.38 0.37 0.37 0.34Net Gains (Losses) on Securities (Realized andUnrealized) ........................... 0.23 (0.09) 1.05 0.37 1.07 0.29 0.22 (0.34) 5.21 0.61TotalfromInvestmentOperations .......... 0.50 0.35 1.36 0.86 1.36 0.73 0.60 0.03 5.58 0.95Less DistributionsNetInvestmentIncome .................... (0.25) (0.39) (0.32) (0.60) (0.24) (0.58) (0.37) (0.35) (0.36) (0.36)NetRealizedGains .......................————— (0.28)(0.34)(0.30)(0.21)(0.28)TotalDistributions ...................... (0.25) (0.39) (0.32) (0.60) (0.24) (0.86) (0.71) (0.65) (0.57) (0.64)NetAssetValue,EndofYear..................$ 10.84$ 10.59$ 10.63$9.59$9.33$ 19.31$ 19.44$ 19.55$ 20.17$ 15.16TotalReturn............................... 4.87% 3.44% 14.98% 9.74% 17.33% 4.09% 3.31% 0.13% 37.79% 6.92%Net Assets, End of Year (thousands)............ $4,888,955 $4,059,916 $3,305,472 $2,082,707 $1,315,547 $13,009,729 $12,577,575 $11,684,771 $11,148,899 $8,266,610Ratio of Expenses to Average Net Assets........ 0.24%(B) 0.27%(B) 0.32%(B) 0.32%(B) 0.34%(B) 0.68% 0.69% 0.68% 0.69% 0.71%Ratio of Expenses to Average Net Assets (ExcludingFees (Waived), (Expenses Reimbursed), and/orPreviously Waived Fees Recovered by AdvisorandFeesPaidIndirectly) ................... 0.38%(B) 0.45%(B) 0.55%(B) 0.55%(B) 0.60%(B) 0.68% 0.69% 0.68% 0.69% 0.71%Ratio of Net Investment Income to Average NetAssets ................................. 2.45% 4.16% 3.21% 5.18% 3.38% 2.38% 1.94% 1.78% 2.16% 2.30%PortfolioTurnoverRate ...................... 2% 1% N/A N/A N/A 19% 18% 8% 9% 18%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 153 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)International Vector Equity PortfolioWorld ex U.S. Value PortfolioYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012NetAssetValue,BeginningofPeriod....................... $ 10.76 $ 11.26 $ 11.75 $ 9.33 $ 9.34 $ 10.28 $ 11.43 $ 11.93 $ 9.94 $ 9.96Income from Investment OperationsNetInvestmentIncome(Loss)(A) ....................... 0.28 0.28 0.32 0.26 0.27 0.31 0.30 0.42 0.29 0.29Net Gains (Losses) on Securities (Realized and Unrealized) . . . 0.05 (0.41) (0.43) 2.44 0.14 0.03 (1.18) (0.50) 2.02 (0.05)TotalfromInvestmentOperations...................... 0.33 (0.13) (0.11) 2.70 0.41 0.34 (0.88) (0.08) 2.31 0.24Less DistributionsNetInvestmentIncome................................ (0.27) (0.27) (0.30) (0.25) (0.27) (0.31) (0.27) (0.42) (0.32) (0.26)NetRealizedGains .................................. (0.04) (0.10) (0.08) (0.03) (0.15)—————TotalDistributions.................................. (0.31) (0.37) (0.38) (0.28) (0.42) (0.31) (0.27) (0.42) (0.32) (0.26)NetAssetValue,EndofPeriod ...........................$ 10.78$ 10.76$ 11.26$ 11.75$9.33$ 10.31$ 10.28$ 11.43$ 11.93$9.94TotalReturn .......................................... 3.21% (1.14)% (1.05)% 29.52% 4.90% 3.54% (7.77)% (0.81)% 23.61% 2.70%Net Assets, End of Period (thousands)...................... $1,856,474 $1,594,914 $1,305,553 $1,090,774 $561,399 $188,154 $155,301 $113,951 $117,587 $57,197Ratio of Expenses to Average Net Assets.................... 0.49% 0.50% 0.49% 0.51% 0.54% 0.53%(B) 0.53%(B) 0.57%(B) 0.60%(B) 0.60%(B)Ratio of Expenses to Average Net Assets (Excluding Fees(Waived), (Expenses Reimbursed), and/or Previously WaivedFeesRecoveredbyAdvisorandFeesPaidIndirectly) ........ 0.49% 0.50% 0.49% 0.51% 0.54% 0.76%(B) 0.75%(B) 0.76%(B) 0.76%(B) 0.84%(B)RatioofNetInvestmentIncometoAverageNetAssets ......... 2.73% 2.50% 2.64% 2.51% 2.94% 3.20% 2.69% 3.54% 2.61% 2.97%PortfolioTurnoverRate ................................. 4% 8% 8% 2% 5% N/A N/A N/A N/A N/ASee page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 154 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)World ex U.S. Targeted Value PortfolioWorld ex U.S. Core Equity PortfolioYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014PeriodNov. 1,2012(a) toOct. 31,2013YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014PeriodApril 9,2013(a) toOct. 31,2013NetAssetValue,BeginningofPeriod .............................................. $ 11.44 $ 12.08 $ 12.46 $ 10.00 $ 9.83 $ 10.49 $ 10.77 $ 10.00Income from Investment OperationsNetInvestmentIncome(Loss)(A)............................................... 0.25 0.23 0.23 0.20 0.26 0.26 0.28 0.18NetGains(Losses)onSecurities(RealizedandUnrealized)........................... 0.55 (0.58) (0.22) 2.46 0.08 (0.72) (0.27) 0.77TotalfromInvestmentOperations ............................................. 0.80 (0.35) 0.01 2.66 0.34 (0.46) 0.01 0.95Less DistributionsNetInvestmentIncome ....................................................... (0.20) (0.26) (0.24) (0.20) (0.24) (0.20) (0.28) (0.18)NetRealizedGains.......................................................... — (0.03) (0.15) — — — (0.01) —TotalDistributions ......................................................... (0.20) (0.29) (0.39) (0.20) (0.24) (0.20) (0.29) (0.18)NetAssetValue,EndofPeriod...................................................$ 12.04$ 11.44$ 12.08$ 12.46$9.93$9.83$ 10.49$ 10.77TotalReturn ................................................................. 7.18% (2.88)% 0.06% 26.90%(D) 3.58% (4.50)% (0.04)% 9.62%(D)Net Assets, End of Period (thousands).............................................$281,212 $227,731 $151,096 $96,010 $1,656,445 $1,170,828 $406,648 $129,720Ratio of Expenses to Average Net Assets (B)........................................ 0.76% 0.65% 0.69% 0.79%(C)(E) 0.47% 0.47% 0.47% 0.47%(C)(E)Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed),and/or Previously Waived Fees Recovered by Advisor) (B)............................ 0.77% 1.06% 1.17% 1.27%(C)(E) 0.47% 0.52% 0.88% 0.97%(C)(E)RatioofNetInvestmentIncometoAverageNetAssets................................. 2.18% 1.95% 1.84% 1.78%(C)(E) 2.67% 2.54% 2.59% 3.12%(C)(E)PortfolioTurnoverRate......................................................... 28% 1% N/A N/A 1% 1% N/A N/ASee page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 155 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)World Core Equity PortfolioSelectively Hedged Global Equity PortfolioYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013PeriodMarch 7,2012(a) toOct. 31,2012YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013PeriodNov. 14,2011(a) toOct. 31,2012NetAssetValue,BeginningofPeriod................................. $ 12.94 $ 13.33 $ 12.71 $10.24 $10.00 $ 13.50 $ 14.20 $ 13.63 $ 10.87 $ 10.00Income from Investment OperationsNetInvestmentIncome(Loss)(A) ................................. 0.27 0.26 0.17 0.23 0.16 0.26 0.27 0.27 0.24 0.22NetGains(Losses)onSecurities(RealizedandUnrealized) ............. 0.20 (0.35) 0.87 2.47 0.19 0.30 (0.34) 0.76 2.65 0.87TotalfromInvestmentOperations................................ 0.47 (0.09) 1.04 2.70 0.35 0.56 (0.07) 1.03 2.89 1.09Less DistributionsNetInvestmentIncome ......................................... (0.26) (0.26) (0.24) (0.23) (0.11) (0.35) (0.42) (0.32) (0.10) (0.22)NetRealizedGains ............................................ (0.01) (0.04) (0.18) — — (0.04) (0.21) (0.14) (0.03) —TotalDistributions............................................ (0.27) (0.30) (0.42) (0.23) (0.11) (0.39) (0.63) (0.46) (0.13) (0.22)NetAssetValue,EndofPeriod .....................................$ 13.14$ 12.94$ 13.33$12.71$10.24$ 13.67$ 13.50$ 14.20$ 13.63$ 10.87TotalReturn.................................................... 3.73% (0.61)% 8.36% 26.77% 3.54%(D) 4.32% (0.34)% 7.83% 26.86% 11.11%(D)Net Assets, End of Period (thousands)................................$370,229 $202,655 $75,707 $1,728 $ 191 $289,904 $245,106 $147,276 $91,348 $34,950Ratio of Expenses to Average Net Assets (B)........................... 0.35% 0.35% 0.35% 0.40% 0.40%(C)(E) 0.35% 0.40% 0.40% 0.40% 0.40%(C)(E)Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (ExpensesReimbursed), and/or Previously Waived Fees Recovered by Advisor) (B) . . . 0.64% 0.65% 0.97% 5.71% 52.27%(C)(E) 0.64% 0.66% 0.69% 0.72% 1.00%(C)(E)RatioofNetInvestmentIncometoAverageNetAssets ................... 2.14% 1.95% 1.27% 2.01% 2.40%(C)(E) 2.03% 1.93% 1.94% 1.93% 2.13%(C)(E)See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 156 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)Emerging Markets PortfolioEmerging Markets Small Cap PortfolioYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012NetAssetValue,BeginningofYear............... $ 22.17 $ 26.64 $ 26.97 $ 26.06 $ 26.68 $ 18.51 $ 21.42 $ 21.10 $ 20.33 $ 19.85Income from Investment OperationsNetInvestmentIncome(Loss)(A) .............. 0.45 0.49 0.56 0.52 0.55 0.45 0.43 0.43 0.40 0.40Net Gains (Losses) on Securities (Realized andUnrealized) ............................. 1.95 (4.54) (0.20) 1.17 0.37 2.04 (2.53) 0.62 1.37 0.83TotalfromInvestmentOperations ............ 2.40 (4.05) 0.36 1.69 0.92 2.49 (2.10) 1.05 1.77 1.23Less DistributionsNetInvestmentIncome ...................... (0.45) (0.42) (0.53) (0.50) (0.50) (0.47) (0.41) (0.40) (0.39) (0.35)NetRealizedGains ......................... — — (0.16) (0.28) (1.04) (0.14) (0.40) (0.33) (0.61) (0.40)TotalDistributions ........................ (0.45) (0.42) (0.69) (0.78) (1.54) (0.61) (0.81) (0.73) (1.00) (0.75)NetAssetValue,EndofYear ...................$ 24.12$ 22.17$ 26.64$ 26.97$ 26.06$ 20.39$ 18.51$ 21.42$ 21.10$ 20.33TotalReturn ................................ 11.01% (15.24)% 1.33% 6.58% 4.08% 13.96% (9.88)% 5.12% 8.92% 6.71%Net Assets, End of Year (thousands).............. $4,915,400 $4,321,530 $4,073,698 $3,655,740 $2,797,177 $5,459,509 $4,845,174 $4,860,603 $4,041,863 $2,907,673Ratio of Expenses to Average Net Assets (B)....... 0.56% 0.57% 0.56% 0.57% 0.61% 0.72% 0.73% 0.72% 0.75% 0.82%Ratio of Expenses to Average Net Assets (ExcludingFees (Waived), (Expenses Reimbursed), and/orPreviously Waived Fees Recovered byAdvisor)(B) ............................... 0.66% 0.60% 0.56% 0.57% 0.61% 0.92% 0.78% 0.72% 0.75% 0.82%Ratio of Net Investment Income to Average NetAssets................................... 2.04% 1.97% 2.11% 1.97% 2.14% 2.43% 2.16% 2.02% 1.91% 2.01%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 157 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)Emerging Markets Value Portfolio-Class R2 SharesYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012NetAssetValue,BeginningofYear ................................................................................................ $ 22.18 $ 27.79 $ 29.27 $ 28.21 $ 29.02Income from Investment OperationsNetInvestmentIncome(Loss)(A)................................................................................................ 0.46 0.49 0.59 0.47 0.50NetGains(Losses)onSecurities(RealizedandUnrealized)............................................................................2.75 (5.61) (1.10) 1.68 (0.45)TotalfromInvestmentOperations .............................................................................................. 3.21(5.12) (0.51) 2.15 0.05Less DistributionsNetInvestmentIncome........................................................................................................ (0.68) (0.49) (0.55) (0.50) (0.47)NetRealizedGains........................................................................................................... — — (0.42) (0.59) (0.39)TotalDistributions .......................................................................................................... (0.68) (0.49) (0.97) (1.09) (0.86)NetAssetValue,EndofYear .....................................................................................................$ 24.71$ 22.18$ 27.79$ 29.27$ 28.21TotalReturn .................................................................................................................. 14.98% (18.49)% (1.75)% 7.75% 0.43%Net Assets, End of Year (thousands)...............................................................................................$97,923 $74,076 $99,066 $106,070 $99,111Ratio of Expenses to Average Net Assets (B)......................................................................................... 0.81% 0.81% 0.80% 0.82% 0.86%Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees PaidIndirectly)(B) ............................................................................................................... 0.91% 0.84% 0.80% 0.82% 0.86%RatioofNetInvestmentIncometoAverageNetAssets.................................................................................. 2.08% 1.93% 2.09% 1.65% 1.78%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 158 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)Emerging Markets Value Portfolio-Institutional Class SharesYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012NetAssetValue,BeginningofYear ................................................................................ $ 22.22 $ 27.81 $ 29.28$ 28.22 $ 29.02Income from Investment OperationsNetInvestmentIncome(Loss)(A)................................................................................ 0.51 0.54 0.66 0.55 0.57NetGains(Losses)onSecurities(RealizedandUnrealized)............................................................ 2.77 (5.60) (1.10)1.67 (0.44)TotalfromInvestmentOperations .............................................................................. 3.28 (5.06) (0.44) 2.220.13Less DistributionsNetInvestmentIncome........................................................................................ (0.66) (0.53) (0.61) (0.57) (0.54)NetRealizedGains........................................................................................... — — (0.42) (0.59) (0.39)TotalDistributions .......................................................................................... (0.66) (0.53) (1.03) (1.16) (0.93)NetAssetValue,EndofYear .....................................................................................$ 24.84$ 22.22$ 27.81$ 29.28$ 28.22TotalReturn .................................................................................................. 15.23% (18.27)% (1.51)% 8.01% 0.70%Net Assets, End of Year (thousands)...............................................................................$16,304,321 $14,834,888 $18,647,276 $19,162,837 $16,589,619Ratio of Expenses to Average Net Assets (B)......................................................................... 0.56% 0.56% 0.55% 0.57% 0.61%Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by AdvisorandFeesPaidIndirectly)(B).................................................................................... 0.66% 0.59% 0.55% 0.57% 0.61%RatioofNetInvestmentIncometoAverageNetAssets.................................................................. 2.31% 2.12% 2.35% 1.91% 2.03%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 159 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)Emerging Markets Core Equity PortfolioYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012NetAssetValue,BeginningofYear ................................................................................. $ 16.81 $ 20.08 $ 20.09 $ 19.00 $ 18.73Income from Investment OperationsNetInvestmentIncome(Loss)(A)................................................................................. 0.37 0.39 0.42 0.39 0.41NetGains(Losses)onSecurities(RealizedandUnrealized)............................................................. 1.59 (3.29) (0.03) 1.07 0.23TotalfromInvestmentOperations ............................................................................... 1.96 (2.90) 0.39 1.46 0.64Less DistributionsNetInvestmentIncome......................................................................................... (0.37) (0.37) (0.40) (0.37) (0.37)TotalDistributions ........................................................................................... (0.37) (0.37) (0.40)(0.37) (0.37)NetAssetValue,EndofYear ......................................................................................$ 18.40$ 16.81$ 20.08$ 20.09$ 19.00TotalReturn ................................................................................................... 11.87% (14.49)% 1.89% 7.75% 3.55%Net Assets, End of Year (thousands)................................................................................$18,712,966 $14,856,878 $15,727,547 $13,020,962 $8,594,707Ratio of Expenses to Average Net Assets............................................................................. 0.61% 0.62% 0.61% 0.63% 0.68%Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered byAdvisorandFeesPaidIndirectly) ................................................................................. 0.61% 0.62% 0.61% 0.63% 0.68%RatioofNetInvestmentIncometoAverageNetAssets................................................................... 2.20% 2.06% 2.10% 1.97% 2.18%PortfolioTurnoverRate........................................................................................... 3% 5% 2% 1% 1%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 160 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO FINANCIAL STATEMENTS A. Organization: DFA Investment Dimensions Group Inc. (the “Fund”) is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are generally offered to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of ninety-five operational portfolios, of which thirty-one (the “Portfolios”) are included in this section of the report. The remaining operational portfolios are presented in separate reports. The Portfolios are investment companies, and accordingly, follow the accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Certification (“ASC”) Topic 946, “Financial Services-Investment Companies.” Of the Portfolios, seven invest all of their assets in a corresponding series of The DFA Investment Trust Company (“DFAITC”) and one invests in the Dimensional Emerging Markets Value Fund (“DEM”). International Small Company Portfolio invests in five portfolios within DFAITC. DFA Global Real Estate Securities Portfolio invests in two portfolios within the Fund and directly in securities. World ex U.S. Value Portfolio invests in three portfolios within the Fund, DFAITC, and DEM. World Core Equity Portfolio invests in three portfolios within the Fund. Selectively Hedged Global Equity Portfolio invests in three portfolios within the Fund. Feeder Funds Master Funds Percentage Ownership at 10/31/16 U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 84% Japanese Small Company Portfolio The Japanese Small Company Series 16% Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 16% United Kingdom Small Company Portfolio The United Kingdom Small Company Series 2% Continental Small Company Portfolio The Continental Small Company Series 7% Emerging Markets Portfolio The Emerging Markets Series 98% Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 99% Emerging Markets Value Portfolio Dimensional Emerging Markets Value Fund 99% Fund of Funds International Small Company Portfolio The Continental Small Company Series 92% The Japanese Small Company Series 84% The United Kingdom Small Company Series 96% The Asia Pacific Small Company Series 84% The Canadian Small Company Series 98% DFA Global Real Estate Securities Portfolio** DFA Real Estate Securities Portfolio 22% DFA International Real Estate Securities Portfolio 40% World ex U.S. Value Portfolio Dimensional Emerging Markets Value Fund —* DFA International Small Cap Value Portfolio —* The DFA International Value Series 1% World Core Equity Portfolio U.S. Core Equity 1 Portfolio 1% International Core Equity Portfolio 1% Emerging Markets Core Equity Portfolio —* Selectively Hedged Global Equity Portfolio U.S. Core Equity 2 Portfolio 1% International Core Equity Portfolio 1% Emerging Markets Core Equity Portfolio —* * Amounts designated as — are less than 1%. ** DFA Global Real Estate Securities Portfolio invests in two Master Funds as indicated and securities listed on its Summary Schedule of Investments. 161 Each feeder fund (collectively, “Feeder Funds”) and Fund of Funds invests primarily in a corresponding master fund(s) (“Master Fund”) as indicated. The DFA Global Real Estate Securities Portfolio may pursue its investment objective by investing its assets in its Master Funds and/or directly in securities of companies in the real estate industry. Each Feeder Fund and Fund of Funds also invest in short-term temporary cash investments and futures. In addition, each international Fund of Funds may engage in forward currency contracts. The financial statements of the Feeder Funds’ Master Funds are included elsewhere in this report and should be read in conjunction with the financial statements of the Feeder Funds. B. Significant Accounting Policies: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1.Security Valuation:The Portfolios utilize a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: • Level 1 – inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, futures contracts) • Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) • Level 3 – significant unobservable inputs (including the Portfolios’ own assumptions in determining the fair value of investments) Securities held by Enhanced U.S. Large Company Portfolio, U.S. Large Cap Equity Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio and DFA Real Estate Securities Portfolio (the “Domestic Equity Portfolios”) and Large Cap International Portfolio, International Core Equity Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, DFA International Small Cap Value Portfolio, International Vector Equity Portfolio, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio and Emerging Markets Core Equity Portfolio (the “International Equity Portfolios”), including over-the-counter securities, are valued at the last quoted sale price of the day. International equity securities are subject to a fair value factor, as described later in this note. Securities held by the Domestic Equity Portfolios and the International Equity Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing Price (“NOCP”). If there is no last reported sale price or NOCP for the day, the Domestic Equity Portfolios and the International Equity Portfolios value the securities within the range of the most recent quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end management investment companies are valued using their respective net asset values or public offering prices, as appropriate, for purchase orders placed at the close of the New York Stock Exchange (NYSE). These securities are generally categorized as Level 1 in the hierarchy. Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors of the Fund. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of Dimensional Fund Advisors LP) occur before the net asset value of the Portfolio is calculated. When fair value pricing is used, the prices of securities used by the Domestic Equity Portfolios and the International Equity Portfolios may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. 162 The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the time that the net asset values of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets’ perceptions and trading activities on the International Equity Portfolios’ foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors of the Fund has determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the International Equity Portfolios utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When an International Equity Portfolio uses fair value pricing, the values assigned to the International Equity Portfolio’s foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. Debt securities held by the Portfolios are valued on the basis of evaluated prices provided by one or more pricing services or other reasonably reliable sources including broker/dealers that typically handle the purchase and sale of such securities. Securities that are traded over-the-counter and on a stock exchange generally will be valued according to the broadest and most representative market, and it is expected that for bonds and other fixed income securities, this ordinarily will be the over-the-counter market. Securities for which quotations are not readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors of the Fund. These valuations are generally categorized as Level 2 in the hierarchy. Listed derivatives, such as futures, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts, do not require material subjectivity as pricing inputs are observed from quoted markets and are categorized as Level 2 in the hierarchy. Shares held by the Portfolios in other investment companies (such as the Master Funds) are valued at their respective daily net asset values as reported by their administrator. The Feeder Funds’, International Small Company Portfolio’s and World ex U.S. Value Portfolio’s investments in Series of DFAITC or DEM reflect their proportionate interest in the net assets of such corresponding Master Fund. These valuations are classified as Level 1 in the hierarchy. A summary of the inputs used to value the Portfolios’ investments by each major security type, industry and/or country is disclosed previously in this note. A valuation hierarchy table has been included at the end of the Summary Schedule of Portfolio Holdings/Schedule of Investments (except for the Feeder Funds). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. The Portfolios recognize transfers between the levels as of the end of the period. As of October 31, 2016, DFA International Real Estate Securities Portfolio had significant transfers of securities with a total value of $64,808 (in thousands), that transferred from Level 1 to Level 2 because the fair market values of certain securities were adjusted due to developments which occurred between the time of the close of the foreign markets on which they trade and the close of business on the NYSE which resulted in their Level 2 classification. As of October 31, 2016, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio and Emerging Markets Core Equity Portfolio had significant transfers of securities with a total value of $3,921, $32,655 and $1,460,813 (in thousands), respectively, that transferred from Level 2 to Level 1 because fair value procedures were no longer applied. 163 2.Foreign Currency Translation:Securities and other assets and liabilities of the Portfolios whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recent bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked-to-market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The Portfolios also enter into forward currency contracts solely for the purpose of hedging against fluctuations in currency exchange rates. These contracts are marked-to-market daily based on daily forward exchange rates. The International Equity Portfolios do not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities whether realized or unrealized. However, the Enhanced U.S. Large Company Portfolio and Selectively Hedged Global Equity Portfolio do isolate the effect of fluctuations in foreign currency rates when determining the realized gain or loss upon the sale or maturity of foreign currency denominated debt obligations pursuant to U.S. Federal income tax regulations; such amounts are categorized as foreign exchange gain or loss for income tax reporting purposes. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and any foreign withholding taxes recorded on the books of the International Equity Portfolios, Enhanced U.S. Large Company Portfolio and Selectively Hedged Global Equity Portfolio and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan:Each eligible Director of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the “Plan”). Under the Plan, effective January 1, 2002, such Directors may defer payment of all or a portion of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors’ Fees & Expenses. Each Director has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed-upon years; or quarterly installments over a period of agreed- upon years. Each Director shall have the right in a notice of election (the “Notice”) to defer the receipt of the Director’s deferred compensation until a date specified by such Director in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director ceases to be a member of the Board of Directors of the Fund; and (ii) five years following the effective date of the Director’s first deferral election. If a Director who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director’s deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director ceases to be a member of the Board (unless the Director files an amended Notice selecting a different distribution date). As of October 31, 2016, none of the Directors have requested or received a distribution of proceeds of a deferred fee account. 4. Other:Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities/affiliated investment companies and foreign currency are accounted for on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities and from the investment in affiliated investment companies that represent a return of capital or capital gains are recorded as a reduction of cost of investments or as a realized gain, respectively. The Portfolios estimate the character of distributions received that may be considered return of capital distributions. Interest income is recorded on an accrual basis. Discount and premium on debt securities purchased are amortized over the lives of the respective securities, utilizing the effective interest method. Expenses directly attributable to a Portfolio are directly charged. Common expenses of the Fund or the Portfolios are allocated using methods approved by the Board, generally based on average net assets. Class R1 Shares, Class R2 Shares and Institutional Class Shares have equal rights to assets and earnings of a Portfolio. Income, gains and losses, and common expenses of a Portfolio are allocated to each class of shares based on its relative net assets. Each class will bear its own class-specific expenses, if any. 164 The Feeder Funds, International Small Company Portfolio and World ex U.S. Value Portfolio each recognize their pro-rata share of net investment income and realized and unrealized gains/losses on a daily basis from their respective Master Fund within DFAITC or DEM, which are treated as partnerships for federal income tax purposes. The Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Portfolios accrue such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value Portfolio, World ex U.S. Core Portfolio and Emerging Markets Core Equity Portfolio are subject to a 15% tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The capital gains taxes are recognized when the capital gains are earned. C. Investment Advisor and Administrator: The Advisor, Dimensional Fund Advisors LP, provides investment management services to all Portfolios. For the year ended October 31, 2016, the Portfolios’ investment management fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: Enhanced U.S. Large Company Portfolio .........................................0.20% U.S. Large Cap Equity Portfolio ................................................0.15% U.S. Large Cap Value Portfolio .................................................0.25% U.S. Targeted Value Portfolio ..................................................0.35% U.S. Small Cap Value Portfolio .................................................0.50% U.S. Core Equity 1 Portfolio ....................................................0.17% U.S. Core Equity 2 Portfolio ....................................................0.20% U.S. Vector Equity Portfolio ....................................................0.30% U.S. Small Cap Portfolio ......................................................0.35% U.S. Micro Cap Portfolio ......................................................0.50% DFA Real Estate Securities Portfolio ............................................0.17% Large Cap International Portfolio ................................................0.25% International Core Equity Portfolio ...............................................0.35% International Small Company Portfolio ...........................................0.40% Japanese Small Company Portfolio .............................................0.50% Asia Pacific Small Company Portfolio ............................................0.50% United Kingdom Small Company Portfolio ........................................0.50% Continental Small Company Portfolio ............................................0.50% DFA International Real Estate Securities Portfolio ..................................0.25% DFA Global Real Estate Securities Portfolio ......................................0.20% DFA International Small Cap Value Portfolio ......................................0.65% International Vector Equity Portfolio .............................................0.45% World ex U.S. Value Portfolio ..................................................0.47% World ex U.S. Targeted Value Portfolio ..........................................0.58% World ex U.S. Core Equity Portfolio .............................................0.40% World Core Equity Portfolio ....................................................0.30% Selectively Hedged Global Equity Portfolio .......................................0.30% Emerging Markets Portfolio ....................................................0.50% Emerging Markets Small Cap Portfolio ...........................................0.65% Emerging Markets Value Portfolio ...............................................0.50% Emerging Markets Core Equity Portfolio ..........................................0.55% 165 Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption Agreement (the “Fee Waiver Agreement”), the Advisor has contractually agreed to waive certain fees, and in certain instances, assume certain expenses of the Portfolios, as described in the notes below. The Fee Waiver Agreement for the non-Feeder Funds below, and a portion of the Fee Waiver Agreement for certain Feeder Funds below, will remain in effect through February 28, 2017, and may only be terminated by the Fund’s Board of Directors prior to that date. The Fee Waiver Agreement for such Portfolios shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. The Fee Waiver Agreement with respect to the total management fees paid by the Feeder Funds, as described in the notes below, will remain in effect permanently, unless terminated by a Feeder Fund. For the year ended October 31, 2016, the Portfolios had expense limits based on a percentage of average net assets on an annualized basis, and the Advisor recovered previously waived fees and/or expenses assumed as listed below (amounts in thousands). Previously waived fees subject to future recovery by the Advisor are also reflected below (amounts in thousands). The Fund, on behalf of the Portfolios, is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than 36 months before the date of recovery. Institutional Class Shares Expense Limitation Amount Recovery of Previously Waived Fees/ Expenses Assumed Previously Waived Fees/ Expenses Assumed Subject to Future Recovery U.S. Large Cap Equity Portfolio (1).................0.19% $ 28 — U.S. Large Cap Value Portfolio (2)..................0.25% — — U.S. Targeted Value Portfolio (3)...................0.50% — — U.S. Core Equity 1 Portfolio (1)....................0.23% — — U.S. Core Equity 2 Portfolio (1)....................0.26% — — U.S. Vector Equity Portfolio (1)....................0.36% — — DFA Real Estate Securities Portfolio (1).............0.18% 7 $ 1,726 International Core Equity Portfolio (1)...............0.49% — — International Small Company Portfolio (4)............0.45% — — Japanese Small Company Portfolio (5)..............0.47% — — Asia Pacific Small Company Portfolio (5)............0.47% — — United Kingdom Small Company Portfolio (5).........0.47% 1 24 Continental Small Company Portfolio (5).............0.47% — — DFA International Real Estate Securities Portfolio (6) . . 0.29% — — DFA Global Real Estate Securities Portfolio (7).......0.24% — 19,086 International Vector Equity Portfolio (1)..............0.60% — — World ex U.S. Value Portfolio (8)...................0.60% — 923 World ex U.S. Targeted Value Portfolio (9)...........0.80% — 1,507 World ex U.S. Core Equity Portfolio (10).............0.47% 154 1,575 World Core Equity Portfolio (11)....................0.35% 9 1,348 Selectively Hedged Global Equity Portfolio (12).......0.40% — 1,702 Emerging Markets Portfolio (2).....................0.50% — — Emerging Markets Small Cap Portfolio (2)...........0.65% — — Emerging Markets Value Portfolio (2)...............0.50% — — Emerging Markets Core Equity Portfolio (1)..........0.85% — — Class R1 Shares U.S. Targeted Value Portfolio (13)..................0.62% — — Class R2 Shares U.S. Targeted Value Portfolio (13)..................0.77% — — Emerging Markets Value Portfolio (14)..............0.96% — — (1) The Advisor has contractually agreed to waive all or a portion of its management fee and assume each Portfolio’s ordinary operating expenses (excluding the expenses a Portfolio incurs indirectly through investment in other investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of each 166 Portfolio to the rates listed above as a percentage of average net assets on an annualized basis (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of a Portfolio are less than the Expense Limitation Amount listed above for such Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery is within thirty-six months and will not cause the Portfolio’s annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. (2) Effective July 21, 2015, the Advisor has contractually agreed to permanently waive all or a portion of the management fee of each Portfolio to the extent necessary to limit the total management fees paid to the Advisor by a Portfolio, including the proportionate share of the management fees a Portfolio pays indirectly through its investment in other funds managed by the Advisor, to the rate listed above as a percentage of the average net assets of a class of a Portfolio on an annualized basis. (3) The Advisor has contractually agreed to waive its management fee and to assume the Portfolio’s expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of a class of shares of the Portfolio to the rate listed above for such class of shares as a percentage of average net assets on an annualized basis (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of a class of shares of the Portfolio are less than the Expense Limitation Amount listed above for such class of shares, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery is within thirty-six months and will not cause the Portfolio’s annualized Portfolio Expenses for such class of shares to exceed the Expense Limitation Amount, as listed above. (4) Effective July 21, 2015, the Advisor has contractually agreed to waive all or a portion of its management fee and to assume the other direct expenses of a class of the Portfolio (excluding expenses incurred through its investment in other investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of a class of the Portfolio to the rate listed above as a percentage of the average net assets of a class of the Portfolio on an annualized basis (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of a class of the Portfolio are less than Expense Limitation Amount for such class of shares of the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the applicable Expense Limitation Amount, as listed above. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. Prior to July 21, 2015, the Advisor had contractually agreed to waive its administration fee and to assume Portfolio Expenses to the extent necessary to limit the Portfolio Expenses of the Portfolio, on an annualized basis, to the Expense Limitation Amount listed above. At any time that the Portfolio Expenses of the Portfolio were less than the Expense Limitation Amount listed above, the Advisor retained the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that the amount of such reimbursement was within thirty-six months and did not cause the annualized Portfolio Expenses of the Portfolio to exceed the applicable Expense Limitation Amount then in effect. (5) Effective July 21, 2015, the Advisor has contractually agreed to permanently waive all or a portion of the management fee of each Portfolio to the extent necessary to limit the total management fees paid to the Advisor by each Portfolio, including the proportionate share of the management fees a Portfolio pays indirectly through its investment in other funds managed by the Advisor, to 0.50% of the average net assets of a class of a Portfolio on an annualized basis (the “Permanent Fee Waiver”). In addition to the Permanent Fee Waiver, the Advisor has contractually agreed to further waive all or a portion of its management fee and to assume the other direct expenses of a class of each Portfolio (excluding expenses incurred through its investment in other investment companies managed by the Advisor) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of each class of a Portfolio to the rates listed above as a percentage of the average net assets of a class of a Portfolio on an annualized basis (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of a class of a Portfolio are less than the applicable Expense Limitation Amount for such class of shares of the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the applicable Expense Limitation Amount, as listed above. Except, a Portfolio is not obligated to reimburse the Advisor for fees waived in connection with the Permanent Fee Waiver. Also, a Portfolio is not 167 obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. Prior to July 21, 2015, the Advisor had contractually agreed to waive its administration fee and to assume each Portfolio’s other direct expenses to the extent necessary to limit the direct expenses of each Portfolio to the Expense Limitation Amount listed above. The Fee Waiver Agreement did not include the indirect expenses each Portfolio beared as a shareholder of its Master Fund. At any time that the direct expenses of a Portfolio were less than the Expense Limitation Amount listed above, the Advisor retained the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery was within thirty-six months and did not cause the Portfolio’s direct expenses to exceed the Expense Limitation Amount then in effect. (6) Effective February 28, 2015, the Advisor has contractually agreed to waive all or a portion of its management fee and to assume the Portfolio’s ordinary operating expenses (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of the Portfolio to the rate listed above as a percentage of the Portfolio’s average net assets on an annualized basis (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of the Portfolio are less than the Expense Limitation Amount listed above, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery is within thirty-six months and will not cause the Portfolio’s annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. Prior to February 28, 2015, the Advisor had contractually agreed to waive all or a portion of its advisory fee and to assume the Portfolio Expenses of the Portfolio to the extent necessary to limit the Portfolio Expenses to 0.65% of the Portfolio’s average net assets on an annualized basis. (7) Effective February 28, 2015, the Advisor has contractually agreed to waive all or a portion of its management fee and to assume the expenses of the Portfolio (including the expenses that the Portfolio bears as a shareholder of its Master Funds but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in The DFA Short Term Investment Fund (the “Money Market Series”) and its investment in unaffiliated investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of the Portfolio to the rate listed above as a percentage of the Portfolio’s average net assets on an annualized basis (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of the Portfolio are less than the Expense Limitation Amount listed above, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery is within thirty-six months and will not cause the Portfolio’s annualized Portfolio Expenses to exceed the Expense Limitation Amount, as listed above. From February 28, 2012 to February 27, 2015, the Advisor had contractually agreed to waive all or a portion of its advisory fee and to assume the Portfolio Expenses of the Portfolio to the extent necessary to limit the Portfolio Expenses to 0.32% of the Portfolio’s average net assets on an annualized basis. (8) The Advisor has contractually agreed to waive up to the full amount of the Portfolio’s management fee of 0.47% to the extent necessary to offset the proportionate share of the management fees paid by the Portfolio through its investment in its Master Funds. In addition, under the Fee Waiver Agreement, the Advisor also has agreed to waive all or a portion of the management fee that remains payable by the Portfolio (i.e., the management fee remaining after the proportionate share of the Master Funds’ management services fees have been offset (the “Remaining Management Fee”) to the extent necessary to reduce the Portfolio’s ordinary operating expenses (including expenses incurred through its investment in other investment companies but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in the Money Market Series) (“Portfolio Expenses”) to the rate listed above as a percentage of average net assets on an annualized basis (the “Expense Limitation Amount”). The maximum amount that may be waived to limit Portfolio Expenses is the amount of the Remaining Management Fee. Further, at any time that the Portfolio Expenses of the Portfolio are less than the Portfolio’s Expense Limitation Amount listed above, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement is within thirty-six months and will not cause the Portfolio’s annualized Portfolio Expenses to exceed the Portfolio’s Expense Limitation Amount, as listed above. (9) The Advisor has contractually agreed to waive up to the full amount of the Portfolio’s management fee of 0.58% to the extent necessary to offset the proportionate share of the management fees paid by the Portfolio 168 through its investment in its Master Funds. In addition, under the Fee Waiver Agreement, the Advisor has also agreed to waive all or a portion of the management fee and to assume the ordinary operating expenses of a class of the Portfolio (including expenses incurred through its investment in other investment companies but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in the Money Market Series) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of a class of the Portfolio to the rate listed above as a percentage of the average net assets of a class of the Portfolio on an annualized basis (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount for such class of the Portfolio, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement is within thirty-six months and will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount, as listed above. (10) The Advisor has contractually agreed to waive all or a portion of its management fee and to assume the expenses of a class of the Portfolio (including the expenses that the Portfolio bears as a shareholder of its Master Funds but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in the Money Market Series and its investment in unaffiliated investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of a class of the Portfolio to the rate listed above as a percentage of average net assets of a class of the Portfolio on an annualized basis (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount for such class of the Portfolio, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement is within thirty-six months and will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount, as listed above. (11) Effective June 27, 2014, the Advisor has contractually agreed to waive up to the full amount of the Portfolio’s management fee of 0.30% to the extent necessary to offset the proportionate share of the management fees paid by the Portfolio through its investment in its Master Funds (including the Portfolio’s proportionate share of any management fees that a Master Fund paid through its investment in an affiliated cash management fund). In addition, under the Fee Waiver Agreement, the Advisor has also agreed to assume the expenses of a class of the Portfolio to the extent necessary to reduce the ordinary operating expenses (including expenses incurred through its investment in other investment companies but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in the Money Market Series) (“Portfolio Expenses”) of a class of the Portfolio so that such Portfolio Expenses do not exceed the rate listed above as a percentage of the average net assets of a class of the Portfolio on an annualized basis (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount for such class of shares of the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery is within thirty-six months and will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the applicable Expense Limitation Amount. Prior to June 27, 2014, the Advisor contractually agreed to waive up to the full amount of the Portfolio’s management fee of 0.30% to the extent necessary to offset the proportionate share of the management fees paid by the Portfolio through its investment in its Master Funds (including the Portfolio’s proportionate share of any management fees that a Master Fund paid through its investment in an affiliated cash management fund). In addition, under the Fee Waiver Agreement, the Advisor also agreed to assume the expenses of a class of the Portfolio to the extent necessary to reduce the ordinary operating expenses (including expenses incurred through its investment in other investment companies) (“Portfolio Expenses”) of such class of the Portfolio so that the Portfolio Expenses did not exceed 0.40% of the average net assets of such class of the Portfolio on an annualized basis. (12) The Advisor has contractually agreed to waive up to the full amount of the Portfolio’s management fee of 0.30% to the extent necessary to offset the proportionate share of the management fees paid by the Portfolio through its investment in its Master Funds. In addition, under the Fee Waiver Agreement, the Advisor has also agreed to waive all or a portion of the management fee and to assume the expenses of a class of the Portfolio to the extent necessary to reduce the ordinary operating expenses (including expenses incurred through its investment in other investment companies but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in the Money Market Series) (“Portfolio Expenses”) of the Portfolio to the rate listed above as a 169 percentage of average net assets of a class of the Portfolio on an annualized basis (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount for such class of the Portfolio listed above, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement is within thirty-six months and will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount, as listed above. (13) The Advisor has contractually agreed to reduce all or a portion of its management fee and to assume the direct and indirect expenses of the Class R1 shares and Class R2 shares of the Portfolio (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of the Class R1 shares and Class R2 shares of the Portfolio to the rate listed above for such class of shares as a percentage of average net assets (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of the Class R1 shares or Class R2 shares of the Portfolio are less than the Expense Limitation Amount listed above for such class of shares, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery is within thirty-six months and will not cause the Portfolio’s annualized Portfolio Expenses for such class of shares to exceed the Expense Limitation Amount, as listed above. (14) Effective July 21, 2015, the Advisor has contractually agreed to permanently waive all or a portion of the management fee of the Portfolio to the extent necessary to limit the total management fees paid to the Advisor by the Portfolio, including the proportionate share of the management fees the Portfolio pays indirectly through its investment in other funds managed by the Advisor, to 0.50% of the average net assets of a class of the Portfolio on an annualized basis (the “Permanent Fee Waiver”). In addition to the Permanent Fee Waiver, the Advisor has contractually agreed (including for the period prior to July 21, 2015) to assume the direct expenses of the Class R2 shares of the Portfolio (excluding management fees and custodian fees) to the extent necessary to limit the annualized expenses of the Class R2 shares of the Portfolio (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) to the rate listed above as a percentage of the average net assets of the Class R2 shares of the Portfolio (the “Annualized Expense Ratio”). At any time that the annualized expenses of the Class R2 shares of the Portfolio are less than the Annualized Expense Ratio listed above, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that the amount of such recovery does not cause the annualized expense ratio of the Class R2 shares of the Portfolio to exceed the Annualized Expense Ratio, as listed above. Except, the Portfolio is not obligated to reimburse the Advisor for fees waived in connection with the Permanent Fee Waiver. Also, the Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. Earned Income Credit: In addition, Portfolios have entered into arrangements with their custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of the Portfolios’ custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. The impact of such credits is generally less than one basis point of each Portfolio’s net assets. During the year ended October 31, 2016, expenses reduced were as follows (amounts in thousands): Fees Paid Indirectly Enhanced U.S. Large Company Portfolio ..................................... $ 6 Large Cap International Portfolio ............................................ 110 International Core Equity Portfolio ........................................... 585 DFA International Real Estate Securities Portfolio .............................. 119 DFA International Small Cap Value Portfolio ................................... 296 International Vector Equity Portfolio .......................................... 19 World ex U.S. Value Portfolio ............................................... (1)* World ex U.S. Targeted Value Portfolio ....................................... 4 World ex U.S. Core Equity Portfolio .......................................... 26 Emerging Markets Core Equity Portfolio ...................................... 556 * A credit may be negative as a result of a negative cash balance with the custodian. 170 Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors of the Advisor are also Officers and Directors of the Fund; however, such Officers and Directors (with the exception of the Chief Compliance Officer (“CCO”)) receive no compensation from the Fund. For the year ended October 31, 2016, the total related amounts paid by the Fund to the CCO were $291 (in thousands). The total related amounts paid by each of the Portfolios are included in Other Expenses on the Statement of Operations. D. Deferred Compensation: At October 31, 2016, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follows (amounts in thousands): Enhanced U.S. Large Company Portfolio ........................................ $ 9 U.S. Large Cap Equity Portfolio ................................................ 4 U.S. Large Cap Value Portfolio ................................................ 381 U.S. Targeted Value Portfolio .................................................. 121 U.S. Small Cap Value Portfolio................................................. 338 U.S. Core Equity 1 Portfolio ................................................... 197 U.S. Core Equity 2 Portfolio ................................................... 283 U.S. Vector Equity Portfolio ................................................... 82 U.S. Small Cap Portfolio ...................................................... 201 U.S. Micro Cap Portfolio ...................................................... 163 DFA Real Estate Securities Portfolio ............................................ 143 Large Cap International Portfolio ............................................... 85 International Core Equity Portfolio .............................................. 267 International Small Company Portfolio ........................................... 257 Japanese Small Company Portfolio ............................................. 10 Asia Pacific Small Company Portfolio ........................................... 7 United Kingdom Small Company Portfolio ........................................ 1 Continental Small Company Portfolio ........................................... 6 DFA International Real Estate Securities Portfolio ................................. 58 DFA Global Real Estate Securities Portfolio ...................................... 50 DFA International Small Cap Value Portfolio...................................... 371 International Vector Equity Portfolio ............................................. 24 World ex U.S. Value Portfolio .................................................. 2 World ex U.S. Targeted Value Portfolio .......................................... 2 World ex U.S. Core Equity Portfolio ............................................. 6 World Core Equity Portfolio ................................................... 1 Selectively Hedged Global Equity Portfolio ....................................... 2 Emerging Markets Portfolio ................................................... 116 Emerging Markets Small Cap Portfolio .......................................... 96 Emerging Markets Value Portfolio .............................................. 490 Emerging Markets Core Equity Portfolio ......................................... 274 E. Purchases and Sales of Securities: For the year ended October 31, 2016, the Portfolios transactions related to investment securities, other than short-term securities (amounts in thousands): U.S. Government Securities Other Investment Securities Purchases Sales Purchases Sales Enhanced U.S. Large Company Portfolio ................$124,198 $187,445 $ 155,588 $ 59,010 U.S. Large Cap Equity Portfolio ........................ — —230,249 87,431 U.S. Targeted Value Portfolio .......................... — —3,296,950 2,119,996 U.S. Small Cap Value Portfolio ........................ — —3,224,499 2,319,214 171 U.S. Government Securities Other Investment Securities Purchases Sales Purchases Sales U.S. Core Equity 1 Portfolio ............................. — —$2,139,073 $ 538,773 U.S. Core Equity 2 Portfolio ............................. — —2,313,580 714,155 U.S. Vector Equity Portfolio ............................. — —591,925 380,583 U.S. Small Cap Portfolio ................................ — —3,477,660 1,180,532 U.S. Micro Cap Portfolio ................................ — —938,043 829,033 DFA Real Estate Securities Portfolio ...................... — —657,728 210,391 Large Cap International Portfolio ......................... — —742,110 331,612 International Core Equity Portfolio ........................ — —1,481,725 305,360 DFA International Real Estate Securities Portfolio ........... — —654,586 24,687 DFA Global Real Estate Securities Portfolio ................ — —896,766 84,061 DFA International Small Cap Value Portfolio ............... — —2,691,336 2,324,466 International Vector Equity Portfolio ....................... — —213,086 66,645 World ex U.S. Targeted Value Portfolio .................... — —109,785 67,591 World ex U.S. Core Equity Portfolio ....................... — —457,750 19,495 Emerging Markets Core Equity Portfolio ................... — —2,630,228 521,897 For the year ended October 31, 2016, the Fund of Funds transactions related to Affiliated Investment Companies were as follows (amounts in thousands): DFA Global Real Estate Securities Portfolio Affiliated Investment Companies Balance at 10/31/2015 Balance at 10/31/2016 Purchases Sales Dividend Income Distributions of Realized Gains DFA International Real Estate Securities Portfolio .............$1,448,338 $1,678,314 $271,438 $26,141 $24,916 — DFA Real Estate Securities Portfolio ......................1,574,619 1,619,318 32,220 48,319 46,973 — Total ..........................$3,022,957 $3,297,632 $303,658 $74,460 $71,889 — World ex U.S. Value Portfolio Affiliated Investment Companies Balance at 10/31/2015 Balance at 10/31/2016 Purchases Sales Dividend Income Distributions of Realized Gains DFA International Small Cap Value Portfolio ...................... $16,637 $ 20,452 $ 6,095 $ 2,442 $ 588 $256 Total .......................... $16,637 $ 20,452 $ 6,095 $ 2,442 $ 588 $256 World Core Equity Portfolio Affiliated Investment Companies Balance at 10/31/2015 Balance at 10/31/2016 Purchases Sales Dividend Income Distributions of Realized Gains U.S. Core Equity 1 Portfolio ...........$105,442 $189,060 $ 91,959 $10,829 $2,599 $1,313 International Core Equity Portfolio ......76,621 137,648 67,241 6,540 2,806 — Emerging Markets Core Equity Portfolio .........................20,320 43,388 22,874 3,437 657 — Total ..............................$202,383 $370,096 $182,074 $20,806 $6,062 $1,313 Selectively Hedged Global Equity Portfolio Affiliated Investment Companies Balance at 10/31/2015 Balance at 10/31/2016 Purchases Sales Dividend Income Distributions of Realized Gains U.S. Core Equity 2 Portfolio ............$110,935 $124,577 $15,341 $2,287 $2,111 $2,164 International Core Equity Portfolio .......87,007 101,000 17,605 3,707 2,409 — Emerging Markets Core Equity Portfolio . . 36,717 50,601 10,607 1,202 910 — Total ...............................$234,659 $276,178 $43,553 $7,196 $5,430 $2,164 172 F. Federal Income Taxes: Each Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to its shareholders. Accordingly, no provision has been made for federal income taxes. Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gains or losses, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2016, primarily attributable to realized gains on securities considered to be “passive foreign investment companies”, non-deductible expenses, realized foreign capital gains tax, tax-equalization, non-deductible 90 day stock issuance cost, net foreign currency gains/losses, distributions received from real estate investment trusts and distribution redesignations, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands): Increase (Decrease) Paid-In Capital Increase (Decrease) Undistributed Net Investment Income Increase (Decrease) Accumulated Net Realized Gains (Losses) Enhanced U.S. Large Company Portfolio ............... $ 535 $(100) $ (435) U.S. Large Cap Equity Portfolio ....................... 304 (70) (234) U.S. Large Cap Value Portfolio........................32,819 (16,948) (15,871) U.S. Targeted Value Portfolio .........................21,874 (4,985) (16,889) U.S. Small Cap Value Portfolio ........................45,432 (7,935) (37,497) U.S. Core Equity 1 Portfolio ..........................8,674 3,625 (12,299) U.S. Core Equity 2 Portfolio ..........................10,013 (10,750) 737 U.S. Vector Equity Portfolio ..........................7,864 (4,641) (3,223) U.S. Small Cap Portfolio .............................24,806 (6,588) (18,218) U.S. Micro Cap Portfolio .............................14,933 (1,172) (13,761) DFA Real Estate Securities Portfolio ...................(11,291) 17,695 (6,404) Large Cap International Portfolio ......................(18,977) 253 18,724 International Core Equity Portfolio .....................12,878 (12,174) (704) International Small Company Portfolio ..................22,671 (7,960) (14,711) Japanese Small Company Portfolio .................... — 426 (426) Asia Pacific Small Company Portfolio ..................(16,317) 181 16,136 United Kingdom Small Company Portfolio ............... 331 79 (410) Continental Small Company Portfolio .................. — 31 (31) DFA International Real Estate Securities Portfolio ........(2,046) (9,291) 11,337 DFA Global Real Estate Securities Portfolio .............3,345 (2,527) (818) DFA International Small Cap Value Portfolio .............65,378 2,410 (67,788) International Vector Equity Portfolio ....................2,360 (1,822) (538) World ex U.S. Value Portfolio ......................... — 166 (166) World ex U.S. Targeted Value Portfolio .................2,561 (18) (2,543) World ex U.S. Core Equity Portfolio ....................1,353 (1,133) (220) World Core Equity Portfolio ........................... 80 (65) (15) Selectively Hedged Global Equity Portfolio .............. 369 114 (483) Emerging Markets Portfolio ...........................4,360 (3,397) (963) Emerging Markets Small Cap Portfolio .................13,361 2,519 (15,880) Emerging Markets Value Portfolio .....................12,432 22,396 (34,828) Emerging Markets Core Equity Portfolio ................5,090 (7,994) 2,904 173 The tax character of dividends and distributions declared and paid during the years ended October 31, 2015 and October 31, 2016 were as follows (amounts in thousands): Net Investment Income and Short-Term Capital Gains Long-Term Capital Gains Total Enhanced U.S. Large Company Portfolio 2015 ............................................... $11,391 $ 16,610 $ 28,001 2016 ...............................................4,946 9,801 14,747 U.S. Large Cap Equity Portfolio 2015 ...............................................8,398 266 8,664 2016 ...............................................14,431 — 14,431 U.S. Large Cap Value Portfolio 2015 ...............................................302,945 86,223 389,168 2016 ...............................................357,227 643,970 1,001,197 U.S. Targeted Value Portfolio 2015 ...............................................85,573 237,911 323,484 2016 ...............................................104,605 286,529 391,134 U.S. Small Cap Value Portfolio 2015 ...............................................130,190 427,115 557,305 2016 ...............................................122,984 487,358 610,342 U.S. Core Equity 1 Portfolio 2015 ...............................................200,298 49,469 249,767 2016 ...............................................253,050 160,152 413,202 U.S. Core Equity 2 Portfolio 2015 ...............................................228,075 89,857 317,932 2016 ...............................................281,321 296,061 577,382 U.S. Vector Equity Portfolio 2015 ...............................................51,799 109,045 160,844 2016 ...............................................59,624 119,588 179,212 U.S. Small Cap Portfolio 2015 ...............................................105,110 268,312 373,422 2016 ...............................................135,940 503,185 639,125 U.S. Micro Cap Portfolio 2015 ...............................................39,933 278,651 318,584 2016 ...............................................43,406 267,830 311,236 DFA Real Estate Securities Portfolio 2015 ...............................................220,092 — 220,092 2016 ...............................................199,996 — 199,996 Large Cap International Portfolio 2015 ...............................................85,101 — 85,101 2016 ...............................................92,122 — 92,122 International Core Equity Portfolio 2015 ...............................................367,607 — 367,607 2016 ...............................................387,589 — 387,589 International Small Company Portfolio 2015 ...............................................235,604 250,320 485,924 2016 ...............................................283,791 207,859 491,650 Japanese Small Company Portfolio 2015 ...............................................7,758 — 7,758 2016 ...............................................6,534 — 6,534 174 Net Investment Income and Short-Term Capital Gains Long-Term Capital Gains Total Asia Pacific Small Company Portfolio 2015 ................................................. $16,487 — $ 16,487 2016 .................................................7,760 — 7,760 United Kingdom Small Company Portfolio 2015 .................................................1,068 $ 2,151 3,219 2016 .................................................1,389 1,632 3,021 Continental Small Company Portfolio 2015 .................................................4,771 — 4,771 2016 .................................................6,377 — 6,377 DFA International Real Estate Securities Portfolio 2015 .................................................182,724 — 182,724 2016 .................................................60,576 — 60,576 DFA Global Real Estate Securities Portfolio 2015 .................................................124,281 — 124,281 2016 .................................................97,767 — 97,767 DFA International Small Cap Value Portfolio 2015 .................................................224,376 207,080 431,456 2016 .................................................381,199 182,540 563,739 International Vector Equity Portfolio 2015 .................................................38,097 10,950 49,047 2016 .................................................43,651 5,716 49,367 World ex U.S. Value Portfolio 2015 .................................................3,283 — 3,283 2016 .................................................5,358 — 5,358 World ex U.S. Targeted Value Portfolio 2015 .................................................3,902 402 4,304 2016 .................................................4,374 — 4,374 World ex U.S. Core Equity Portfolio 2015 .................................................15,824 — 15,824 2016 .................................................36,005 — 36,005 World Core Equity Portfolio 2015 .................................................2,679 232 2,911 2016 .................................................5,800 132 5,932 Selectively Hedged Global Equity Portfolio 2015 .................................................4,968 1,915 6,883 2016 .................................................6,448 620 7,068 Emerging Markets Portfolio 2015 .................................................73,891 — 73,891 2016 .................................................89,527 — 89,527 Emerging Markets Small Cap Portfolio 2015 .................................................102,968 88,636 191,604 2016 .................................................124,387 36,697 161,084 Emerging Markets Value Portfolio 2015 .................................................351,213 — 351,213 2016 .................................................439,072 — 439,072 Emerging Markets Core Equity Portfolio 2015 .................................................304,141 — 304,141 2016 .................................................349,434 — 349,434 175 At October 31, 2016, the following net investment income and short-term capital gains and long-term capital gains distributions designated for federal income tax purposes are due to the utilization of accumulated earnings and profits distributed to shareholders upon redemption of shares (amounts in thousands): Net Investment Income and Short-Term Capital Gains Long-Term Capital Gains Total Enhanced U.S. Large Company Portfolio ................... $(274) $ (261) $ (535) U.S. Large Cap Equity Portfolio ...........................(258) — (258) U.S. Large Cap Value Portfolio ............................(14,344) (18,475) (32,819) U.S. Targeted Value Portfolio .............................(5,900) (15,974) (21,874) U.S. Small Cap Value Portfolio ............................(7,917) (37,500) (45,417) U.S. Core Equity 1 Portfolio ..............................(6,342) (1,746) (8,088) U.S. Core Equity 2 Portfolio ..............................(6,490) (2,811) (9,301) U.S. Vector Equity Portfolio ...............................(2,769) (5,072) (7,841) U.S. Small Cap Portfolio .................................(7,237) (17,565) (24,802) U.S. Micro Cap Portfolio .................................(2,066) (12,862) (14,928) DFA Real Estate Securities Portfolio .......................(2,701) (750) (3,451) Large Cap International Portfolio .......................... — — — International Core Equity Portfolio .........................(12,864) — (12,864) International Small Company Portfolio ......................(11,313) (10,494) (21,808) Japanese Small Company Portfolio ........................ — — — Asia Pacific Small Company Portfolio ...................... — — — United Kingdom Small Company Portfolio ...................(149) (182) (331) Continental Small Company Portfolio ....................... — — — DFA International Real Estate Securities Portfolio ............(11,400) — (11,400) DFA Global Real Estate Securities Portfolio .................(3,047) (364) (3,411) DFA International Small Cap Value Portfolio .................(15,840) (19,436) (35,276) International Vector Equity Portfolio ........................(2,180) (179) (2,359) World ex U.S. Value Portfolio ............................. — — — World ex U.S. Targeted Value Portfolio .....................(367) — (367) World ex U.S. Core Equity Portfolio ........................(1,353) — (1,353) World Core Equity Portfolio ...............................(67) (14) (81) Selectively Hedged Global Equity Portfolio ..................(268) (101) (369) Emerging Markets Portfolio ...............................(4,360) — (4,360) Emerging Markets Small Cap Portfolio ......................(7,272) (6,089) (13,361) Emerging Markets Value Portfolio .........................(12,432) — (12,432) Emerging Markets Core Equity Portfolio ....................(12,170) — (12,170) At October 31, 2016, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands): Undistributed Net Investment Income and Short-Term Capital Gains Undistributed Long-Term Capital Gains Capital Loss Carryforwards Unrealized Appreciation (Depreciation) Total Net Distributable Earnings (Accumulated Losses) Enhanced U.S. Large Company Portfolio .... $2,930 $ 4,088 — $ (5) $ 7,013 U.S. Large Cap Equity Portfolio ............1,891 — $(11,064) 54,208 45,035 U.S. Large Cap Value Portfolio ............19,642 446,140 — 4,487,495 4,953,277 U.S. Targeted Value Portfolio ..............17,723 282,315 — 890,310 1,190,348 U.S. Small Cap Value Portfolio .............16,385 533,286 — 2,185,837 2,735,508 U.S. Core Equity 1 Portfolio ...............33,863 71,615 — 3,471,018 3,576,496 U.S. Core Equity 2 Portfolio ...............27,061 122,467 — 4,229,205 4,378,733 176 Undistributed Net Investment Income and Short-Term Capital Gains Undistributed Long-Term Capital Gains Capital Loss Carryforwards Unrealized Appreciation (Depreciation) Total Net Distributable Earnings (Accumulated Losses) U.S. Vector Equity Portfolio ................ $ 562 $101,957 — $ 895,232 $ 997,751 U.S. Small Cap Portfolio ...................18,404 343,189 — 2,071,208 2,432,801 U.S. Micro Cap Portfolio ...................4,043 255,836 — 1,277,801 1,537,680 DFA Real Estate Securities Portfolio .........39,164 66,384 — 2,060,852 2,166,400 Large Cap International Portfolio ............16,290 — $ (209,528) 208,151 14,913 International Core Equity Portfolio ...........87,644 — (362,544) 428,070 153,170 International Small Company Portfolio .......81,583 251,071 — 647,525 980,179 Japanese Small Company Portfolio .........9,316 — (31,648) 61,150 38,818 Asia Pacific Small Company Portfolio ........8,100 — (21,813) (16,408) (30,121) United Kingdom Small Company Portfolio .... 433 1,684 — 1,926 4,043 Continental Small Company Portfolio ........ 705 —(10,132) 37,037 27,610 DFA International Real Estate Securities Portfolio ..............................298,685 — (201,001) (356,853) (259,169) DFA Global Real Estate Securities Portfolio . . . 63,339 13,527 — 657,422 734,288 DFA International Small Cap Value Portfolio . . 97,358 410,184 — 916,807 1,424,349 International Vector Equity Portfolio .........11,116 4,040 — 85,341 100,497 World ex U.S. Value Portfolio ............... 986 —(2,709) (1,298) (3,021) World ex U.S. Targeted Value Portfolio ......1,024 — (8,263) 27,665 20,426 World ex U.S. Core Equity Portfolio .........7,807 — (12,063) (12,467) (16,723) World Core Equity Portfolio ................ 273 1,231 — (1,033) 471 Selectively Hedged Global Equity Portfolio ....5,104 2,369 — 11,613 19,086 Emerging Markets Portfolio ................23,714 — (220,310) 958,300 761,704 Emerging Markets Small Cap Portfolio .......65,038 117,097 — 135,765 317,900 Emerging Markets Value Portfolio ...........72,788 — (1,056,563) (1,226,944) (2,210,719) Emerging Markets Core Equity Portfolio ......67,932 — (803,339) 809,224 73,817 For federal income tax purposes, the Fund measures its capital loss carryforwards annually at October 31, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by these Portfolios after October 31, 2011 will not be subject to expiration and will retain their character as either short-term or long-term capital losses. In addition, such losses must be utilized prior to the losses incurred in the years preceding enactment. As of October 31, 2016, the Portfolios had the following capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands): Expires on October 31, 2017 2018 2019 Unlimited Total Enhanced U.S. Large Company Portfolio .................................. — — — — — U.S. Large Cap Equity Portfolio .......................................... — — — $11,064 $ 11,064 U.S. Large Cap Value Portfolio .......................................... — — — — — U.S. Targeted Value Portfolio ............................................ — — — — — U.S. Small Cap Value Portfolio .......................................... — — — — — U.S. Core Equity 1 Portfolio ............................................. — — — — — U.S. Core Equity 2 Portfolio ............................................. — — — — — U.S. Vector Equity Portfolio ............................................. — — — — — U.S. Small Cap Portfolio ................................................ — — — — — U.S. Micro Cap Portfolio ................................................ — — — — — DFA Real Estate Securities Portfolio ...................................... — — — — — Large Cap International Portfolio .........................................$135,392 $14,311 $12,549 47,275 209,527 International Core Equity Portfolio ........................................53,176 — — 309,368 362,544 International Small Company Portfolio .................................... — — — — — Japanese Small Company Portfolio .......................................13,897 12,208 5,543 — 31,648 Asia Pacific Small Company Portfolio .....................................8,261 — — 13,552 21,813 177 Expires on October 31, 2017 2018 2019 Unlimited Total United Kingdom Small Company Portfolio ................................ — — — — — Continental Small Company Portfolio .................................... $4,880 $ 5,252 — — $ 10,132 DFA International Real Estate Securities Portfolio .........................34,576 38,689 $69,466 $ 58,270 201,001 DFA Global Real Estate Securities Portfolio .............................. — — — — — DFA International Small Cap Value Portfolio .............................. — — — — — International Vector Equity Portfolio ..................................... — — — — — World ex U.S. Value Portfolio .......................................... — — 345 2,363 2,708 World ex U.S. Targeted Value Portfolio .................................. — — —8,263 8,263 World ex U.S. Core Equity Portfolio ..................................... — — —12,063 12,063 World Core Equity Portfolio ............................................ — — — — — Selectively Hedged Global Equity Portfolio ............................... — — — — — Emerging Markets Portfolio ............................................ — — —220,310 220,310 Emerging Markets Small Cap Portfolio ................................... — — — — — Emerging Markets Value Portfolio ....................................... — — —1,056,563 1,056,563 Emerging Markets Core Equity Portfolio ..................................26,444 — — 776,895 803,339 During the year ended October 31, 2016, the Portfolios utilized the following capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands): DFA International Real Estate Securities Portfolio $1,010 DFA Real Estate Securities Portfolio 10,635 Large Cap International Portfolio 40,352 Japanese Small Company Portfolio 19,964 Continental Small Company Portfolio 6,882 World ex U.S. Targeted Value Portfolio 6,624 At October 31, 2016, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands): Federal Tax Cost Unrealized Appreciation Unrealized Depreciation Net Unrealized Appreciation (Depreciation) Enhanced U.S. Large Company Portfolio ............ $234,200 $ 197 $ (189) $ 8 U.S. Large Cap Equity Portfolio ....................843,248 90,541 (36,333) 54,208 U.S. Large Cap Value Portfolio ....................13,161,883 4,484,386 — 4,484,386 U.S. Targeted Value Portfolio ......................8,412,868 1,592,535 (702,225) 890,310 U.S. Small Cap Value Portfolio .....................12,191,562 3,315,985 (1,130,148) 2,185,837 U.S. Core Equity 1 Portfolio .......................12,905,940 4,024,119 (553,100) 3,471,019 U.S. Core Equity 2 Portfolio .......................14,483,954 4,994,488 (765,283) 4,229,205 U.S. Vector Equity Portfolio .......................3,438,827 1,166,324 (271,092) 895,232 U.S. Small Cap Portfolio ..........................13,478,533 2,986,935 (915,727) 2,071,208 U.S. Micro Cap Portfolio ..........................4,615,954 1,707,552 (429,751) 1,277,801 DFA Real Estate Securities Portfolio ................5,697,975 2,172,707 (148,032) 2,024,675 Large Cap International Portfolio ...................3,472,803 591,185 (382,705) 208,480 International Core Equity Portfolio ..................17,544,279 2,624,727 (2,195,128) 429,599 International Small Company Portfolio ...............9,645,400 901,692 (253,084) 648,608 Japanese Small Company Portfolio .................448,349 61,306 — 61,306 Asia Pacific Small Company Portfolio ...............268,083 — (16,408) (16,408) United Kingdom Small Company Portfolio ............30,445 1,924 — 1,924 Continental Small Company Portfolio ...............255,325 36,924 — 36,924 DFA International Real Estate Securities Portfolio .....4,624,639 — (356,569) (356,569) DFA Global Real Estate Securities Portfolio ..........4,267,424 705,578 (48,158) 657,420 DFA International Small Cap Value Portfolio ..........12,839,126 2,621,586 (1,702,633) 918,953 178 Federal Tax Cost Unrealized Appreciation Unrealized Depreciation Net Unrealized Appreciation (Depreciation) International Vector Equity Portfolio ................. $1,906,637 $ 315,636 $ (230,103) $ 85,533 World ex U.S. Value Portfolio ......................188,993 — (782) (782) World ex U.S. Targeted Value Portfolio ..............272,787 37,221 (23,531) 13,690 World ex U.S. Core Equity Portfolio .................1,759,314 159,516 (171,862) (12,346) World Core Equity Portfolio .......................371,264 1,948 (2,980) (1,032) Selectively Hedged Global Equity Portfolio ...........264,617 11,776 (215) 11,561 Emerging Markets Portfolio .......................3,956,360 957,968 — 957,968 Emerging Markets Small Cap Portfolio ..............5,326,498 135,936 — 135,936 Emerging Markets Value Portfolio ..................17,713,863 — (1,227,510) (1,227,510) Emerging Markets Core Equity Portfolio .............18,713,368 3,479,196 (2,670,118) 809,078 The difference between book-basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales and investments in passive foreign investment companies. Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed the Portfolios’ tax positions and has concluded that no additional provision for income tax is required in the Portfolios’ financial statements. The Portfolios are not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Portfolios’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. G. Capital Share Transactions: The capital share transactions by class were as follows (amounts in thousands): Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Amount Shares Amount Shares U.S. Targeted Value Portfolio Class R1 Shares Shares Issued ....................................... $10,885 541 $ 32,126 1,408 Shares Issued in Lieu of Cash Distributions ...............2,087 104 1,658 78 Shares Redeemed ....................................(16,510) (828) (7,954) (357) Net Increase (Decrease) — Class R1 Shares ................ $(3,538) (183) $ 25,830 1,129 Class R2 Shares Shares Issued ....................................... $55,695 2,692 $ 91,125 4,038 Shares Issued in Lieu of Cash Distributions ...............7,874 394 4,855 231 Shares Redeemed ....................................(48,930) (2,390) (35,030) (1,563) Net Increase (Decrease) — Class R2 Shares ................ $14,639 696 $ 60,950 2,706 Institutional Class Shares Shares Issued ....................................... $1,922,986 96,220 $ 2,738,417 122,334 Shares Issued in Lieu of Cash Distributions ...............353,719 17,629 299,961 14,250 Shares Redeemed ....................................(1,368,182) (67,152) (1,098,528) (49,444) Net Increase (Decrease) — Institutional Class Shares ......... $908,523 46,697 $ 1,939,850 87,140 179 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Amount Shares Amount Shares Emerging Markets Value Portfolio Class R2 Shares Shares Issued ...................................... $26,972 1,227 $ 30,224 1,180 Shares Issued in Lieu of Cash Distributions ..............2,365 110 1,822 79 Shares Redeemed ..................................(15,075) (714) (36,071) (1,484) Net Increase (Decrease) — Class R2 Shares .............. $14,262 623 $ (4,025) (225) Institutional Class Shares Shares Issued ...................................... $2,794,365 131,949 $ 3,605,561 146,249 Shares Issued in Lieu of Cash Distributions ..............413,784 19,201 330,322 14,260 Shares Redeemed ..................................(3,524,430) (162,649) (4,083,777) (163,185) Net Increase (Decrease) — Institutional Class Shares ....... $ (316,281) (11,499) $ (147,894) (2,676) H. Financial Instruments: In accordance with the Portfolios’ investment objectives and policies, the Portfolios may invest either directly or indirectly through their investment in a corresponding Master Fund, in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. Foreign Market Risks:Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Portfolios may be inhibited. Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Portfolios. 2. Forward Currency Contracts: Enhanced U.S. Large Company Portfolio, International Equity Portfolios and Selectively Hedged Global Equity Portfolio may acquire and sell forward currency contracts to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies (foreign exchange rate risk). The Enhanced U.S. Large Company Portfolio may also enter into forward currency contracts to transfer balances from one currency to another currency. The Selectively Hedged Global Equity Portfolio may hedge some or all of the currency exposure of its foreign securities by entering into forward currency contracts. The decision to hedge a Portfolio’s currency exposure with respect to a foreign market will be based primarily on the Portfolio’s existing exposure to a given foreign currency. Each contract is valued daily and the change in value is recorded by the Portfolio as an unrealized gain or loss, which is presented in the Statements of Operations as the change in unrealized appreciation or depreciation from translation of foreign-currency-denominated amounts. When the contract is closed or offset with the same counterparty, the Portfolio records a realized gain or loss equal to the change in the value of the contract when it was opened and the value at the time it was closed or offset. This is presented in the Statements of Operations as a net realized gain or loss on foreign currency transactions. At October 31, 2016, the Selectively Hedged Global Equity Portfolio had entered into the following contracts and the 180 net unrealized foreign exchange gain (loss) is reflected in the accompanying financial statements (amounts in thousands): Selectively Hedged Global Equity Portfolio Settlement Date Currency Amount*Currency Counterparty Contract Amount Value at October 31, 2016 Unrealized Foreign Exchange Gain (Loss) 11/04/16 (8,024) Canadian Dollar Bank of America Corp. $ (6,085) $ (5,983) $102 12/01/16 (12,226) Denmark Krone Citibank, N.A. (1,787) (1,807) (20) 11/02/16 21,610 Euro Citibank, N.A. 23,649 23,722 73 11/02/16 (21,610) Euro JP Morgan (24,311) (23,723) 588 12/05/16 (21,951) Euro Citibank, N.A. (24,055) (24,130) (75) 11/30/16 (69,716) Hong Kong Dollar ANZ Securities (8,989) (8,990) (1) 12/01/16 (2,314,926) Japanese Yen Citibank, N.A. (22,115) (22,095) 20 11/22/16 (23,113) Swedish Krona Citibank, N.A. (2,625) (2,561) 64 11/29/16 (5,768) Swiss Franc State Street Bank and Trust (5,817) (5,837) (20) 11/22/16 (11,511) UK Pound Sterling State Street Bank and Trust (14,013) (14,095) (82) $(86,148) $(85,499) $649 * Positive Currency Amount represents a purchase contract and a Currency Amount in parentheses represents a sale contract. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currency relative to the U.S. dollar. 3.Futures Contracts:The Portfolios may purchase or sell futures contracts and options on futures contracts for equity securities and indices to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolios. The Portfolios, however, do not intend to sell futures contracts to establish short positions in individual securities. The Enhanced U.S. Large Company Portfolio may also use futures contracts and options thereon to hedge against securities prices or as part of its overall investment strategy. The Selectively Hedged Global Equity Portfolio may also use futures contracts to hedge some or all of the currency exposure of its foreign securities. Upon entering into a futures contract, the Portfolios deposit cash or pledge U.S. Government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Portfolios as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolios record a realized gain or loss, which is presented in the Statements of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Portfolios could lose more than the initial margin requirements. The Portfolios entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. 181 At October 31, 2016, the following Portfolios had outstanding futures contracts (dollar amounts in thousands): Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral Enhanced U.S. Large Company Portfolio ....... S&P500Emini Index ®12/16/16 2,258 $239,359 $252 — $239,359 $252 — Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral U.S. Targeted Value Portfolio .............. S&P500Emini Index ®12/16/16 760 $80,564 $(2,039) $3,420 $80,564 $(2,039) $3,420 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral U.S. Small Cap Value Portfolio .............. S&P500Emini Index ®12/16/16 2,738 $290,242 $(3,946) $12,321 $290,242 $(3,946) $12,321 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral U.S. Core Equity 1 Portfolio .............. S&P500Emini Index ®12/16/16 1,120 $118,726 $(3,224) $5,040 $118,726 $(3,224) $5,040 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral U.S. Core Equity 2 Portfolio .............. S&P500Emini Index ®12/16/16 1,260 $133,566 $(3,630) $5,670 $133,566 $(3,630) $5,670 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral U.S. Vector Equity Portfolio .............. S&P500Emini Index ®12/16/16 290 $30,741 $(835) $1,305 $30,741 $(835) $1,305 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral U.S. Small Cap Portfolio . . . Russell 2000 Index ®12/16/16 552 $ 65,649 $(3,300) $3,028 U.S. Small Cap Portfolio . . . S&P 500 Emini Index ®12/16/16 588 62,331 (990) 2,875 $127,980 $(4,290) $5,903 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral U.S. Micro Cap Portfolio . . . Russell 2000 Index ®12/16/16 196 $23,310 $(1,224) $1,055 U.S. Micro Cap Portfolio . . . S&P 500 Emini Index ®12/16/16 345 36,572 (438) 1,654 $59,882 $(1,662) $2,709 182 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral DFA Real Estate Securities Portfolio .............. S&P500Emini Index ®12/16/16 536 $56,819 $(1,518) $2,412 $56,819 $(1,518) $2,412 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral Large Cap International Portfolio ..............MINI MSCI EAFE Index ®12/16/16 190 $15,824 $(579) $ 735 Large Cap International Portfolio .............. S&P500Emini Index ®12/16/16 150 15,901 (291) 738 $31,725 $(870) $1,473 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral International Core Equity Portfolio .............. S&P500Emini Index ®12/16/16 1,340 $142,047 $(2,948) $6,030 $142,047 $(2,948) $6,030 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral International Small Company Portfolio ...................Russell 2000 Index ®12/16/16 270 $32,111 $(1,548) $1,450 International Small Company Portfolio ................... S&P500Emini Index ®12/16/16 505 53,533 (1,240) 2,416 $85,644 $(2,788) $3,866 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral DFA International Real Estate Securities Portfolio .............. S&P500Emini Index ®12/16/16 275 $29,151 $(304) $1,238 $29,151 $(304) $1,238 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral DFA International Small Cap Value Portfolio .....Russell 2000 Index ®12/16/16 100 $ 11,893 $ (621) $ 513 DFA International Small Cap Value Portfolio ..... S&P500Emini Index ®12/16/16 1,125 119,256 (2,837) 5,140 $131,149 $(3,458) $5,653 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral Selectively Hedged Global Equity Portfolio ......... S&P500Emini Index ®12/16/16 127 $13,463 $(348) $572 $13,463 $(348) $572 183 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral Emerging Markets Core Equity Portfolio ......... MINI MSCI Emerging Markets Index ®12/16/16 650 $ 29,364 $ (206) $1,256 Emerging Markets Core Equity Portfolio ......... S&P500Emini Index ®12/16/16 1,238 131,234 (3,241) 5,615 $160,598 $(3,447) $6,871 The average volume (based on the open positions at each fiscal month-end) of derivative activity for the year ended October 31, 2016 (amounts in thousands): Forward Currency Contracts Futures Enhanced U.S. Large Company Portfolio .......................... — $206,092 U.S. Targeted Value Portfolio .................................... —54,741 U.S. Small Cap Value Portfolio ................................... —204,770 U.S. Core Equity 1 Portfolio ..................................... —83,185 U.S. Core Equity 2 Portfolio ..................................... —93,600 U.S. Vector Equity Portfolio ...................................... —21,552 U.S. Small Cap Portfolio ........................................ —94,517 U.S. Micro Cap Portfolio ........................................ —40,166 DFA Real Estate Securities Portfolio .............................. —42,383 Large Cap International Portfolio *................................ $1,268 19,922 International Core Equity Portfolio *............................... 695 104,335 International Small Company Portfolio ............................. —69,319 DFA International Real Estate Securities Portfolio*.................. 349 26,287 DFA International Small Cap Value Portfolio *...................... 914 115,375 International Vector Equity Portfolio *.............................. 211 — World ex U.S. Targeted Value Portfolio *........................... 7 — World ex U.S. Core Equity Portfolio *.............................. 174 — Selectively Hedged Global Equity Portfolio .........................106,282 12,902 Emerging Markets Core Equity Portfolio *.......................... 606 122,171 * The Portfolio had derivative activity during the period but it did not have open forward currency contract positions at October 31, 2016. Securities have been segregated as collateral for open futures contracts. The following is a summary of the location of derivatives on the Portfolios’ Statements of Assets and Liabilities as of October 31, 2016: Location on the Statements of Assets and Liabilities Derivative Type Asset Derivatives Liability Derivatives Foreign exchange contracts Unrealized Gain on Forward Currency Contracts Unrealized Loss on Forward Currency Contracts Equity contracts Receivables: Futures Margin Variation Payables: Futures Margin Variation 184 The following is a summary of the Portfolios’ derivative instrument holdings categorized by primary risk exposure as of October 31, 2016 (amounts in thousands): Asset Derivatives Value Total Value at October 31, 2016 Foreign Exchange Contracts Equity Contracts* Enhanced U.S. Large Company Portfolio .................... $ 252 — $ 252 Selectively Hedged Global Equity Portfolio ................... 847 $847 — Liability Derivatives Value Total Value at October 31, 2016 Foreign Exchange Contracts Equity Contracts* U.S. Targeted Value Portfolio ..............................$(2,039) — $(2,039) U.S. Small Cap Value Portfolio .............................(3,946) — (3,946) U.S. Core Equity 1 Portfolio ...............................(3,224) — (3,224) U.S. Core Equity 2 Portfolio ...............................(3,630) — (3,630) U.S. Vector Equity Portfolio ................................(835) — (835) U.S. Small Cap Portfolio ..................................(4,290) — (4,290) U.S. Micro Cap Portfolio ..................................(1,662) — (1,662) DFA Real Estate Securities Portfolio ........................(1,518) — (1,518) Large Cap International Portfolio ...........................(870) — (870) International Core Equity Portfolio ..........................(2,948) — (2,948) International Small Company Portfolio .......................(2,788) — (2,788) DFA International Real Estate Securities Portfolio .............(304) — (304) DFA International Small Cap Value Portfolio ..................(3,458) — (3,458) Selectively Hedged Global Equity Portfolio ...................(546) $(198) (348) Emerging Markets Core Equity Portfolio .....................(3,447) — (3,447) * Includes cumulative appreciation (depreciation) of futures contracts. Only current day’s margin variation is reported within the Statements of Assets and Liabilities. The following is a summary of the location on the Portfolios’ Statements of Operations of realized and change in unrealized gains and losses from the Portfolios’ derivative instrument holdings through the year ended October 31, 2016: Derivative Type Location of Gain (Loss) on Derivatives Foreign exchange contracts Net Realized Gain (Loss) on: Foreign Currency Transactions Change in Unrealized Appreciation (Depreciation) of: Translation of Foreign Currency Denominated Amounts Equity contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures The following is a summary of the realized and change in unrealized gains and losses from the Portfolios’ derivative instrument holdings categorized by primary risk exposure through the year ended October 31, 2016 (amounts in thousands): Realized Gain (Loss) on Derivatives Total Foreign Exchange Contracts Equity Contracts Enhanced U.S. Large Company Portfolio .......................... $7,848 — $ 7,848 U.S. Large Cap Value Portfolio ...................................17,635 — 17,635 U.S. Targeted Value Portfolio ....................................6,695 — 6,695 U.S. Small Cap Value Portfolio ...................................42,945 — 42,945 U.S. Core Equity 1 Portfolio .....................................14,545 — 14,545 185 Realized Gain (Loss) on Derivatives Total Foreign Exchange Contracts Equity Contracts U.S. Core Equity 2 Portfolio .....................................$16,424 — $16,424 U.S. Vector Equity Portfolio ......................................3,911 — 3,911 U.S. Small Cap Portfolio ........................................18,220 — 18,220 U.S. Micro Cap Portfolio ........................................4,507 — 4,507 DFA Real Estate Securities Portfolio ..............................6,786 — 6,786 Large Cap International Portfolio .................................2,586 $ (1) 2,587 International Core Equity Portfolio ................................19,272 (3) 19,275 International Small Company Portfolio .............................17,796 — 17,796 Continental Small Company Portfolio .............................. 50 — 50 DFA International Real Estate Securities Portfolio ...................4,480 48 4,432 DFA Global Real Estate Securities Portfolio ........................ 757 — 757 DFA International Small Cap Value Portfolio ........................29,244 27 29,217 International Vector Equity Portfolio ............................... 138 (44) 182 World ex U.S. Value Portfolio .................................... 112 — 112 World ex U.S. Targeted Value Portfolio ............................ 8 8 — World ex U.S. Core Equity Portfolio ...............................(629) — (629) Selectively Hedged Global Equity Portfolio .........................2,131 371 1,760 Emerging Markets Portfolio ......................................5,655 — 5,655 Emerging Markets Small Cap Portfolio ............................4,016 — 4,016 Emerging Markets Value Portfolio ................................11,373 — 11,373 Emerging Markets Core Equity Portfolio ...........................30,116 — 30,116 Change in Unrealized Appreciation (Depreciation) on Derivatives Total Foreign Exchange Contracts Equity Contracts Enhanced U.S. Large Company Portfolio .......................... $(557) — $ (557) U.S. Large Cap Value Portfolio ...................................(3,292) — (3,292) U.S. Targeted Value Portfolio ....................................(2,039) — (2,039) U.S. Small Cap Value Portfolio ...................................(3,946) — (3,946) U.S. Core Equity 1 Portfolio .....................................(3,224) — (3,224) U.S. Core Equity 2 Portfolio .....................................(3,630) — (3,630) U.S. Vector Equity Portfolio ......................................(835) — (835) U.S. Small Cap Portfolio ........................................(4,290) — (4,290) U.S. Micro Cap Portfolio ........................................(1,662) — (1,662) DFA Real Estate Securities Portfolio ..............................(1,518) — (1,518) Large Cap International Portfolio .................................(870) — (870) International Core Equity Portfolio ................................(2,948) — (2,948) International Small Company Portfolio .............................(2,771) — (2,771) Continental Small Company Portfolio .............................. 2 — 2 DFA International Real Estate Securities Portfolio ...................(304) — (304) DFA International Small Cap Value Portfolio ........................(3,458) — (3,458) World ex U.S. Value Portfolio ....................................(19) — (19) Selectively Hedged Global Equity Portfolio .........................(559) $541 (1,100) Emerging Markets Portfolio ......................................(263) — (263) Emerging Markets Small Cap Portfolio ............................ 286 — 286 Emerging Markets Value Portfolio ................................(391) — (391) Emerging Markets Core Equity Portfolio ...........................(3,447) — (3,447) 186 Offsetting of Derivative Assets and Derivative Liabilities In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or a similar agreement with certain of its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs over-the- counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, provisions in the event of a default and/or termination event and may also include collateral posting items. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted, if any, and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out), including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the “Statement of assets and liabilities.” The following table presents the Portfolios’ gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Portfolios as of October 31, 2016 (Amounts in thousands): Description Gross Amounts of Recognized Assets (a) Net Amounts of Assets Presented in the Statements of Assets and Liabilities Gross Amounts Not Offset in the Statements of Assets and Liabilities Net Amount (c) Gross Amounts of Recognized Liabilities (a) Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities Gross Amounts Not Offset in the Statements of Assets and Liabilities Net Amount (e) Financial Instruments (b) Cash Collateral Received Financial Instruments (d) Cash Collateral Pledged Assets Liabilities Selectively Hedged Global Equity Portfolio Forward Currency Contracts ..........$847 $847 $(95) — $752 $198 $198 $(95) — $103 (a) No amounts have been netted against the gross amounts recognized in the Statements of Assets and Liabilities. (b) Represents the amount of assets that could be offset by liabilities with the same counterparty under master netting or similar agreements that management elects not to offset on the Statements of Assets and Liabilities. (c) Represents the net amount due from counterparties in the event of default. (d) Represents the amount of liabilities that could be offset by assets with the same counterparty under master netting or similar agreements that management elects not to offset on the Statements of Assets and Liabilities. (e) Represents the net amount due to counterparties in the event of default. Note K contains information regarding securities lending amounts that are subject to netting arrangements. I. Line of Credit and Interfund Lending Program: The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million uncommitted, unsecured discretionary line of credit effective March 30, 2016,with its domestic custodian bank. A line of credit with similar terms was in effect through March 29, 2016. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on March 29, 2017. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit with its international custodian bank effective January 8, 2016. A line of credit with similar 187 terms was in effect through January 7, 2016. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The line of credit agreement expires on January 7, 2017. For the year ended October 31, 2016, borrowings by the Portfolios under the lines of credit were as follows (amounts in thousands, except percentages and days): Weighted Average Interest Rate Weighted Average Loan Balance Number of Days Outstanding* Interest Expense Incurred Maximum Amount Borrowed During The Period U.S. Large Cap Equity Portfolio ..........1.04% $ 2,324 29 $ 2 $ 8,804 U.S. Targeted Value Portfolio ............1.05% 12,631 5 2 19,633 U.S. Vector Equity Portfolio ..............0.87% 1,177 3 — 1,177 Large Cap International Portfolio ..........1.13% 2,459 3 — 4,761 International Core Equity Portfolio ........1.10% 32,535 13 13 55,150 International Small Company Portfolio .....1.00% 3,790 13 1 18,387 DFA International Small Cap Value Portfolio ............................1.04% 31,688 8 7 61,254 International Vector Equity Portfolio .......1.12% 3,589 32 4 8,719 World ex U.S. Value Portfolio ............1.08% 313 62 1 3,180 World ex U.S. Targeted Value Portfolio ....1.09% 2,620 50 4 7,642 World ex U.S. Core Equity Portfolio .......0.94% 2,673 10 1 5,264 World Core Equity Portfolio ..............1.08% 1,089 20 1 4,841 Emerging Markets Core Equity Portfolio ....0.94% 36,977 28 26 121,214 * Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2016, that each Portfolio’s available line of credit was utilized. There were no outstanding borrowings by Portfolios under the lines of credit as of October 31, 2016. Pursuant to an exemptive order issued by the SEC (the “Order”), the Portfolios may participate in an interfund lending program among certain Portfolios managed by the Advisor (portfolios that operate as feeder funds do not participate in the program). The program allows the participating Portfolios to borrow money from and loan money to each other for temporary or emergency purposes, subject to the conditions in the Order. A loan can only be made through the program if the interfund loan rate on that day is more favorable to both the borrowing and lending Portfolios as compared to rates available through short-term bank loans or investments in overnight repurchase agreements and money market funds, respectively, as detailed in the Order. Further, a Portfolio may participate in the program only if and to the extent that such participation is consistent with its investment objectives and limitations. Interfund loans have a maximum duration of seven days and may be called on one business day’s notice. The Portfolios did not utilize the interfund lending program during the year ended October 31, 2016. J. Affiliated Trades: Cross trades for the year ended October 31, 2016, if any, were executed by the Portfolios pursuant to procedures adopted by the Board of Directors of the Fund to ensure compliance with Rule 17a-7 under the Investment Company Act of 1940 (the “1940 Act”). Cross trading is the buying or selling of portfolio securities between series of investment companies, or between a series of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment adviser (or affiliated investment advisers), common directors and/or common officers. At its regularly scheduled meetings, the Board reviews such transactions for compliance with the requirements and restrictions set forth by Rule 17a-7 under the 1940 Act. 188 For the year ended October 31, 2016, cross trades by the Portfolios under Rule 17a-7 were as follows (amounts in thousands): Portfolio Purchases Sales Realized Gain (Loss) U.S. Large Cap Equity Portfolio ......................... $27,570 $ 24,560 $ (2,752) U.S. Targeted Value Portfolio ..........................198,462 258,264 33,497 U.S. Small Cap Value Portfolio .........................41,485 529,351 56,512 U.S. Core Equity 1 Portfolio ............................204,530 143,651 (15,380) U.S. Core Equity 2 Portfolio ............................254,997 140,170 1,373 U.S. Vector Equity Portfolio ............................46,739 54,146 11,343 U.S. Small Cap Portfolio...............................327,605 83,496 20,824 U.S. Micro Cap Portfolio ...............................94,240 118,943 54,866 DFA Real Estate Securities Portfolio .....................4,311 2,083 423 Large Cap International Portfolio ........................53,749 61,512 (1,108) International Core Equity Portfolio .......................203,108 255,730 (922) DFA Global Real Estate Securities Portfolio ...............1,678 — — DFA International Small Cap Value Portfolio ..............385,406 444,880 41,282 International Vector Equity Portfolio .....................20,229 22,944 (79) World ex U.S. Targeted Value Portfolio ..................6,070 10,962 545 World ex U.S. Core Equity Portfolio .....................15,173 16,486 (232) Emerging Markets Core Equity Portfolio ..................14,853 15,515 (1,558) K. Securities Lending: As of October 31, 2016, some of the Portfolios had securities on loan to brokers/dealers, for which each such Portfolio received cash collateral. The non-cash collateral includes short-and/or long-term U.S. Treasuries and U.S. government agency securities as follows (amounts in thousands): Market Value Uninvested Cash U.S. Large Cap Equity Portfolio .................................. $9,409 — U.S. Targeted Value Portfolio ....................................367,153 — U.S. Small Cap Value Portfolio ..................................194,743 — U.S. Core Equity 1 Portfolio .....................................622,368 — U.S. Core Equity 2 Portfolio .....................................561,339 — U.S. Vector Equity Portfolio .....................................163,776 — U.S. Small Cap Portfolio ........................................232,046 — U.S. Micro Cap Portfolio ........................................83,144 — DFA Real Estate Securities Portfolio ..............................146,276 — Large Cap International Portfolio .................................9,368 — International Core Equity Portfolio ................................65,844 — DFA International Real Estate Securities Portfolio ...................5,917 — DFA International Small Cap Value Portfolio .......................20,275 $1,382 International Vector Equity Portfolio ...............................5,330 — World ex U.S. Targeted Value Portfolio ............................1,907 — World ex U.S. Core Equity Portfolio ...............................14,969 110 Emerging Markets Core Equity ..................................651,321 — Each Portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral in an amount (i) equal to at least 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) generally equal to 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) generally equal to 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the 189 Portfolio’s collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Portfolio or, at the option of the lending agent, to replace the securities. In the event of the bankruptcy of the borrower, a Portfolio could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value. Subject to their stated investment policies, each Portfolio will generally invest the cash collateral received for the loaned securities in the Money Market Series, an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. Each Portfolio also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, each Portfolio will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of October 31, 2016: Remaining Contractual Maturity of the Agreements As of October 31, 2016 Overnight and Continuous <30 days Between 30 & 90 days >90 days Total Securities Lending Transactions U.S. Large Cap Equity Portfolio Common Stocks, Rights/Warrants ...... $46,037,222 — — — $ 46,037,222 U.S. Targeted Value Portfolio Common Stocks .....................1,240,541,205 — — — 1,240,541,205 DFA Real Estate Securities Portfolio Common Stocks .....................461,556,560 — — — 461,556,560 International Core Equity Portfolio Common Stocks, Rights/Warrants ......1,236,637,558 — — — 1,236,637,558 Emerging Markets Core Equity Portfolio Common Stocks .....................1,040,127,894 — — — 1,040,127,884 DFA Global Real Estate Securities Portfolio Common Stocks .....................34,027,679 — — — 34,027,679 World ex U.S. Targeted Value Portfolio Common Stocks .....................7,145,456 — — — 7,145,456 U.S. Core Equity 1 Portfolio Common Stocks, Rights/Warrants ......1,416,230,536 — — — 1,416,230,536 U.S. Core Equity 2 Portfolio Common Stocks, Rights/Warrants ......1,865,189,843 — — — 1,865,189,843 International Vector Equity Portfolio Common Stocks .....................144,254,351 — — — 144,254,351 Large Cap International Portfolio Common Stocks .....................207,774,454 — — — 207,774,454 DFA International Small Cap Value Portfolio Common Stocks .....................947,512,927 — — — 947,512,927 190 Remaining Contractual Maturity of the Agreements As of October 31, 2016 Overnight and Continuous <30 days Between 30 & 90 days >90 days Total DFA International Real Estate Securities Portfolio Common Stocks ..................... $157,926,434 — — — $ 157,926,434 U.S. Vector Equity Portfolio Common Stocks, Rights/Warrants ......509,342,336 — — — 509,342,336 U.S. Small Cap Portfolio Common Stocks, Rights/Warrants ......2,565,604,574 — — — 2,565,604,574 U.S. Small Cap Value Portfolio Common Stocks .....................1,802,024,349 — — — 1,802,024,349 U.S. Micro Cap Portfolio Common Stocks, Rights/Warrants ......804,805,059 — — — 804,805,059 World ex U.S. Core Equity Portfolio Common Stocks .....................101,533,454 — — — 101,533,454 L. Shareholder Servicing Fees: The Class R1 Shares pay a shareholder servicing fee in an amount up to 0.10% and Class R2 Shares pay a shareholder servicing fee in an amount up to 0.25% of their annual average net assets to compensate service agents that provide shareholder servicing, record keeping, account maintenance and other services to investors in U.S. Targeted Value Portfolio Class R1 and Class R2 Shares and Emerging Markets Value Portfolio Class R2 Shares. M. Indemnitees; Contractual Obligations: Under the Fund’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. N. In-Kind Redemptions: During the year ended October 31, 2016, the following Portfolio realized net gains (losses) on in-kind redemptions as follows: DFA International Small Cap Value Portfolio ....................................29,398 O. Other: At October 31, 2016, the following number of shareholders held the following approximate percentages of the stated Portfolios’ outstanding shares. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors. Number of Shareholders Approximate Percentage of Outstanding Shares Enhanced U.S. Large Company Portfolio — Institutional Class Shares ........................................... 4 76% U.S. Large Cap Equity Portfolio — Institutional Class Shares ..... 3 94% U.S. Large Cap Value Portfolio — Institutional Class Shares ...... 3 72% U.S. Targeted Value Portfolio — Class R1 Shares .............. 4 86% U.S. Targeted Value Portfolio — Class R2 Shares .............. 7 80% 191 Number of Shareholders Approximate Percentage of Outstanding Shares U.S. Targeted Value Portfolio — Institutional Class Shares ....... 3 58% U.S. Small Cap Value Portfolio — Institutional Class Shares ...... 3 58% U.S. Core Equity 1 Portfolio — Institutional Class Shares ........ 6 82% U.S. Core Equity 2 Portfolio — Institutional Class Shares ........ 6 85% U.S. Vector Equity Portfolio — Institutional Class Shares ......... 4 87% U.S. Small Cap Portfolio — Institutional Class Shares ........... 3 51% U.S. Micro Cap Portfolio — Institutional Class Shares ........... 5 79% DFA Real Estate Securities Portfolio — Institutional Class Shares ........................................... 4 79% Large Cap International Portfolio — Institutional Class Shares .... 3 68% International Core Equity Portfolio ............................ 4 73% International Small Company Portfolio — Institutional Class Shares ........................................... 4 61% Japanese Small Company Portfolio — Institutional Class Shares . . 4 86% Asia Pacific Small Company Portfolio — Institutional Class Shares ........................................... 3 89% United Kingdom Small Company Portfolio — Institutional Class Shares ........................................... 4 92% Continental Small Company Portfolio — Institutional Class Shares ........................................... 4 95% DFA International Real Estate Securities Portfolio — Institutional Class Shares ........................................... 4 88% DFA Global Real Estate Securities Portfolio — Institutional Class Shares ........................................... 3 72% DFA International Small Cap Value Portfolio — Institutional Class Shares ........................................... 4 68% International Vector Equity Portfolio — Institutional Class Shares ........................................... 4 91% World ex U.S. Value Portfolio — Institutional Class Shares ....... 5 84% World ex U.S. Targeted Value Portfolio — Institutional Class Shares ........................................... 3 99% World ex U.S. Core Equity Portfolio — Institutional Class Shares . . 3 81% World Core Equity Portfolio ................................. 5 90% Selectively Hedged Global Equity Portfolio — Institutional Class Shares ........................................... 4 95% Emerging Markets Portfolio — Institutional Class Shares ......... 4 68% Emerging Markets Small Cap Portfolio — Institutional Class Shares ........................................... 3 52% Emerging Markets Value Portfolio — Class R2 Shares ........... 2 90% Emerging Markets Value Portfolio — Institutional Class Shares . . . 2 33% Emerging Markets Core Equity Portfolio — Institutional Class Shares ........................................... 3 59% The Portfolios are subject to claims and suits that arise from time to time in the ordinary course of business. Although management currently believes that resolving claims against us, individually or in aggregate, will not have a material adverse impact on our financial position, our results of operations, or our cash flows, these matters are subject to inherent uncertainties and management’s view of these matters may change in the future. The U.S. Large Cap Value Series has been named as a defendant in a multi-district litigation pending in the United States District Court for the Southern District of New York (the “Court”), captioned IN RE TRIBUNE COMPANY FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the “Tribune MDL”). The Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company (“Tribune”) (the “LBO”) and Tribune’s 192 subsequent bankruptcy and reorganization. In connection with the LBO, thousands of Tribune shareholders, including The U.S. Large Cap Value Series, sold Tribune shares back to Tribune for $34 per share. The Tribune MDL includes a series of lawsuits brought by individual creditors of Tribune (the “Individual Creditor Actions”) and a lawsuit brought by a court-appointed trustee on behalf of the committee of unsecured creditors of Tribune (the “Committee Action,” and with the Individual Creditor Actions, collectively referred to as the “Lawsuits”). The Lawsuits seek to unwind the LBO stock repurchases as fraudulent transfers and recover the stock repurchase proceeds paid to the Tribune shareholders who participated in the LBO. On September 23, 2013, the Court entered an order dismissing the Individual Creditor Actions in their entirety on the grounds that the individual creditor plaintiffs lack standing to pursue their claims. The parties appealed the Court’s dismissal order to the Second Circuit, and, on March 29, 2016, the Second Circuit affirmed the dismissal, albeit on the grounds that the individual creditor plaintiffs’ claims are preempted by the Bankruptcy Code’s safe harbor for securities transactions. The Committee Action remains pending, and a motion to dismiss on behalf of all shareholder defendants in the Committee Action was filed on May 23, 2014. The motion to dismiss is fully-briefed, and the parties await the scheduling of oral argument on the motion. The Committee Action is stayed pending the disposition of the motion to dismiss. Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has advised management that it does not believe that it is possible, at this early stage in the proceedings, to predict with any reasonable certainty the probable outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series can do so, no reduction of the net asset value of The U.S. Large Cap Value Series will be made relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain the full recovery the plaintiffs seek, the amount would be less than 1% of the net asset value of The U.S. Large Cap Value Series at this time. The U.S. Large Cap Value Series also cannot quantify the cost of the Lawsuits that could potentially be deducted from its net asset value. Therefore, at this time, those investors buying or redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the case may be, a price based on the net asset value of The U.S. Large Cap Value Series, with no adjustment relating to the Lawsuits. The attorneys’ fees and costs relating to the Lawsuits will be taken as expenses by The U.S. Large Cap Value Series as incurred and in a manner similar to any other expense incurred by The U.S. Large Cap Value Series. P. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolios through the date that the financial statements were issued and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 193 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Directors of DFA Investment Dimensions Group Inc. and Shareholders of the Portfolios, as defined: In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments/ summary schedules of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Enhanced U.S. Large Company Portfolio, U.S. Large Cap Equity Portfolio, U.S. Large Cap Value Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio, DFA Real Estate Securities Portfolio, Large Cap International Portfolio, International Core Equity Portfolio, International Small Company Portfolio, Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, United Kingdom Small Company Portfolio, Continental Small Company Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, DFA International Small Cap Value Portfolio, International Vector Equity Portfolio, World ex U.S. Value Portfolio, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio, World Core Equity Portfolio, Selectively Hedged Global Equity Portfolio, Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value Portfolio and Emerging Markets Core Equity Portfolio (constituting portfolios within DFA Investment Dimensions Group Inc., hereafter referred to as the “Portfolios”) as of October 31, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of October 31, 2016 by correspondence with the custodians, brokers and the transfer agents of the investee funds, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 20, 2016 194 NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940 (Unaudited) As noted in the table provided below, the following Portfolios paid distributions to shareholders of record that included amounts from net investment income and return of capital. Please note that this information is being provided to satisfy certain notice requirements under the Investment Company Act of 1940 and is not being provided for tax reporting purposes. Each Portfolio will send (or has sent) shareholders a Form 1099-DIV (or a financial intermediary should provide (or has provided) shareholders with similar information) for the relevant calendar year informing shareholders how to report these distributions for federal income tax purposes. Portfolio Name % Breakdown of Distribution Sources Net Investment Income Net Realized Capital Gains: Short-Term Net Realized Capital Gains: Long-Term Return of Capital Enhanced U.S. Large Company Portfolio December 16, 2015 ............................... 76% 0% 0% 24% U.S. Large Cap Equity Portfolio December 16, 2015 ............................... 91% 0% 0% 9% U.S. Large Cap Value Portfolio December 16, 2015 ............................... 90% 0% 0% 10% U.S. Targeted Value Portfolio December 16, 2015 ............................... 87% 0% 0% 13% U.S. Small Cap Value Portfolio December 16, 2015 ............................... 57% 0% 0% 43% March 30, 2016 ................................... 36% 0% 0% 64% June 29, 2016 .................................... 42% 0% 0% 58% U.S. Core Equity 1 Portfolio December 15, 2015 ............................... 87% 0% 0% 13% U.S. Core Equity 2 Portfolio December 15, 2015 ............................... 89% 0% 0% 11% U.S. Vector Equity Portfolio December 16, 2015 ............................... 88% 0% 0% 12% U.S. Small Cap Portfolio December 16, 2015 ............................... 81% 0% 0% 19% March 30, 2016 ................................... 98% 0% 0% 2% June 29, 2016 .................................... 97% 0% 0% 3% U.S. Micro Cap Portfolio December 16, 2015 ............................... 71% 0% 0% 29% March 30, 2016 ................................... 74% 0% 0% 26% June 29, 2016 .................................... 72% 0% 0% 28% Large Cap International Portfolio December 15, 2015 ............................... 72% 0% 0% 28% June 29, 2016 .................................... 97% 0% 0% 3% International Core Equity Portfolio December 15, 2015 ............................... 65% 0% 0% 35% June 29, 2016 .................................... 99% 0% 0% 1% International Small Company Portfolio December 16, 2015 ............................... 38% 0% 0% 62% March 30, 2016 ................................... 9% 0% 0% 91% June 29, 2016 .................................... 51% 0% 0% 49% September 29, 2016 ............................... 22% 0% 0% 78% Japanese Small Company Portfolio December 16, 2015 ............................... 21% 0% 0% 79% 195 Portfolio Name % Breakdown of Distribution Sources Net Investment Income Net Realized Capital Gains: Short-Term Net Realized Capital Gains: Long-Term Return of Capital Asia Pacific Small Company Portfolio December 16, 2015 ............................... 8% 0% 0% 92% United Kingdom Small Company Portfolio December 16, 2015 ............................... 52% 0% 0% 48% March 30, 2016 ................................... 45% 0% 0% 55% June 29, 2016 .................................... 39% 0% 0% 61% Continental Small Company Portfolio December 16, 2015 ............................... 52% 0% 0% 48% March 30, 2016 ................................... 78% 0% 0% 22% June 29, 2016 .................................... 98% 0% 0% 2% DFA International Real Estate Securities Portfolio December 15, 2015 ............................... 0% 0% 0%100% DFA Global Real Estate Securities Portfolio December 16, 2015 ............................... 98% 0% 0% 2% DFA International Small Cap Value Portfolio December 15, 2015 ............................... 33% 0% 0% 67% March 30, 2016 ................................... 0% 0% 0%100% June 29, 2016 .................................... 37% 0% 0% 63% September 29, 2016 ............................... 0% 0% 0%100% International Vector Equity Portfolio December 15, 2015 ............................... 67% 0% 0% 33% June 29, 2016 .................................... 96% 0% 0% 4% World ex U.S. Value Portfolio December 16, 2015 ............................... 75% 0% 0% 25% June 29, 2016 .................................... 95% 0% 0% 5% World ex U.S. Targeted Value Portfolio December 16, 2015 ............................... 44% 0% 0% 56% June 29, 2016 .................................... 98% 0% 0% 2% World ex U.S. Core Equity Portfolio December 16, 2015 ............................... 85% 0% 0% 15% World Core Equity Portfolio March 30, 2016 ................................... 99% 0% 0% 1% June 29, 2016 ....................................100% 0% 0% 0%* Selectively Hedged Global Equity Portfolio December 16, 2015 ............................... 99% 0% 0% 1% Emerging Markets Portfolio December 16, 2015 ............................... 30% 0% 0% 70% March 30, 2016 ................................... 0% 0% 0%100% June 29, 2016 .................................... 75% 0% 0% 25% Emerging Markets Small Cap Portfolio December 16, 2015 ............................... 35% 0% 0% 65% March 30, 2016 ................................... 0% 0% 0%100% June 29, 2016 .................................... 24% 0% 0% 76% Emerging Markets Value Portfolio December 16, 2015 ............................... 20% 0% 0% 80% March 30, 2016 ................................... 0% 0% 0%100% June 29, 2016 .................................... 0% 0% 0%100% September 29, 2016 ............................... 1% 0% 0% 99% 196 Portfolio Name % Breakdown of Distribution Sources Net Investment Income Net Realized Capital Gains: Short-Term Net Realized Capital Gains: Long-Term Return of Capital Emerging Markets Core Equity Portfolio December 15, 2015 ............................... 34% 0% 0% 66% March 30, 2016 ................................... 5% 0% 0% 95% June 29, 2016 .................................... 79% 0% 0% 21% * Amount is less than 1%. Each Portfolio estimates that it has distributed more than the amount of net investment income and net realized capital gains; therefore, a portion of the distributions may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Portfolio is returned to the shareholder. A return of capital does not necessarily reflect a Portfolio’s investment performance and should not be confused with yield or income. When distributions exceed total return performance, the difference will reduce a Portfolio’s net asset value per share. 197 DFA INVESTMENT DIMENSIONS GROUP INC. PERFORMANCE CHARTS (Unaudited) DFA Commodity Strategy Portfolio vs. Bloomberg Commodity Index Total Return November 9, 2010-October 31, 2016 Growth of $10,000 $5,478 $6,104 $0 $10,000 $20,000 11/10 10/162011 2012 2013 2014 2015 DFA Commodity Strategy Portfolio Bloomberg Commodity Index Total Return Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Bloomberg Barclays data provided by Bloomberg. Average Annual Total Return One Year Five Years Since Inception -0.26% -9.03% -7.93% 198 DFA INVESTMENT DIMENSIONS GROUP INC. MANAGEMENT’S DISCUSSION AND ANALYSIS (Unaudited) Commodity Market Review 12 Months Ended October 31, 2016 During the fiscal year ended October 31, 2016, the Bloomberg Commodity Index Total Return returned -2.62%. Sectors with significant declines included energy, which returned -18.5% and livestock, which returned -21.4%. Among sectors with positive returns, precious metals led at 11.22%, followed by industrial metals at 7.75% and agriculture at 3.26%. DFA Commodity Strategy Portfolio The DFA Commodity Strategy Portfolio seeks total return consisting of capital appreciation and current income. The Portfolio generally invests in commodity-linked derivative instruments and fixed income investments. The Portfolio, through its wholly owned subsidiary Dimensional Cayman Commodity Fund I LTD, gains exposure to commodities markets by investing in derivative instruments such as commodity swap contracts, commodity futures and other commodity-linked instruments. The Portfolio pursues commodity exposure based on sector weights of the Bloomberg Commodity Index Total Return, the Portfolio’s benchmark. In pursuing the fixed income portion of the Portfolio’s investment strategy, Dimensional identifies a broadly diversified universe of eligible U.S. and foreign fixed income securities with defined maturity ranges and credit quality characteristics and then seeks to purchase a broad and diverse portfolio of securities meeting these credit quality standards. In making these purchase decisions, if the anticipated term premium is greater for longer-term securities in the eligible maturity range, Dimensional will generally focus investment in that longer-term area; otherwise, the Portfolio will generally focus investment in the short-term range of the eligible maturity range. The Portfolio, through the Dimensional Cayman Commodity Fund I LTD, gained exposure to commodities primarily through the use of commodity swap contracts. To a lesser extent, the Portfolio gained exposure to commodities through the use of commodity futures. The Portfolio’s commodity swaps provided exposure to the 22 commodities included in the benchmark, whose returns for the period ranged from -29.22% (Kansas wheat) to 42.08% (sugar). During the period, the average duration of the Portfolio’s fixed income securities decreased to 1.72 years from 1.84 years. For the 12 months ended October 31, 2016, the total return was -0.26% for the Portfolio and -2.62% for the Bloomberg Commodity Index Total Return. The Portfolio’s outperformance relative to the benchmark was attributable to differences in the management of commodity rolls, commodity curve positioning and investment in short-term investment grade fixed income securities during a period of falling interest rates and narrowing credit spreads. 199 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund’s costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return and “Expenses Paid During Period” reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.” Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund’s costs with those of other mutual funds. The hypothetical “Ending Account Value” and “Expenses Paid During Period” are derived from the fund’s actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The “Annualized Expense Ratio” represents the actual expenses for the six-month period indicated. Six Months Ended October 31, 2016 EXPENSE TABLES Beginning Account Value 05/01/16 Ending Account Value 10/31/16 Annualized Expense Ratio* Expenses Paid During Period* DFA Commodity Strategy Portfolio Actual Fund Return ............................$1,000.00 $1,007.80 0.33% $1.67 Hypothetical 5% Annual Return ..................$1,000.00 $1,023.48 0.33% $1.68 * DFA Commodity Strategy Portfolio wholly owns Dimensional Cayman Commodity Fund I, LTD. The expenses shown reflect the combined expenses of Dimensional Cayman Commodity Fund I, LTD. and DFA Commodity Strategy Portfolio. Expenses are equal to the fund’s annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (366) to reflect the six-month period. 200 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on September 28, 2016. They are available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. DFA Commodity Strategy Portfolio Corporate ......................46.0% Government ....................31.1% Foreign Corporate ...............18.9% Foreign Government .............3.7% Supranational ...................0.3% 100.0% 201 DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED SCHEDULE OF INVESTMENTS October 31, 2016 Face Amount^Value† (000) BONDS — (64.7%) AUSTRALIA — (1.9%) Australia & New Zealand Banking Group, Ltd. 1.250%, 06/13/17 .......... $8,000 $ 8,008,768 BHP Billiton Finance USA, Ltd. 1.625%, 02/24/17 ..........5,000 5,006,750 5.400%, 03/29/17 ..........1,000 1,016,800 Commonwealth Bank of Australia 1.900%, 09/18/17 ..........2,000 2,010,460 2.300%, 09/06/19 ..........5,100 5,176,627 Macquarie Group, Ltd. ## 3.000%, 12/03/18 ..........5,000 5,107,495 Westpac Banking Corp. 2.000%, 08/14/17 ..........3,000 3,017,949 2.250%, 07/30/18 ..........3,200 3,240,125 TOTAL AUSTRALIA ............32,584,974 BELGIUM — (0.7%) Anheuser-Busch Cos., LLC 5.600%, 03/01/17 ..........5,000 5,075,900 Anheuser-Busch InBev Worldwide, Inc. 1.375%, 07/15/17 ..........6,000 6,012,060 TOTAL BELGIUM ..............11,087,960 CANADA — (5.5%) Bank of Montreal 2.375%, 01/25/19 ..........15,620 15,870,795 Canadian National Railway Co. 1.450%, 12/15/16 .......... 264 264,137 Ontario, Province of Canada 1.100%, 10/25/17 ..........10,000 10,004,190 1.200%, 02/14/18 ..........15,000 15,014,925 Royal Bank of Canada 1.500%, 01/16/18 ..........6,180 6,190,772 2.200%, 07/27/18 ..........1,005 1,017,629 1.800%, 07/30/18 ..........8,492 8,536,150 Thomson Reuters Corp. 1.650%, 09/29/17 ..........3,992 4,002,251 6.500%, 07/15/18 ..........1,000 1,080,871 Toronto-Dominion Bank (The) 1.400%, 04/30/18 ..........10,000 10,006,170 2.125%, 07/02/19 ..........19,850 20,134,887 TOTAL CANADA ..............92,122,777 DENMARK — (0.9%) Nordea Bank AB 2.375%, 04/04/19 ..........15,000 15,236,640 FINLAND — (0.4%) Municipality Finance P.L.C. 1.250%, 04/18/19 ..........5,000 4,988,750 Face Amount^Value† (000) FINLAND — (Continued) 1.750%, 05/21/19 .......... $1,150 $ 1,162,121 TOTAL FINLAND ..............6,150,871 FRANCE — (2.2%) BNP Paribas SA 2.375%, 09/14/17 ..........6,140 6,193,971 BPCE SA 1.625%, 01/26/18 ..........1,950 1,951,997 Sanofi 1.250%, 04/10/18 ..........1,800 1,802,821 Societe Generale SA 2.750%, 10/12/17 ..........7,000 7,090,230 Total Capital Canada, Ltd. 1.450%, 01/15/18 ..........2,000 2,003,842 Total Capital International SA 1.550%, 06/28/17 ..........1,040 1,042,406 2.100%, 06/19/19 ..........16,220 16,492,739 TOTAL FRANCE ...............36,578,006 GERMANY — (0.9%) Daimler Finance North America LLC ## 1.650%, 03/02/18 ..........11,290 11,313,235 Deutsche Bank AG 6.000%, 09/01/17 ..........4,300 4,409,469 TOTAL GERMANY .............15,722,704 IRELAND — (0.5%) Actavis, Inc. 1.875%, 10/01/17 ..........7,500 7,529,610 Medtronic, Inc. 1.375%, 04/01/18 .......... 300 300,650 TOTAL IRELAND ..............7,830,260 ITALY — (0.5%) Enel Finance International NV ## 6.250%, 09/15/17 ..........4,300 4,473,978 Intesa Sanpaolo SpA 3.875%, 01/16/18 ..........1,500 1,530,269 3.875%, 01/15/19 ..........2,570 2,644,142 TOTAL ITALY .................8,648,389 JAPAN — (2.0%) American Honda Finance Corp. 1.550%, 12/11/17 ..........6,075 6,108,327 Mizuho Bank, Ltd. ## 1.550%, 10/17/17 ..........7,700 7,700,508 Nomura Holdings, Inc. 2.750%, 03/19/19 ..........1,034 1,053,848 Sumitomo Mitsui Banking Corp. 2.450%, 01/10/19 ..........3,500 3,547,205 202 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED Face Amount^Value† (000) JAPAN — (Continued) Toyota Motor Credit Corp. 2.000%, 10/24/18 .......... $4,149 $ 4,202,107 1.400%, 05/20/19 ..........9,500 9,481,257 2.125%, 07/18/19 ..........1,080 1,097,753 TOTAL JAPAN ................33,191,005 NETHERLANDS — (3.3%) Bank Nederlandse Gemeenten NV 1.375%, 09/27/17 ..........10,000 10,031,290 Cooperatieve Centrale Raiffeisen- Boerenleenbank BA 1.700%, 03/19/18 ..........2,800 2,809,456 Cooperatieve Rabobank UA 2.250%, 01/14/19 ..........13,665 13,844,572 Heineken NV ## 1.400%, 10/01/17 ..........2,500 2,503,265 Koninklijke Philips NV 5.750%, 03/11/18 ..........6,725 7,117,948 Mylan, Inc. 1.350%, 11/29/16 ..........7,038 7,039,386 Shell International Finance BV 1.900%, 08/10/18 ..........4,000 4,039,828 2.000%, 11/15/18 ..........3,250 3,290,999 4.300%, 09/22/19 ..........4,875 5,234,117 TOTAL NETHERLANDS ........55,910,861 NORWAY — (0.4%) Kommunalbanken A.S. 1.750%, 05/28/19 ..........5,000 5,052,320 Statoil ASA 1.950%, 11/08/18 ..........1,035 1,045,129 TOTAL NORWAY ..............6,097,449 SPAIN — (0.7%) Santander Bank NA 2.000%, 01/12/18 ..........4,500 4,498,416 Telefonica Emisiones SAU 6.221%, 07/03/17 ..........2,000 2,062,740 3.192%, 04/27/18 ..........4,800 4,902,638 TOTAL SPAIN .................11,463,794 SUPRANATIONAL ORGANIZATION OBLIGATIONS — (0.3%) European Bank for Reconstruction & Development 0.750%, 09/01/17 ..........5,000 5,008,025 SWEDEN — (1.9%) Kommuninvest I Sverige AB 1.625%, 02/13/17 ..........4,500 4,508,127 Svensk Exportkredit AB 1.875%, 06/17/19 ..........17,000 17,228,565 Svenska Handelsbanken AB 1.625%, 03/21/18 ..........5,000 5,012,335 Face Amount^Value† (000) SWEDEN — (Continued) 2.250%, 06/17/19 .......... $5,000 $ 5,074,325 TOTAL SWEDEN ..............31,823,352 SWITZERLAND — (1.1%) Credit Suisse AG New York 1.375%, 05/26/17 ..........4,000 3,998,744 Credit Suisse New York 1.700%, 04/27/18 ..........7,595 7,590,929 UBS AG 1.800%, 03/26/18 ..........6,900 6,915,711 TOTAL SWITZERLAND .........18,505,384 UNITED KINGDOM — (2.8%) AstraZeneca P.L.C. 1.750%, 11/16/18 ..........6,958 6,999,762 BP Capital Markets P.L.C. 2.248%, 11/01/16 ..........5,000 5,000,000 4.750%, 03/10/19 ..........4,110 4,411,732 British Telecommunications P.L.C. 1.250%, 02/14/17 ..........1,200 1,200,564 Diageo Capital P.L.C. 1.500%, 05/11/17 ..........3,500 3,510,083 GlaxoSmithKline Capital, Inc. 5.650%, 05/15/18 ..........1,028 1,093,565 HSBC USA, Inc. 1.625%, 01/16/18 ..........10,830 10,836,433 Lloyds Bank P.L.C. 1.750%, 03/16/18 ..........3,015 3,026,490 1.750%, 05/14/18 ..........5,000 5,021,770 Vodafone Group P.L.C. 1.625%, 03/20/17 ..........1,000 1,001,380 1.625%, 03/20/17 ..........3,951 3,956,452 1.250%, 09/26/17 .......... 750 749,309 TOTAL UNITED KINGDOM ......46,807,540 UNITED STATES — (38.7%) Abbott Laboratories 5.125%, 04/01/19 .......... $2,835 3,078,365 Air Products & Chemicals, Inc. 1.200%, 10/15/17 .......... 700 700,979 American Express Co. 7.000%, 03/19/18 ..........12,652 13,602,013 Anthem, Inc. 5.875%, 06/15/17 ..........3,100 3,186,893 Apple, Inc. 1.000%, 05/03/18 ..........5,000 4,993,395 1.100%, 08/02/19 ..........4,045 4,017,276 Assurant, Inc. 2.500%, 03/15/18 .......... 203 205,000 AT&T, Inc. 2.400%, 03/15/17 ..........5,044 5,069,694 1.400%, 12/01/17 ..........3,400 3,395,934 2.300%, 03/11/19 .......... 575 580,786 Autodesk, Inc. 1.950%, 12/15/17 ..........5,650 5,671,651 203 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED Face Amount^Value† (000) UNITED STATES — (Continued) Bank of America Corp. 3.875%, 03/22/17 .......... $3,600 $ 3,638,408 2.000%, 01/11/18 ..........1,000 1,005,010 2.600%, 01/15/19 ..........4,000 4,066,436 Bank of New York Mellon Corp. (The) 2.100%, 01/15/19 ..........1,000 1,013,376 BB&T Corp. 1.450%, 01/12/18 ..........1,250 1,251,665 Becton Dickinson and Co. 1.750%, 11/08/16 ..........1,500 1,500,225 1.450%, 05/15/17 ..........2,000 2,004,334 1.800%, 12/15/17 ..........6,340 6,367,655 Berkshire Hathaway, Inc. 1.550%, 02/09/18 ..........2,500 2,511,390 2.100%, 08/14/19 ..........2,800 2,853,654 Boston Scientific Corp. 2.650%, 10/01/18 ..........1,000 1,019,315 Branch Banking & Trust Co. 1.000%, 04/03/17 ..........1,000 1,000,255 2.300%, 10/15/18 ..........2,000 2,030,622 Bristol-Myers Squibb Co. 0.875%, 08/01/17 ..........1,685 1,682,671 Capital One Bank USA NA 2.300%, 06/05/19 ..........2,742 2,770,149 Cardinal Health, Inc. 1.900%, 06/15/17 ..........5,000 5,023,380 1.700%, 03/15/18 ..........5,239 5,255,309 Caterpillar Financial Services Corp. 2.450%, 09/06/18 ..........6,000 6,109,674 7.050%, 10/01/18 ..........5,000 5,534,915 CF Industries, Inc. 6.875%, 05/01/18 ..........6,134 6,472,897 Chevron Corp. 1.345%, 11/15/17 ..........3,435 3,440,362 1.718%, 06/24/18 ..........1,425 1,434,743 Cisco Systems, Inc. 1.400%, 02/28/18 ..........14,958 15,014,332 2.125%, 03/01/19 ..........10,000 10,169,760 Citigroup, Inc. 1.350%, 03/10/17 ..........2,000 2,002,680 2.050%, 12/07/18 ..........7,281 7,321,417 2.550%, 04/08/19 .......... 750 763,546 Comcast Corp. 5.700%, 05/15/18 ..........4,811 5,129,633 Comerica, Inc. 2.125%, 05/23/19 ..........4,000 4,026,600 ConocoPhillips Co. 1.050%, 12/15/17 ..........3,000 2,984,670 1.500%, 05/15/18 ..........6,500 6,505,025 Coventry Health Care, Inc. 5.950%, 03/15/17 ..........3,309 3,366,158 Face Amount^Value† (000) UNITED STATES — (Continued) CSX Corp. 6.250%, 03/15/18 .......... $5,731 $ 6,125,430 CVS Health Corp. 2.250%, 12/05/18 ..........7,000 7,096,523 Danaher Corp. 1.650%, 09/15/18 ..........2,000 2,013,894 Dollar General Corp. 1.875%, 04/15/18 ..........2,334 2,343,884 Duke Energy Corp. 1.625%, 08/15/17 ..........1,019 1,021,822 Eastman Chemical Co. 2.400%, 06/01/17 ..........1,500 1,510,475 eBay, Inc. 1.350%, 07/15/17 ..........8,000 8,004,520 EI du Pont de Nemours & Co. 6.000%, 07/15/18 ..........11,927 12,833,130 Enterprise Products Operating LLC 1.650%, 05/07/18 ..........5,000 4,997,900 Exxon Mobil Corp. 1.439%, 03/01/18 ..........8,200 8,229,266 1.305%, 03/06/18 ..........25,430 25,502,882 Fifth Third Bank 1.450%, 02/28/18 ..........7,000 6,997,620 Ford Motor Credit Co. LLC 1.500%, 01/17/17 ..........4,500 4,503,497 5.000%, 05/15/18 ..........1,500 1,570,187 2.551%, 10/05/18 ..........5,000 5,060,095 General Mills, Inc. 5.700%, 02/15/17 ..........5,200 5,269,425 Gilead Sciences, Inc. 1.850%, 09/04/18 ..........8,531 8,602,609 Goldman Sachs Group, Inc. (The) 5.950%, 01/18/18 ..........2,000 2,104,272 2.900%, 07/19/18 ..........1,000 1,020,280 7.500%, 02/15/19 ..........4,082 4,589,327 Harris Corp. 1.999%, 04/27/18 ..........8,500 8,543,690 Hershey Co. (The) 1.600%, 08/21/18 ..........2,300 2,315,741 Huntington Bancshares, Inc. 2.600%, 08/02/18 ..........2,600 2,636,993 Intel Corp. 1.350%, 12/15/17 ..........1,825 1,830,935 International Business Machines Corp. 1.950%, 02/12/19 ..........27,500 27,886,732 Jefferies Group LLC 5.125%, 04/13/18 ..........1,000 1,041,466 Johnson Controls, Inc. 2.600%, 12/01/16 ..........3,475 3,479,375 JPMorgan Chase & Co. 2.000%, 08/15/17 ..........7,050 7,093,752 204 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED Face Amount^Value† (000) UNITED STATES — (Continued) Kellogg Co. 1.875%, 11/17/16 .......... $1,000 $ 1,000,094 1.750%, 05/17/17 ..........3,000 3,011,580 KeyBank NA 1.100%, 11/25/16 ..........1,000 1,000,059 2.350%, 03/08/19 ..........7,000 7,120,967 Kraft Heinz Foods Co. 2.250%, 06/05/17 ..........4,177 4,199,071 Kroger Co. (The) 2.300%, 01/15/19 ..........1,000 1,015,894 Laboratory Corp. of America Holdings 2.200%, 08/23/17 ..........6,000 6,039,906 Marsh & McLennan Cos., Inc. 2.300%, 04/01/17 .......... 680 682,425 Mattel, Inc. 1.700%, 03/15/18 ..........7,000 7,013,531 Maxim Integrated Products, Inc. 2.500%, 11/15/18 ..........4,417 4,480,728 McDonald’s Corp. 5.800%, 10/15/17 .......... 900 939,330 5.350%, 03/01/18 ..........2,000 2,106,302 2.100%, 12/07/18 ..........8,000 8,098,712 McKesson Corp. 1.400%, 03/15/18 ..........6,000 5,988,180 2.284%, 03/15/19 ..........6,000 6,074,832 MetLife, Inc. 6.817%, 08/15/18 ..........2,000 2,183,862 7.717%, 02/15/19 ..........1,389 1,579,381 Monsanto Co. 1.850%, 11/15/18 ..........6,700 6,715,102 Morgan Stanley 4.750%, 03/22/17 ..........2,430 2,464,783 7.300%, 05/13/19 ..........7,000 7,915,124 NetApp, Inc. 2.000%, 12/15/17 ..........6,200 6,231,180 NiSource Finance Corp. 6.800%, 01/15/19 ..........2,000 2,215,794 Nordstrom, Inc. 6.250%, 01/15/18 ..........5,000 5,281,600 Nucor Corp. 5.750%, 12/01/17 ..........3,019 3,150,906 NYSE Euronext 2.000%, 10/05/17 ..........6,730 6,787,272 ONEOK Partners L.P. 2.000%, 10/01/17 .......... 400 401,310 Oracle Corp. 1.200%, 10/15/17 .......... 855 856,923 PACCAR Financial Corp. 1.750%, 08/14/18 ..........1,900 1,916,783 Pfizer, Inc. 1.500%, 06/15/18 ..........1,000 1,005,061 2.100%, 05/15/19 ..........30,877 31,407,343 Philip Morris International, Inc. 5.650%, 05/16/18 ..........6,500 6,920,680 1.875%, 01/15/19 ..........5,000 5,045,245 Face Amount^Value† (000) UNITED STATES — (Continued) Phillips 66 2.950%, 05/01/17 .......... $5,000 $ 5,051,055 PNC Bank NA 1.500%, 02/23/18 ..........3,560 3,568,038 Provident Cos., Inc. 7.000%, 07/15/18 ..........3,298 3,587,465 Prudential Financial, Inc. 6.000%, 12/01/17 .......... 518 542,767 QUALCOMM, Inc. 1.400%, 05/18/18 ..........1,000 1,001,113 Reynolds American, Inc. 2.300%, 06/12/18 ..........5,850 5,927,173 Roper Technologies, Inc. 2.050%, 10/01/18 ..........1,500 1,513,907 Scripps Networks Interactive, Inc. 2.700%, 12/15/16 ..........5,000 5,010,005 Southern Co. (The) 1.300%, 08/15/17 ..........3,000 3,001,578 2.450%, 09/01/18 ..........2,700 2,745,222 Stryker Corp. 1.300%, 04/01/18 .......... 600 600,055 # 2.000%, 03/08/19 ..........8,000 8,073,600 SunTrust Banks, Inc. 2.500%, 05/01/19 ..........7,735 7,889,112 Symantec Corp. 2.750%, 06/15/17 ..........7,278 7,331,719 Target Corp. 2.300%, 06/26/19 ..........10,000 10,245,050 Thermo Fisher Scientific, Inc. 2.400%, 02/01/19 ..........3,000 3,050,106 Total System Services, Inc. 2.375%, 06/01/18 ..........6,500 6,542,309 U.S. Bancorp 2.200%, 04/25/19 ..........5,000 5,096,770 UnitedHealth Group, Inc. 1.400%, 12/15/17 ..........1,956 1,960,485 1.625%, 03/15/19 ..........3,000 3,015,039 US Bancorp 1.650%, 05/15/17 .......... 1 1,002 US Bank NA 1.400%, 04/26/19 ..........10,000 9,981,630 Verizon Communications, Inc. 3.650%, 09/14/18 ..........5,000 5,187,315 Viacom, Inc. 3.500%, 04/01/17 ..........1,000 1,009,083 2.200%, 04/01/19 ..........5,000 5,023,805 Wal-Mart Stores, Inc. 1.125%, 04/11/18 ..........14,633 14,644,941 Walgreens Boots Alliance, Inc. 1.750%, 05/30/18 ..........8,000 8,037,680 Walt Disney Co. (The) 1.500%, 09/17/18 3,000 3,022,830 Wells Fargo & Co. 2.625%, 12/15/16 ..........4,000 4,008,528 1.500%, 01/16/18 .......... 700 699,909 205 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED Face Amount^Value† (000) UNITED STATES — (Continued) Whirlpool Co. 1.350%, 03/01/17 ......... $2,000 $ 2,001,830 1.650%, 11/01/17 .........7,000 7,018,998 Zoetis, Inc. 1.875%, 02/01/18 .........6,564 6,576,754 TOTAL UNITED STATES ......647,814,807 TOTAL BONDS ...............1,082,584,798 AGENCY OBLIGATIONS — (1.2%) Federal Home Loan Bank 2.250%, 09/08/17 .........10,000 10,133,440 1.625%, 06/14/19 .........10,000 10,150,170 TOTAL AGENCY OBLIGATIONS .............20,283,610 U.S. TREASURY OBLIGATIONS — (28.0%) U.S. Treasury Notes 0.875%, 01/15/18 .........39,000 39,062,478 Face Amount^Value† (000) U.S. TREASURY OBLIGATIONS — (Continued) ‡†† 1.375%, 06/30/18 ......... $193,000 $ 194,726,385 0.750%, 02/15/19 .........38,000 37,858,982 0.875%, 06/15/19 .........66,000 65,853,018 0.875%, 09/15/19 .........100,000 99,660,200 1.000%, 09/30/19 .........32,000 32,009,984 TOTAL U.S. TREASURY OBLIGATIONS .............469,171,047 TOTAL INVESTMENT SECURITIES ...............1,572,039,455 Shares SECURITIES LENDING COLLATERAL — (6.1%) §@ DFA Short Term Investment Fund .................8,849,205 102,402,999 TOTAL INVESTMENTS — (100.0%) (Cost $1,672,990,275).......$1,674,442,454 Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Bonds Australia ........................................... — $32,584,974 — $ 32,584,974 Belgium ........................................... —11,087,960 — 11,087,960 Canada ............................................ —92,122,777 — 92,122,777 Denmark ........................................... —15,236,640 — 15,236,640 Finland ............................................ —6,150,871 — 6,150,871 France ............................................ —36,578,006 — 36,578,006 Germany .......................................... —15,722,704 — 15,722,704 Ireland ............................................ —7,830,260 — 7,830,260 Italy ............................................... —8,648,389 — 8,648,389 Japan ............................................. —33,191,005 — 33,191,005 Netherlands ........................................ —55,910,861 — 55,910,861 Norway ............................................ —6,097,449 — 6,097,449 Spain ............................................. —11,463,794 — 11,463,794 Supranational Organization Obligations ................. —5,008,025 — 5,008,025 Sweden ........................................... —31,823,352 — 31,823,352 Switzerland ........................................ —18,505,384 — 18,505,384 United Kingdom ..................................... —46,807,540 — 46,807,540 United States ....................................... —647,814,807 — 647,814,807 Agency Obligations .................................... —20,283,610 — 20,283,610 U.S. Treasury Obligations .............................. —469,171,047 — 469,171,047 Securities Lending Collateral ............................ —102,402,999 — 102,402,999 Swap Agreements**................................... —(21,558,245) — (21,558,245) Futures Contracts**....................................$(1,115,097) — — (1,115,097) TOTAL ..............................................$(1,115,097) $1,652,884,209 — $1,651,769,112 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 206 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (Amounts in thousands, except share and per share amounts) ASSETS: Investments at Value (including $100,273 of securities on loan)........................................ $1,572,039 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $102,401).................102,403 Cash ........................................................................................41,600 Segregated Cash for Swaps Contracts ............................................................ 340 Receivables: Interest .....................................................................................8,172 Securities Lending Income ..................................................................... 8 Fund Shares Sold ............................................................................1,101 Prepaid Expenses and Other Assets .............................................................. 34 Total Assets .............................................................................1,725,697 LIABILITIES: Payables: Upon Return of Securities Loaned ..............................................................102,401 Fund Shares Redeemed ......................................................................1,863 Due to Advisor .............................................................................. 400 Futures Margin Variation ......................................................................1,264 Unrealized Loss on Swap Contracts ...............................................................21,558 Accrued Expenses and Other Liabilities ............................................................ 114 Total Liabilities ...........................................................................127,600 NET ASSETS ................................................................................. $1,598,097 SHARES OUTSTANDING, $0.01 PAR VALUE (1)...................................................271,878,312 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE .............................$ 5.88 Investments at Cost ............................................................................ $1,570,589 NET ASSETS CONSIST OF: Paid-In Capital ................................................................................ $1,586,037 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...................32,632 Accumulated Net Realized Gain (Loss)............................................................ 658 Net Unrealized Appreciation (Depreciation).........................................................(21,230) NET ASSETS ................................................................................. $1,598,097 (1) NUMBER OF SHARES AUTHORIZED .........................................................800,000,000 See accompanying Notes to Financial Statements. 207 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (Amounts in thousands) Investment Income Interest ......................................................................................... $16,899 Income from Securities Lending .................................................................... 59 Total Investment Income ......................................................................16,958 Expenses Investment Management Fees .....................................................................4,845 Accounting & Transfer Agent Fees .................................................................. 77 Custodian Fees .................................................................................. 53 Filing Fees ...................................................................................... 156 Shareholders’ Reports ............................................................................ 68 Directors’/Trustees’ Fees & Expenses ............................................................... 9 Professional Fees ................................................................................ 38 Other .......................................................................................... 35 Total Expenses ..............................................................................5,281 Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note D).......(866) Fees Paid Indirectly (Note D).......................................................................(18) Net Expenses ...................................................................................4,397 Net Investment Income (Loss)....................................................................12,561 Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**..................................................................... 484 Futures .......................................................................................5,533 Swap Contracts ................................................................................22,428 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ........................................................1,678 Futures ....................................................................................... 9 Swap Contracts ................................................................................(20,194) Net Realized and Unrealized Gain (Loss)...........................................................9,938 Net Increase (Decrease) in Net Assets Resulting from Operations ...................................... $22,499 ** Net of foreign capital gain taxes withheld of $0. See accompanying Notes to Financial Statements. 208 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) DFA Commodity Strategy Portfolio Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)........................................................ $12,561 $ 9,267 Net Realized Gain (Loss) on: Investment Securities Sold*........................................................ 484 (8,732) Futures .........................................................................5,533 (17,337) Swap Contracts ..................................................................22,428 (339,100) Foreign Currency Transactions ..................................................... —5,799 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ..........................................1,678 4,896 Futures ......................................................................... 9 84 Swap Contracts ..................................................................(20,194) 11,136 Translation of Foreign Currency Denominated Amounts ................................. —(1,816) Net Increase (Decrease) in Net Assets Resulting from Operations ......................22,499 (335,803) Distributions From: Net Investment Income:............................................................. Institutional Class Shares ..........................................................(7,538) (9,071) Net Short-Term Gains:.............................................................. Institutional Class Shares .......................................................... —(14) Net Long-Term Gains: Institutional Class Shares ..........................................................(155) (889) Total Distributions ..............................................................(7,693) (9,974) Capital Share Transactions (1): Shares Issued .....................................................................1,017,341 1,078,341 Shares Issued in Lieu of Cash Distributions .............................................7,499 9,738 Shares Redeemed .................................................................(648,620) (729,422) Net Increase (Decrease) from Capital Share Transactions .............................376,220 358,657 Total Increase (Decrease) in Net Assets ............................................391,026 12,880 Net Assets Beginning of Year ..................................................................1,207,071 1,194,191 End of Year .......................................................................$1,598,097 $1,207,071 (1) Shares Issued and Redeemed: Shares Issued .....................................................................183,938 159,948 Shares Issued in Lieu of Cash Distributions .............................................1,318 1,339 Shares Redeemed .................................................................(116,801) (107,182) Net Increase (Decrease) from Shares Issued and Redeemed ..........................68,455 54,105 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...$ 32,632 $ (102) * Net of foreign capital gain taxes withheld of $0 and $0, respectively. See accompanying Notes to Financial Statements. 209 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED FINANCIAL HIGHLIGHTS (for a share outstanding throughout each period) DFA Commodity Strategy Portfolio Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 NetAssetValue,BeginningofPeriod ....................................... $ 5.93 $ 8.00 $ 8.30 $ 9.40 $ 9.77 Income from Investment Operations NetInvestmentIncome(Loss)(A) ........................................ 0.05 0.05 0.06 0.06 0.07 NetGains(Losses)onSecurities(RealizedandUnrealized) .................... (0.07) (2.05) (0.31) (1.10) (0.37) TotalfromInvestmentOperations ...................................... (0.02) (2.00) (0.25) (1.04) (0.30) Less Distributions NetInvestmentIncome ................................................ (0.03) (0.06) (0.04) (0.04) (0.06) NetRealizedGains ................................................... — (0.01) (0.01) (0.02) (0.01) TotalDistributions .................................................. (0.03) (0.07) (0.05) (0.06) (0.07) NetAssetValue,EndofPeriod ............................................$5.88$5.93$8.00$8.30$9.40 TotalReturn........................................................... (0.26)% (25.16)% (3.08)% (11.15)% (3.08)% Net Assets, End of Period (thousands)....................................... $1,598,097 $1,207,071 $1,194,191 $786,314 $458,079 Ratio of Expenses to Average Net Assets .................................... 0.33% 0.34% 0.33% 0.34% 0.35% Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor and Fees Paid Indirectly)........................................................... 0.40% 0.40% 0.39% 0.40% 0.41% RatioofNetInvestmentIncometoAverageNetAssets .......................... 0.95% 0.77% 0.65% 0.66% 0.79% PortfolioTurnoverRate ..................................................159% 124% 104% 64% 69% See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 210 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS A. Organization: DFA Investment Dimensions Group Inc. (the “Fund”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), whose shares are generally offered, without a sales charge, to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of ninety-five operational portfolios, one of which, DFA Commodity Strategy Portfolio (the “Portfolio”), is included in this section of the report. The remaining operational portfolios are presented in separate reports. The Portfolio is an investment company, and accordingly, follows the accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Certification (“ASC”) Topic 946, “Financial Services-Investment Companies.” The Portfolio wholly owns and controls Dimensional Cayman Commodity Fund I, LTD. (the “Subsidiary”), a company organized under the laws of the Cayman Islands. The Subsidiary is not registered as an investment company under the 1940 Act. B. Significant Accounting Policies: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1.Security Valuation:The Portfolio utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: • Level 1 – inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, futures contracts) • Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) • Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) Debt securities held by the Portfolio are valued on the basis of evaluated prices provided by one or more pricing services or other reasonably reliable sources including broker/dealers that typically handle the purchase and sale of such securities. Securities that are traded over-the-counter and on a stock exchange generally will be valued according to the broadest and most representative market, and it is expected that for bonds and other fixed income securities, this ordinarily will be the over-the-counter market. Securities for which quotations are not readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors of the Fund. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of Dimensional Fund Advisors LP) occur before the net asset value of the Portfolio is calculated. When fair value pricing is used, the prices of securities used by the Portfolio may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. Futures contracts held by the Portfolio are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy. Swap agreements will be valued at the price provided by an independent third-party pricing service or source. If a price is 211 not available from an independent third-party pricing service or source, the swap agreement will be valued in good faith at fair value in accordance with procedures adopted by the Board. These securities are generally categorized as Level 2 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts, do not require material subjectivity as pricing inputs are observed from quoted markets and are categorized as Level 2 in the hierarchy. A summary of the inputs used to value the Portfolio’s investments by each major security type, industry and/or country is disclosed previously in this note. A valuation hierarchy table has been included at the end of the Schedule of Investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For the year ended October 31, 2016, there were no significant transfers between Level 1 and Level 2 and no significant Level 3 investments held by the Portfolio. 2. Deferred Compensation Plan:Each eligible Director of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the “Plan”). Under the Plan, effective January 1, 2002, such Directors may defer payment of all or a portion of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors’ Fees & Expenses. Each Director has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed-upon years; or quarterly installments over a period of agreed- upon years. Each Director shall have the right in a notice of election (the “Notice”) to defer the receipt of the Director’s deferred compensation until a date specified by such Director in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director ceases to be a member of the Board of Directors of the Fund; and (ii) five years following the effective date of the Director’s first deferral election. If a Director who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director’s deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director ceases to be a member of the Board (unless the Director files an amended Notice selecting a different distribution date). As of October 31, 2016, none of the Directors have requested or received a distribution of proceeds of a deferred fee account. 3. Other:Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities and foreign currency are accounted for on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments or as a realized gain, respectively. The Portfolio estimates the character of distributions received that may be considered return of capital distributions. Interest income is recorded on an accrual basis. Discount and premium on debt securities purchased are amortized over the lives of the respective securities, utilizing the effective interest method. Expenses directly attributable to the Portfolio are directly charged. Common expenses of the Fund or its portfolios are allocated using methods approved by the Board, generally based on average net assets. C. Basis for Consolidation: The Subsidiary commenced operations on November 9, 2010. The Portfolio commenced reporting on a consolidated basis as of such commencement date in accordance with the accounting principles relating to reporting of a wholly-owned subsidiary. The Portfolio will seek to gain exposure to commodities, commodities- related instruments, derivatives and other investments by directly investing in those instruments or through investments in the Subsidiary. The Subsidiary participates in the same investment goal as the Portfolio. The Subsidiary pursues its investment goal by investing in commodities, commodities-related instruments, derivatives 212 and other investments. The Subsidiary (unlike the Portfolio) may invest without limitation in these instruments. However, the Subsidiary is otherwise subject to the same fundamental, non-fundamental and certain other investment restrictions as the Portfolio. The portion of the Portfolio’s or Subsidiary’s assets exposed to any particular commodity, derivative or other investment will vary based on market conditions, but from time to time some exposure could be substantial. To the extent of the Portfolio’s investment through the Subsidiary, it will be subject to the risks associated with the commodities, derivatives and other instruments in which the Subsidiary invests. By investing in the Subsidiary, the Portfolio is indirectly exposed to the risks associated with the Subsidiary’s investments. The derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Portfolio and are subject to the same risks that apply to similar investments if held directly by the Portfolio. The Subsidiary is classified as a controlled foreign corporation under Subchapter N of the Internal Revenue Code. Therefore, the Portfolio is required to increase its taxable income by its share of the Subsidiary’s income. Net investment losses of the Subsidiary cannot be deducted by the Portfolio in the current period nor carried forward to offset taxable income in future periods. As of October 31, 2016, the Portfolio held a $322,425,722 investment in the Subsidiary, representing 20.18% of the Portfolio’s total assets. The accompanying consolidated financial statements include all assets, liabilities, revenues and expenses of the Portfolio and its wholly-owned Subsidiary. Intercompany balances and transactions have been eliminated in consolidation. D. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides investment management services to the Portfolio. For the year ended October 31, 2016, the investment management fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.30% of the Portfolio’s average daily net assets. Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption Agreement (the “Fee Waiver Agreement”), the Advisor has contractually agreed to waive all or a portion of the management fee and to assume the expenses of a class of the Portfolio (including the expenses that the Portfolio bears as a shareholder of other funds managed by the Advisor but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in the DFA Short Term Investment Fund (“the Money Market Series”) and its investment in unaffiliated investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses to no more than 0.55% of the Portfolio’s average net assets on an annualized basis (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of the Portfolio are less than the Expense Limitation Amount, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that the amount of such reimbursement is within thirty-six months and will not cause the annualized Portfolio Expenses of the Portfolio to exceed the Expense Limitation Amount. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. The Fee Waiver Agreement for the Portfolio will remain in effect through February 28, 2017, and may only be terminated by the Fund’s Board of Directors prior to that date. The Fee Waiver Agreement will continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. At October 31, 2016, there were no previously waived fees subject to future recovery by the Advisor. The Subsidiary has entered into a separate contract with the Advisor whereby the Advisor or its affiliates provide investment advisory and other services to the Subsidiary. For the investment advisory services it provides, the Advisor is entitled to a fee from the Subsidiary equal to 0.30% of the Subsidiary’s average net assets on an annualized basis; however, pursuant to a contractual agreement, the Advisor has agreed to waive the management fee of the Subsidiary. For the year ended October 31, 2016, approximately $866 (in thousands) of the Subsidiary’s management fees were waived pursuant to the Subsidiary fee waiver agreement. Earned Income Credit: In addition, the Portfolio has entered into an arrangement with its custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of the Portfolio’s custody expenses. Custody expense in 213 the accompanying financial statements is presented before reduction for credits. The impact of such credits is generally less than one basis point of the Portfolio’s net assets. During the year ended October 31, 2016, expenses reduced were as follows (amounts in thousands): Fees Paid Indirectly DFA Commodity Strategy Portfolio .......................................... $18 Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors of the Advisor are also Officers and Directors of the Fund; however, such Officers and Directors (with the exception of the Chief Compliance Officer (“CCO”)) receive no compensation from the Fund. For the year ended October 31, 2016, the total related amounts paid by the Fund to the CCO were $291 (in thousands). The total related amounts paid by the Portfolio are included in Other Expenses on the Statement of Operations. E. Deferred Compensation: At October 31, 2016, the total liability for deferred compensation to Directors/Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follows (amount in thousands): DFA Commodity Strategy Portfolio .............................................. $14 F. Purchases and Sales of Securities: For the year ended October 31, 2016, the Portfolio transactions related to investment securities, other than short-term securities (amounts in thousands): U.S. Government Securities Other Investment Securities Purchases Sales Purchases Sales DFA Commodity Strategy Portfolio ......................$1,198,026 $1,730,299 $830,856 $309,617 G. Federal Income Taxes: The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gains or losses, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2016, primarily attributable to adjustments between financial and tax reporting related to the Subsidiary, the utilization of accumulated earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction for tax purposes, reversal of book income/loss from controlled foreign corporation and net foreign currency gains/losses, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands): Increase (Decrease) Paid-In Capital Increase (Decrease) Undistributed Net Investment Income Increase (Decrease) Accumulated Net Realized Gains (Losses) DFA Commodity Strategy Portfolio .................... $76 $27,711 $(27,787) 214 The tax character of dividends and distributions declared and paid during the years ended October 31, 2015 and October 31, 2016 were as follows (amounts in thousands): Net Investment Income and Short-Term Capital Gains Long-Term Capital Gains Total DFA Commodity Strategy Portfolio 2015 ...................................................$8,966 $1,009 $9,975 2016 ...................................................7,540 154 7,694 At October 31, 2016, the following net investment income and short-term capital gains and long-term capital gains distributions designated for federal income tax purposes are due to the utilization of accumulated earnings and profits distributed to shareholders upon redemption of shares (amounts in thousands): Net Investment Income and Short-Term Capital Gains Long-Term Capital Gains Total DFA Commodity Strategy Portfolio ..........................$(1,657) — $(1,657) At October 31, 2016, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands): Undistributed Net Investment Income and Short-Term Capital Gains Undistributed Long-Term Capital Gains Capital Loss Carryforwards Unrealized Appreciation (Depreciation) Total Net Distributable Earnings (Accumulated Losses) DFA Commodity Strategy Portfolio .................$11,046 — — $1,109 $12,155 For federal income tax purposes, the Fund measures its capital loss carryforwards annually at October 31, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Portfolio after October 31, 2011 will not be subject to expiration and will retain their character as either short-term or long-term capital losses. In addition, such losses must be utilized prior to the losses incurred in the years preceding enactment. As of October 31, 2016, the Portfolio did not have any capital loss carryforwards. At October 31, 2016, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands): Federal Tax Cost Unrealized Appreciation Unrealized Depreciation Net Unrealized Appreciation (Depreciation) DFA Commodity Strategy Portfolio ....................$1,673,921 $1,374 $(852) $522 Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed the Portfolio’s tax positions and has concluded that no additional provision for income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Portfolio’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. 215 H. Financial Instruments: In accordance with the Portfolio’s investment objective and policies, the Portfolio may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. Foreign Market Risks:Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Portfolio may be inhibited. Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Portfolio. The Portfolio may gain exposure to commodity markets by investing up to 25% of the Portfolio’s total assets in the Subsidiary. The Subsidiary may invest without limitation in commodity-linked notes, swap agreements and other commodity-linked derivative instruments, including futures contracts on individual commodities or a subset of commodities and options on commodities. The accompanying consolidated schedule of investments includes investments of the Portfolio and its wholly-owned Subsidiary. 2.Forward Currency Contracts:The Portfolio may acquire and sell forward currency contracts to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies (foreign exchange rate risk). The decision to hedge the Portfolio’s currency exposure with respect to a foreign market will be based primarily on the Portfolio’s existing exposure to a given foreign currency. Each contract is valued daily and the change in value is recorded by the Portfolio as an unrealized gain or loss, which is presented in the Statement of Operations as the change in unrealized appreciation or depreciation from translation of foreign-currency-denominated amounts. When the contract is closed or offset with the same counterparty, the Portfolio records a realized gain or loss equal to the change in the value of the contract when it was opened and the value at the time it was closed or offset. This is presented in the Statement of Operations as a net realized gain or loss on foreign currency transactions. 3.Commodity-Linked Derivatives:The Portfolio and the Subsidiary invest in commodity-linked derivative instruments, such as swap agreements, commodity options, futures, options on futures, and structured notes. The prices of commodity-linked derivative instruments may move in different directions than investments in traditional equity securities, fixed income securities and commodity spot prices. 4.Swap Agreements:The Portfolio may enter into swap agreements with respect to commodities, interest rates and indexes of commodities or securities, specific securities and commodities, and mortgage, credit and event-linked swaps, and, to the extent the Portfolio may invest in foreign-currency-denominated securities, the Portfolio may enter into swap agreements with respect to foreign currencies. The Portfolio may enter into swap transactions for any legal purpose consistent with its investment objective and policies, such as for the purpose of attempting to obtain or preserve a particular return or spread at a lower cost than obtaining a return or spread through purchases and/or sales of instruments in other markets, to seek to increase total return (speculation), to protect against currency fluctuations, as a duration management technique, to protect against any increase in the price of securities the Portfolio anticipates purchasing at a later date, or to gain exposure to certain markets in the most economical way possible. A swap agreement may be negotiated bilaterally and traded over-the-counter between the two parties (for an uncleared swap), while other swaps must be transacted through a futures commission merchant (“FCM”) and cleared through a clearinghouse that serves as a central counterparty (for a cleared swap), and may be traded on swap execution facilities (exchanges). Swap agreements are contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than one year. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. In an uncleared swap, the swap 216 counterparty is typically a brokerage firm, bank or other financial institution. In a cleared swap, the Portfolio’s ultimate counterparty is a central clearinghouse rather than a brokerage firm, bank or other financial institution. An investment in a commodity swap agreement may involve the exchange of floating-rate interest payments for the total return on a commodity index. In a total return commodity swap, the Portfolio will receive the price appreciation of a commodity index, a portion of the index, or a single commodity in exchange for paying an agreed- upon fee. The Portfolio may also enter into credit default swap agreements. The “buyer” in a credit default contract is obligated to pay the “seller” a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If an event of default occurs, the seller must pay the buyer the full notional value, or “par value,” of the reference obligation in exchange for the reference obligation. The Portfolio may be either the buyer or seller in a credit default swap transaction. Credit default swap transactions involve greater risks than if the Portfolio had invested in the reference obligation directly. Most swap agreements entered into by the Portfolio will calculate the obligations of the parties to the agreement on a “net” basis, which means that the two payment streams are netted out, with the Portfolio receiving or paying, as the case may be, only the net amount of the two payments. The Portfolio’s current obligations under a swap agreement will be accrued daily (offset against any amounts owed to the Portfolio) and any accrued but unpaid net amounts owed to a swap counterparty will be covered by the segregation of assets determined to be liquid to avoid any potential leveraging of the Portfolio’s portfolio. Uncleared swaps are typically executed bilaterally with a swap dealer rather than traded on exchanges. Parties to uncleared swaps face greater counterparty credit risk than those engaging in cleared swaps since performance of uncleared swap obligations is the responsibility only of the swap counterparty rather than a clearinghouse, as is the case with cleared swaps. As a result, the Portfolio bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default, insolvency or bankruptcy of a swap agreement counterparty beyond any collateral received. In such an event, the Portfolio will have contractual remedies pursuant to the swap agreements, but bankruptcy and insolvency laws could affect the Portfolio’s rights as a creditor. The Portfolio will enter into swap agreements only with counterparties that meet certain standards of creditworthiness as determined by the Advisor’s Investment Committee. To the extent that the Portfolio cannot dispose of a swap in the ordinary course of business within seven days at approximately the value at which the Portfolio has valued the swap, the Portfolio will treat the swap as illiquid and subject to its overall limit on illiquid investments of 15% of the Portfolio’s net assets. The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 and implementing rules adopted by the Commodity Futures Trading Commission (“CFTC”) currently require the clearing and exchange-trading of the most common types of credit default index swaps and interest rate swaps, and it is expected that additional categories of swaps will in the future be designated as subject to mandatory clearing and trade execution requirements. Central clearing is intended to reduce counterparty credit risk and increase liquidity, but central clearing does not eliminate these risks completely. There is also a risk of loss by the Portfolio of the initial and variation margin deposits in the event of bankruptcy of the FCM with which the Portfolio has an open position, or the central counterparty in a swap contract. The assets of the Portfolio may not be fully protected in the event of the bankruptcy of the FCM or central counterparty because the Portfolio might be limited to recovering only a pro rata share of all available funds and margin segregated on behalf of an FCM’s customers. Futures Activities: The Portfolio may enter into commodity, foreign currency, interest rate and commodity or securities index futures contracts and purchase and write (sell) related options traded on exchanges designated by the CFTC or, consistent with CFTC regulations, on foreign exchanges. 5.Futures Contracts:A commodity futures contract provides for the future sale by one party and the future purchase by the other party of a specified amount of a commodity, such as an energy, agricultural or metal commodity, at a specified price, date, time and place. A foreign currency futures contract provides for the future sale by one party and the future purchase by the other party of a certain amount of a specified non-U.S. currency at a specified price, date, time and place. An interest rate futures contract provides for the future sale by one party and the purchase by the other party of a certain amount of a specific interest rate sensitive financial instrument 217 (debt security) at a specified price, date, time and place. Securities and commodities indexes are typically capitalization or production weighted, respectively. A securities index or commodities index futures contract is an agreement to be settled by delivery of an amount of cash equal to a specified multiplier times the difference between the value of the index at the close of the last trading day on the contract and the price at which the agreement is made. The clearing house of the exchange on which a futures contract is entered into becomes the counterparty to each purchaser and seller of the futures contract. Payments, known as “variation margin,” to and from the broker, will be made daily as the currency, financial instrument or index underlying the futures contract fluctuates, making the long and short positions in the futures contract more or less valuable, a process known as “marking-to-market.” As a result of the small margin deposit that is required, a small change in the market price of a futures contract can produce major losses. At any time prior to the expiration of a futures contract, the Portfolio may elect to close the position by taking an opposite position, which will operate to terminate the Portfolio’s existing position in the contract. Positions in futures contracts and options on futures contracts (described below) may be closed out only on the exchange on which they were entered into (or through a linked exchange). However, there is no assurance that an active market will exist at any particular time. Once the daily fluctuation limit has been reached in a particular contract, most futures exchanges restrict trades at a price beyond that limit or trading may be suspended for specified periods during the day. Such restrictions prevent prompt liquidation of futures positions at an advantageous price, potentially subjecting the Portfolio to substantial losses. In such event, and in the event of adverse price movements, the Portfolio would be required to make daily cash payments of variation margin. Losses incurred in futures transactions and the costs of these transactions will affect the Portfolio’s performance. The price volatility of commodity futures contracts has been historically greater than that for traditional securities, such as stocks and bonds, and there are a variety of factors associated with commodity futures contracts which may subject the Portfolio’s investments in the contracts to greater volatility than investments in traditional securities. 6.Options on Futures Contracts:The Portfolio may purchase and write put and call options on foreign currency, interest rate and stock and commodity index futures contracts and may enter into closing transactions with respect to such options to terminate existing positions. There is no guarantee that such closing transactions can be effected; the ability to establish and close out positions on such options will be subject to the existence of a liquid market. An option on a currency, interest rate or commodity or securities index futures contract, as contrasted with the direct investment in such a contract, gives the purchaser the right, in return for the premium paid, to assume a position in a futures contract at a specified exercise price at any time prior to the expiration date of the option. The writer of the option is required upon exercise to assume an offsetting futures position (a short position if the option is a call and a long position if the option is a put). Upon exercise of an option, the delivery of the futures position by the writer of the option to the holder of the option will be accompanied by delivery of the accumulated balance in the writer’s futures margin account, which represents the amount by which the market price of the futures contract exceeds, in the case of a call, or is less than, in the case of a put, the exercise price of the option on the futures contract. The potential loss related to the purchase of an option on a futures contract is limited to the premium paid for the option (plus transaction costs). The value of the option changes daily, and that change is reflected in the net asset value of the Portfolio. The Portfolio may enter into options and futures transactions for several purposes, including generating current income to offset expenses or increase return, and as hedges to reduce investment risk, generally by making an investment expected to move in the opposite direction of a portfolio position. A hedge is designed to offset a loss in a portfolio position with a gain in the hedged position; at the same time, however, a properly correlated hedge will result in a gain in the portfolio position being offset by a loss in the hedged position. 218 At October 31, 2016, the Subsidiary had the following outstanding commodity-linked futures contracts (dollar amounts in thousands): Description Expiration Date Number of Contracts Contract Amount Unrealized Gain (Loss) Brent Crude Oil Futures ....................................11/30/16 244 $ 11,861 $ (449) CBT Wheat Futures .......................................12/14/16 161 3,351 5 Coffee ‘C’ Futures ........................................12/19/16 57 3,509 227 Copper Futures ..........................................12/28/16 164 9,041 190 Corn Futures .............................................12/14/16 468 8,301 306 Cotton No.2 Futures .......................................12/07/16 54 1,859 2 Gasoline RBOB Futures ...................................12/30/16 84 5,000 (77) Gold 100 oz Futures .......................................12/28/16 117 14,895 (393) KCB Wheat Futures .......................................12/14/16 56 1,161 (17) LME Nickel Futures .......................................01/16/17 52 3,267 23 LME Nickel Futures .......................................11/14/16 41 2,568 (10) LME Nickel Futures .......................................01/16/17 (1) (63) 1 LME Nickel Futures .......................................11/14/16 (41) (2,568) (5) LME Prime Aluminum Futures ..............................01/16/17 144 6,247 252 LME Prime Aluminum Futures ..............................11/14/16 111 4,812 282 LME Prime Aluminum Futures ..............................01/16/17 (4) (174) (6) LME Prime Aluminum Futures ..............................11/14/16 (111) (4,812) (243) LME Zinc Futures .........................................01/16/17 76 4,677 220 LME Zinc Futures .........................................11/14/16 58 3,557 278 LME Zinc Futures .........................................01/16/17 (2) (123) (3) LME Zinc Futures .........................................11/14/16 (58) (3,557) (191) Lean Hogs Futures ........................................12/14/16 95 1,822 (82) Live Cattle Futures ........................................12/30/16 73 3,017 (61) NY Harbor ULSD Futures ..................................12/30/16 93 5,943 (185) Natural Gas Futures .......................................12/28/16 415 13,259 (746) Silver Futures ............................................12/28/16 68 6,051 (362) Soybean Futures .........................................01/13/17 148 7,487 264 Soybean Meal Futures .....................................01/13/17 119 3,783 147 Soybean Oil Futures ......................................01/13/17 178 3,780 109 Sugar #11 Futures ........................................02/28/17 252 6,088 (50) WTI Crude Futures ........................................12/20/16 238 11,295 (541) $135,334 $(1,115) The Subsidiary’s securities have been segregated as collateral for open futures contracts. At October 31, 2016, the Subsidiary had the following outstanding commodity total return swaps, which are typically on custom commodity indices that include exposure to various precious metal, energy and agricultural commodities (dollar amounts in thousands): Counterparty Commodity Exposure Expiration Date Currency Notional Amount* Unrealized Appreciation (Depreciation) Bank of America Corp.........................Index** 01/05/17 USD $(101,802) $(1,358) Bank of America Corp.........................Index** 01/05/17 USD (192,289) (2,995) Citibank, N.A.................................Index** 01/05/17 USD (137,464) (1,835) Citibank, N.A.................................Index** 01/05/17 USD (152,532) (2,376) Credit Suisse ................................Index** 12/05/16 USD (120,222) (1,873) Credit Suisse ................................Index** 12/05/16 USD (150,248) (2,006) Deutsche Bank AG, London Branch ..............Index** 12/05/16 USD (135,459) (1,821) Deutsche Bank AG, London Branch ..............Index* 12/05/16 USD (134,108) (2,091) 219 Counterparty Commodity Exposure Expiration Date Currency Notional Amount Unrealized Appreciation (Depreciation) UBSAG...................................Index* 02/03/17 USD $ (99,185) $ (1,287) UBSAG...................................Index* 02/03/17 USD (256,720) (3,916) $(1,480,029) $(21,558) * Swap is exposed to the 22 commodities in the Bloomberg Commodity Index Total Return. The average volume (based on the open positions at each fiscal month-end) of derivative activity for the year ended October 31, 2016 (amounts in thousands): Futures Swap Contracts DFA Commodity Strategy Portfolio ....................................... $84,060 $1,277,436 The following is a summary of the location of derivatives on the Portfolio’s Statement of Assets and Liabilities as of October 31, 2016: Location on the Statement of Assets and Liabilities Derivative Type Liability Derivatives Commodity Futures Contracts Payables: Futures Margin Variation Commodity Swap Contracts Unrealized Loss on Swap Contracts The following is a summary of the Portfolio’s derivative instrument holdings categorized by primary risk exposure as of October 31, 2016 (amounts in thousands): Liability Derivatives Value Total Value at October 31, 2016 Commodity Contracts* Swap Contracts Dimensional Cayman Commodity Fund I, LTD ...............$22,822 $1,264 $21,558 * Includes cumulative appreciation (depreciation) of futures contracts. The following is a summary of the location on the Portfolio’s Statement of Operations of realized and change in unrealized gains and losses from the Portfolio’s derivative instrument holdings for the year ended October 31, 2016: Derivative Type Location of Gain (Loss) on Derivatives Commodity Futures Contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures Swap Contracts Net Realized Gain (Loss) on: Swap Contracts Change in Unrealized Appreciation (Depreciation) of: Swap Contracts 220 The following is a summary of the realized and change in unrealized gains and losses from the Portfolio’s derivative instrument holdings categorized by primary risk exposure through the year ended October 31, 2016 (amounts in thousands): Realized Gain (Loss) on Derivatives Total Commodity Contracts Swap Contracts Dimensional Cayman Commodity Fund I, LTD .................... $27,961 $5,533 $ 22,428 Change in Unrealized Appreciation (Depreciation) on Derivatives Total Commodity Contracts Swap Contracts Dimensional Cayman Commodity Fund I, LTD ....................$(20,185) $ 9 $(20,194) Offsetting of Derivative Assets and Derivative Liabilities In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or a similar agreement with certain of its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs over-the- counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, provisions in the event of a default and/or termination event and may also include collateral posting items. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted, if any, and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out), including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the “Statement of assets and liabilities.” The following table presents the Portfolio’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Portfolios as of October 31, 2016 (Amounts in thousands): Description Gross Amounts of Recognized Assets (a) Net Amounts of Assets Presented in the Statements of Assets and Liabilities Gross Amounts Not Offset in the Statements of Assets and Liabilities Net Amount (c) Gross Amounts of Recognized Liabilities (a) Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities Gross Amounts Not Offset in the Statements of Assets and Liabilities Net Amount (e) Financial Instruments (b) Cash Collateral Received Financial Instruments (d) Cash Collateral Pledged Assets Liabilities DFA Commodity Strategy Portfolio Swap Contracts ........ — — — — —$21,558 $21,558 — $(340) $21,218 (a) No amounts have been netted against the gross amounts recognized in the Statements of Assets and Liabilities. (b) Represents the amount of assets that could be offset by liabilities with the same counterparty under master netting or similar agreements that management elects not to offset on the Statements of Assets and Liabilities. (c) Represents the net amount due from counterparties in the event of default. (d) Represents the amount of liabilities that could be offset by assets with the same counterparty under master netting or similar agreements that management elects not to offset on the Statements of Assets and Liabilities. (e) Represents the net amount due to counterparties in the event of default. 221 I. Line of Credit and Interfund Lending Program: The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million uncommitted, unsecured discretionary line of credit effective March 30, 2016, with its domestic custodian bank. A line of credit with similar terms was in effect through March 29, 2016. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on March 29, 2017. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit with its international custodian bank effective January 8, 2016. A line of credit with similar terms was in effect through January 7, 2016. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The line of credit agreement expires on January 7, 2017. There were no borrowings by the Portfolio under the lines of credit during the year ended October 31, 2016. Pursuant to an exemptive order issued by the SEC (the “Order”), the Portfolio may participate in an interfund lending program among certain portfolios managed by the Advisor (portfolios that operate as feeder funds do not participate in the program). The program allows the participating portfolios to borrow money from and loan money to each other for temporary or emergency purposes, subject to the conditions in the Order. A loan can only be made through the program if the interfund loan rate on that day is more favorable to both the borrowing and lending portfolios as compared to rates available through short-term bank loans or investments in overnight repurchase agreements and money market funds, respectively, as detailed in the Order. Further, a portfolio may participate in the program only if and to the extent that such participation is consistent with its investment objectives and limitations. Interfund loans have a maximum duration of seven days and may be called on one business day’s notice. The Portfolio did not utilize the interfund lending program during the year ended October 31, 2016. J. Securities Lending: As of October 31, 2016, the Portfolio had a security on loan to a broker/dealer, for which the Portfolio received cash collateral. The Portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral in an amount (i) equal to at least 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) generally equal to 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) generally equal to 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Portfolio’s collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Portfolio or, at the option of the lending agent, to replace the securities. In the event of the bankruptcy of the borrower, the Portfolio could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value. Subject to its stated investment policy, the Portfolio will generally invest the cash collateral received for the loaned securities in the Money Market Series, an affiliated registered money market fund advised by the Advisor for 222 which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. The Portfolio also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, the Portfolio will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of October 31, 2016: Remaining Contractual Maturity of the Agreements As of October 31, 2016 Overnight and Continuous <30 days Between 30 & 90 days >90 days Total Securities Lending Transactions DFA Commodity Strategy Portfolio Bonds, U.S. Treasury Obligations .......$102,402,999 — — — $102,402,999 K. Indemnitees; Contractual Obligations: Under the Fund’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. L. Other: At October 31, 2016, 3 shareholders held 63% of the outstanding shares of the Portfolio. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors. M. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolio through the date that the financial statements were issued and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 223 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Directors of DFA Investment Dimensions Group Inc. and Shareholders of DFA Commodity Strategy Portfolio: In our opinion, the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, and the related consolidated statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of DFA Commodity Strategy Portfolio and its subsidiary (one of the portfolios constituting DFA Investment Dimensions Group Inc., hereafter referred to as the “Portfolio”) as of October 31, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of October 31, 2016 by correspondence with the custodian, brokers and the transfer agent of the investee fund, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 20, 2016 224 DIMENSIONAL INVESTMENT GROUP INC. PERFORMANCE CHARTS (Unaudited) DFA International Value Portfolio — Class R2 vs. MSCI World ex USA Index (net dividends) April 30, 2008-October 31, 2016 Growth of $10,000 $9,176 $9,895 $0 $10,000 $20,000 04/08 2010 201120092008 2012 2013 2014 2015 10/16 DFA International Value Portfolio - Class R2 MSCI World ex USA Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Since Inception -0.43%3.96% -1.01% DFA International Value Portfolio — Institutional Class vs. MSCI World ex USA Index (net dividends) October 31, 2006-October 31, 2016 Growth of $10,000 $10,635 $11,360 $0 $10,000 $20,000 10/06 201520082007 2010 20112009 2012 2013 2014 10/16 DFA International Value Portfolio-Institutional Class MSCI World ex USA Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years -0.20% 4.21% 0.62% 225 DIMENSIONAL INVESTMENT GROUP INC. PERFORMANCE CHARTS (Unaudited) U.S. Large Company Portfolio vs. S&P 500 Index October 31, 2006-October 31, 2016 Growth of $10,000 $19,124 $19,138 $0 $10,000 $20,000 $30,000 10/06 20082007 2010 20112009 2012 2013 10/162014 2015 U.S. Large Company Portfolio S&P 500 Index Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The S&P data are provided by Standard & Poor’s Index Services Group. Average Annual Total Return One Year Five Years Ten Years 4.54% 13.48% 6.71% 226 DIMENSIONAL INVESTMENT GROUP INC. MANAGEMENT’S DISCUSSION AND ANALYSIS (Unaudited) International Equity Market Review 12 Months Ended October 31, 2016 Performance of non-U.S. developed markets was varied for the period. Small-cap stocks had positive returns, while large-cap stocks had negative returns. As measured by the MSCI World ex USA indices, small-cap stocks outperformed large-cap stocks, and value stocks outperformed growth stocks. 12 Months Ended October 31, 2016 Return in U.S. Dollars MSCI World ex USA Index ........................................................-2.27% MSCI World ex USA Small Cap Index ...............................................3.96% MSCI World ex USA Value Index ..................................................-2.07% MSCI World ex USA Growth Index .................................................-2.58% During the period, the performance of the U.S. dollar was mixed when compared against currencies of other developed markets. In particular, while the U.S. dollar appreciated significantly against the British pound, it depreciated significantly against the Japanese yen. Overall, currency fluctuations detracted from USD- denominated returns in developed markets. 12 Months Ended October 31, 2016 Ten Largest Foreign Developed Markets by Market Cap Local Return Return in U.S. Dollars Japan .............................................................-10.14% 3.19% United Kingdom .....................................................13.55% -10.24% France .............................................................-4.31% -5.04% Switzerland .........................................................-8.27% -8.57% Canada ............................................................11.55% 8.90% Germany ...........................................................-2.14% -2.89% Australia ...........................................................5.52% 12.55% Hong Kong .........................................................8.52% 8.45% Spain ..............................................................-8.40% -9.10% Netherlands ........................................................0.63% -0.20% Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2016, all rights reserved Emerging markets had stronger performance over the period than non-U.S. developed markets. As measured by the MSCI emerging markets indices, small-cap stocks underperformed large-cap stocks, and growth stocks outperformed value stocks. 12 Months Ended October 31, 2016 Return in U.S. Dollars MSCI Emerging Markets Index ....................................................9.27% MSCI Emerging Markets Small Cap Index ...........................................4.78% MSCI Emerging Markets Value Index ...............................................8.60% MSCI Emerging Markets Growth Index ..............................................9.81% During the period, the performance of the U.S. dollar was mixed when compared against the currencies of emerging markets. In particular, while the U.S. dollar appreciated significantly against the Mexican peso, it also depreciated significantly against the Brazilian real. Overall, currency fluctuations benefitted from USD-denominated returns in emerging markets. 227 12 Months Ended October 31, 2016 Ten Largest Emerging Markets by Market Cap Local Return Return in U.S. Dollars China ..............................................................1.62% 1.54% Korea .............................................................5.56% 5.17% Taiwan ............................................................14.56% 17.85% India ..............................................................6.28% 3.99% South Africa ........................................................-0.92% 1.46% Brazil ..............................................................40.59% 70.69% Mexico .............................................................8.65% -4.51% Russia .............................................................17.86% 18.61% Malaysia ...........................................................4.44% 6.95% Indonesia ..........................................................26.13% 32.31% Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2016, all rights reserved. For funds investing in non-US equities traded outside of the U.S. market time zone, differences in the valuation timing and methodology between a fund and its benchmark index may impact relative performance over the referenced period. The funds price foreign exchange rates at the closing of the U.S. market while their benchmark indices use rates at 4 pm London time. The funds also may use fair value pricing to price certain portfolio securities at the closing of the U.S. market, while benchmark indices may use local market closing prices. For the one-year period ended October 31, 2016, these differences generally benefitted the funds’ relative performance. Master-Feeder Structure Certain portfolios described below, called “Feeder Funds,” do not buy individual securities directly; instead, these portfolios invest in corresponding funds called “Master Funds.” Master Funds, in turn, purchase stocks and/or other securities directly. International Equity Portfolio Performance Overview DFA International Value Portfolio The DFA International Value Portfolio is designed to capture the returns of developed ex U.S. large company value stocks by purchasing shares of the DFA International Value Series, a Master Fund managed by Dimensional that invests in such securities. Value is measured primarily by price-to-book ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Master Fund held approximately 500 securities in 22 eligible developed markets. In general, average cash exposure throughout the year was less than 1% of the Master Fund’s assets. For the 12 months ended October 31, 2016, total returns were -0.43% for the Portfolio’s Class R2 shares, -0.20% for the Portfolio’s Institutional Class shares, and -2.27% for the MSCI World ex USA Index (net dividends), the Portfolio’s benchmark. As a result of the Master Fund’s diversified investment approach, performance was determined principally by broad trends in developed ex U.S. equity markets rather than by the behavior of a limited number of stocks. The Master Fund invests primarily in value stocks, while the benchmark is neutral with regard to value or growth stocks. The Master Fund’s emphasis on deep value stocks contributed positively to its performance relative to the benchmark, as that segment of the market outperformed for the year. The Master Fund’s emphasis on mid-cap stocks also contributed positively to relative performance, as those stocks outperformed for the period. U.S. Equity Market Review 12 Months Ended October 31, 2016 Most U.S. equities had positive returns during the period. The broad U.S. equity market, as measured by the Russell 3000 ®Index, gained approximately 4.2%. Large-cap stocks outperformed small-cap stocks as measured by the Russell indices. 228 Total Return for 12 Months Ended October 31, 2016 Russell 3000 ®Index .......................................................................4.24% Russell Microcap ®Index (micro-cap stocks)....................................................1.54% Russell 2000 ®Index (small-cap stocks).......................................................4.11% Russell 1000 ®Index (large-cap stocks)........................................................4.26% Dow Jones U.S. Select REIT Index SM .........................................................4.96% Value stocks outperformed growth stocks as measured by the Russell indices. Total Return for 12 Months Ended October 31, 2016 Russell 2000 ®Value Index (small-cap value stocks)............................................8.81% Russell 2000 ®Growth Index (small-cap growth stocks)..........................................-0.49% Russell 1000 ®Value Index (large-cap value stocks).............................................6.37% Russell 1000 ®Growth Index (large-cap growth stocks)..........................................2.28% Source: Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. U.S. Large Company Portfolio The U.S. Large Company Portfolio seeks to approximate the returns of the S&P 500 ®Index by investing in S&P 500 ®Index securities in approximately the same proportions as they are represented in the Index. In addition to individual stocks, the Portfolio uses futures to gain market exposure for uninvested cash. In general, average cash exposure throughout the year was less than 1% of the Portfolio’s assets. For the 12 months ended October 31, 2016, the total return was 4.54% for the Portfolio and 4.51% for the S&P 500®Index, the Portfolio’s benchmark. The Portfolio’s return, net of fees and expenses, outperformed the benchmark. The Portfolio benefited from a flexible trading approach that helps minimize the potential negative effects of trading during index reconstitution. 229 DIMENSIONAL INVESTMENT GROUP INC. DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund’s costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return and “Expenses Paid During Period” reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.” Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund’s costs with those of other mutual funds. The hypothetical “Ending Account Value” and “Expenses Paid During Period” are derived from the fund’s actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The “Annualized Expense Ratio” represents the actual expenses for the six-month period indicated. Six Months Ended October 31, 2016 EXPENSE TABLES Beginning Account Value 05/01/16 Ending Account Value 10/31/16 Annualized Expense Ratio* Expenses Paid During Period* DFA International Value Portfolio** Actual Fund Return Class R2 Shares .............................$1,000.00 $1,037.80 0.68% $3.48 Institutional Class Shares .....................$1,000.00 $1,038.40 0.43% $2.20 Hypothetical 5% Annual Return Class R2 Shares .............................$1,000.00 $1,021.72 0.68% $3.46 Institutional Class Shares .....................$1,000.00 $1,022.97 0.43% $2.19 230 DISCLOSURE OF FUND EXPENSES CONTINUED Beginning Account Value 05/01/16 Ending Account Value 10/31/16 Annualized Expense Ratio* Expenses Paid During Period* U.S. Large Company Portfolio Actual Fund Return ............................$1,000.00 $1,040.60 0.08% $0.41 Hypothetical 5% Annual Return ..................$1,000.00 $1,024.73 0.08% $0.41 * Expenses are equal to the fund’s annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (366) to reflect the six-month period. ** The Portfolio is a Feeder Fund. The expenses shown reflect the direct expenses of the Feeder Fund and the Feeder Fund’s portion of the expenses of its Master Fund (Affiliated Investment Company). 231 DIMENSIONAL INVESTMENT GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional Investment Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with the SEC on September 28, 2016. They are available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). SEC regulations permit a fund to include in its reports to shareholders a “Summary Schedule of Portfolio Holdings” in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund’s 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund’s net assets at the end of the reporting period. The regulations also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. A fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories of industry classification for the Affiliated Investment Company are represented in its Disclosure of Portfolio Holdings, which is included elsewhere within the report. Refer to the Summary Schedule of Portfolio Holdings for the underlying Affiliated Investment Company’s holdings, which reflect the investments by category. FEEDER FUND Affiliated Investment Company DFA International Value Portfolio ............................................100.0% DOMESTIC EQUITY PORTFOLIO U.S. Large Company Portfolio Consumer Discretionary ..........12.5% Consumer Staples ...............10.0% Energy ........................7.2% Financials ......................13.3% Health Care ....................14.0% Industrials ......................9.8% Information Technology ...........21.6% Materials .......................2.8% Real Estate .....................2.9% Telecommunication Services ......2.5% Utilities ........................3.4% 100.0% 232 DFA INTERNATIONAL VALUE PORTFOLIO SCHEDULE OF INVESTMENTS October 31, 2016 Value† AFFILIATED INVESTMENT COMPANY — (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company ................................................$7,275,892,237 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $7,290,534,122)........................................................$7,275,892,237 Summary of the Portfolio’s Master Fund’s investments as of October 31, 2016, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 233 U.S. LARGE COMPANY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value† Percentage of Net Assets** COMMON STOCKS — (94.9%) Consumer Discretionary — (11.8%) * Amazon.com, Inc..........................................135,980 $ 107,399,724 1.7% Comcast Corp. Class A ....................................830,219 51,324,139 0.8% Home Depot, Inc. (The)....................................426,992 52,097,294 0.8% McDonald’s Corp..........................................294,906 33,197,568 0.5% Walt Disney Co. (The).....................................510,954 47,360,326 0.7% Other Securities ..........................................499,518,173 7.9% Total Consumer Discretionary ...................................790,897,224 12.4% Consumer Staples — (9.5%) Altria Group, Inc...........................................675,216 44,645,282 0.7% Coca-Cola Co. (The)......................................1,342,386 56,917,166 0.9% CVS Health Corp..........................................368,464 30,987,822 0.5% PepsiCo, Inc..............................................497,347 53,315,598 0.8% Philip Morris International, Inc...............................536,110 51,702,448 0.8% Procter & Gamble Co. (The)................................922,271 80,053,123 1.2% Wal-Mart Stores, Inc.......................................523,797 36,676,266 0.6% Other Securities ..........................................283,747,526 4.5% Total Consumer Staples ........................................638,045,231 10.0% Energy — (6.8%) Chevron Corp.............................................651,947 68,291,448 1.1% Exxon Mobil Corp.........................................1,433,006 119,398,060 1.9% Schlumberger, Ltd.........................................480,598 37,597,182 0.6% Other Securities ..........................................231,868,396 3.6% Total Energy ..................................................457,155,086 7.2% Financials — (12.6%) Bank of America Corp......................................3,526,591 58,188,752 0.9% * Berkshire Hathaway, Inc. Class B ............................656,140 94,681,002 1.5% Citigroup, Inc.............................................1,004,044 49,348,763 0.8% JPMorgan Chase & Co.....................................1,248,235 86,452,756 1.4% Wells Fargo & Co..........................................1,569,283 72,202,711 1.1% Other Securities ..........................................484,844,762 7.6% Total Financials ...............................................845,718,746 13.3% Health Care — (13.3%) AbbVie, Inc...............................................562,794 31,392,649 0.5% * Allergan P.L.C............................................136,848 28,593,021 0.4% Amgen, Inc...............................................258,620 36,506,799 0.6% Bristol-Myers Squibb Co....................................577,630 29,407,143 0.5% * Celgene Corp.............................................268,047 27,389,042 0.4% Gilead Sciences, Inc.......................................456,050 33,578,961 0.5% Johnson & Johnson .......................................945,469 109,664,949 1.7% Medtronic P.L.C...........................................477,572 39,170,455 0.6% Merck & Co., Inc..........................................955,605 56,113,126 0.9% Pfizer, Inc................................................2,096,178 66,469,804 1.0% UnitedHealth Group, Inc....................................329,129 46,515,802 0.7% Other Securities ..........................................383,047,203 6.1% Total Health Care ..............................................887,848,954 13.9% Industrials — (9.3%) 3MCo. ..................................................208,870 34,526,211 0.5% # Boeing Co. (The)..........................................200,618 28,574,022 0.4% 234 U.S.LARGE COMPANY PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** Industrials — (Continued) General Electric Co........................................3,096,837 $ 90,117,957 1.4% Honeywell International, Inc.................................263,044 28,850,666 0.5% United Technologies Corp..................................269,142 27,506,312 0.4% Other Securities ..........................................411,071,277 6.6% Total Industrials ...............................................620,646,445 9.8% Information Technology — (20.5%) * Alphabet, Inc. Class A .....................................101,893 82,523,141 1.3% * Alphabet, Inc. Class C .....................................102,119 80,116,440 1.3% Apple, Inc................................................1,862,147 211,428,170 3.3% Cisco Systems, Inc........................................1,738,176 53,327,240 0.8% * Facebook, Inc. Class A ....................................802,772 105,155,104 1.6% Intel Corp................................................1,634,947 57,010,602 0.9% # International Business Machines Corp........................300,593 46,198,138 0.7% Mastercard, Inc. Class A ...................................331,389 35,465,251 0.5% Microsoft Corp............................................2,692,950 161,361,564 2.5% Oracle Corp..............................................1,040,060 39,959,105 0.6% QUALCOMM, Inc.........................................509,266 34,996,759 0.5% # Visa, Inc. Class A .........................................651,917 53,789,672 0.8% Other Securities ..........................................412,610,036 6.8% Total Information Technology ....................................1,373,941,222 21.6% Materials — (2.7%) Other Securities ..........................................178,526,813 2.8% Real Estate — (2.8%) Other Securities ..........................................186,922,692 2.9% Telecommunication Services — (2.4%) AT&T, Inc................................................2,126,018 78,216,202 1.2% Verizon Communications, Inc...............................1,408,695 67,758,229 1.1% Other Securities ..........................................12,257,280 0.2% Total Telecommunication Services ...............................158,231,711 2.5% Utilities — (3.2%) Other Securities ..........................................214,383,094 3.4% TOTAL COMMON STOCKS ....................................6,352,317,218 99.8% TOTAL INVESTMENT SECURITIES .............................6,352,317,218 TEMPORARY CASH INVESTMENTS — (0.1%) State Street Institutional U.S. Government Money Market Fund, 0.260%....................................8,252,591 8,252,591 0.1% SECURITIES LENDING COLLATERAL — (5.0%) §@ DFA Short Term Investment Fund ...........................29,046,136 336,121,883 5.3% TOTAL INVESTMENTS — (100.0%) (Cost $3,664,748,340).......................................$6,696,691,692 105.2% 235 U.S.LARGE COMPANY PORTFOLIO CONTINUED Summary of the Portfolio’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Consumer Discretionary .................................... $790,897,224 — — $ 790,897,224 Consumer Staples .........................................638,045,231 — — 638,045,231 Energy ...................................................457,155,086 — — 457,155,086 Financials ................................................845,718,746 — — 845,718,746 Health Care ...............................................887,848,954 — — 887,848,954 Industrials ................................................620,646,445 — — 620,646,445 Information Technology .....................................1,373,941,222 — — 1,373,941,222 Materials .................................................178,526,813 — — 178,526,813 Real Estate ...............................................186,922,692 — — 186,922,692 Telecommunication Services ................................158,231,711 — — 158,231,711 Utilities ...................................................214,383,094 — — 214,383,094 Temporary Cash Investments ..................................8,252,591 — — 8,252,591 Securities Lending Collateral .................................. —$336,121,883 — 336,121,883 Futures Contracts**..........................................(98,366) — — (98,366) TOTAL .....................................................$6,360,471,443 $336,121,883 — $6,696,593,326 ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 236 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (Amounts in thousands, except share and per share amounts) DFA International Value Portfolio U.S. Large Company Portfolio* ASSETS: Investments in Affiliated Investment Company at Value ............................... $7,275,892 — Investments at Value (including $0 and $480,335 of securities on loan, respectively)....... — $6,352,317 Temporary Cash Investments at Value & Cost ....................................... —8,253 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0 and $336,071)...................................................................— 336,122 Segregated Cash for Futures Contracts ............................................ — 563 Receivables: Investment Securities Sold ..................................................... — 708 Dividends, Interest and Tax Reclaims ............................................ —7,868 Securities Lending Income ..................................................... — 77 Fund Shares Sold ............................................................5,743 2,068 Prepaid Expenses and Other Assets ............................................... 116 61 Total Assets .............................................................7,281,751 6,708,037 LIABILITIES: Payables: Upon Return of Securities Loaned ............................................... —336,067 Investment Securities Purchased ................................................ —1,539 Fund Shares Redeemed .......................................................6,129 3,527 Due to Advisor ...............................................................1,221 300 Futures Margin Variation ...................................................... — 24 Accrued Expenses and Other Liabilities ............................................ 428 644 Total Liabilities ...........................................................7,778 342,101 NET ASSETS ................................................................. $7,273,973 $ 6,365,936 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares — based on net assets of $3,308 and $0 and shares outstanding of 203,393 and 0, respectively ....................................................$ 16.27 N/A NUMBER OF SHARES AUTHORIZED .............................................100,000,000 N/A Institutional Class Shares — based on net assets of $7,270,665 and $6,365,936 and shares outstanding of 445,962,268 and 381,933,822, respectively ..........................$ 16.30 $ 16.67 NUMBER OF SHARES AUTHORIZED .............................................1,500,000,000 900,000,000 Investments in Affiliated Investment Companies at Cost ............................... $7,290,534 $ — Investments at Cost ............................................................ $ — $3,320,424 NET ASSETS CONSIST OF: Paid-In Capital ................................................................. $7,439,985 $ 3,454,852 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) . . . 40,507 19,630 Accumulated Net Realized Gain (Loss)............................................(191,034) (140,392) Net Unrealized Foreign Exchange Gain (Loss)......................................(843) — Net Unrealized Appreciation (Depreciation).........................................(14,642) 3,031,846 NET ASSETS ................................................................. $7,273,973 $ 6,365,936 * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 237 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (Amounts in thousands) DFA International Value Portfolio* U.S. Large Company Portfolio Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $20,325 and $0, respectively).................. $250,955 — Income from Securities Lending ......................................................7,093 — Expenses Allocated from Affiliated Investment Company ..................................(14,337) — Total Net Investment Income Received from Affiliated Investment Companies ..............243,711 — Fund Investment Income Dividends .......................................................................... —$135,427 Interest ............................................................................ — 73 Income from Securities Lending ........................................................ — 881 Total Investment Income .......................................................... —136,381 Fund Expenses Investment Management Fees .........................................................26,205 3,643 Accounting & Transfer Agent Fees ...................................................... 41 337 S&P 500 ®Fees ...................................................................... — 102 Custodian Fees ...................................................................... — 82 Shareholder Servicing Fees — Class R2 Shares .......................................... 21 — Filing Fees .......................................................................... 246 149 Shareholders’ Reports ................................................................ 242 121 Directors’/Trustees’ Fees & Expenses ................................................... 46 42 Professional Fees .................................................................... 161 264 Other .............................................................................. 54 209 Total Expenses ..................................................................27,016 4,949 Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)..........................................................................— (75) Institutional Class Shares ............................................................(13,086) — Class R2 Shares ...................................................................(17) — Net Expenses .......................................................................13,913 4,874 Net Investment Income (Loss)........................................................229,798 131,507 Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**.........................................................(189,967) 44,973 Futures ..........................................................................4,316 (5,349) Foreign Currency Transactions .......................................................4,081 — Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ............................................3,950 140,290 Futures ..........................................................................(482) (356) Translation of Foreign Currency Denominated Amounts ..................................(650) — Net Realized and Unrealized Gain (Loss)...............................................(178,752) 179,558 Net Increase (Decrease) in Net Assets Resulting from Operations .......................... $51,046 $311,065 * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company). ** Net of foreign capital gain taxes withheld of $0 and $0, respectively. See accompanying Notes to Financial Statements. 238 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) DFA International Value Portfolio U.S. Large Company Portfolio Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............................. $229,798 $ 218,094 $ 131,507 $ 116,432 Net Realized Gain (Loss) on:.............................. Investment Securities Sold*.............................(189,967) 185,379 44,973 174,452 Futures ..............................................4,316 — (5,349) 2,961 Foreign Currency Transactions ...........................4,081 (4,394) — — In-Kind Redemptions ................................... — — —70,875 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ................3,950 (768,572) 140,290 (67,093) Futures ..............................................(482) — (356) (2,353) Translation of Foreign Currency Denominated Amounts ......(650) 490 — — Net Increase (Decrease) in Net Assets Resulting from Operations ........................................51,046 (369,003) 311,065 295,274 Distributions From: Net Investment Income:.................................. Class R2 Shares ......................................(336) (293) — — Institutional Class Shares ...............................(224,465) (210,745) (125,202) (110,940) Net Long-Term Gains:.................................... Institutional Class Shares ............................... — —(47,852) — Total Distributions ....................................(224,801) (211,038) (173,054) (110,940) Capital Share Transactions (1): Shares Issued ..........................................2,442,715 1,877,719 1,529,402 1,080,396 Shares Issued in Lieu of Cash Distributions ..................218,177 204,539 150,286 95,812 Shares Redeemed ....................................... (2,019,049) (1,698,746) (1,262,506) (1,218,173) Net Increase (Decrease) from Capital Share Transactions . . 641,843 383,512 417,182 (41,965) Total Increase (Decrease) in Net Assets .................468,088 (196,529) 555,193 142,369 Net Assets Beginning of Year .......................................6,805,885 7,002,414 5,810,743 5,668,374 End of Year ............................................ $7,273,973 $ 6,805,885 $ 6,365,936 $ 5,810,743 (1) Shares Issued and Redeemed: Shares Issued ..........................................158,003 105,639 96,985 66,846 Shares Issued in Lieu of Cash Distributions ..................14,327 11,317 9,320 6,038 Shares Redeemed .......................................(128,304) (93,840) (78,179) (74,737) Net Increase (Decrease) from Shares Issued and Redeemed ........................................44,026 23,116 28,126 (1,853) Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...............................$ 40,507 $ 27,926 $ 19,630 $ 10,643 * Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 239 DIMENSIONAL INVESTMENT GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)DFA International Value Portfolio-Class R2 SharesYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012NetAssetValue,BeginningofYear................................................................................................... . $16.93 $ 18.48 $ 19.46 $15.72 $15.83Income from Investment OperationsNetInvestmentIncome(Loss)(A) ...................................................................................................0.53 0.51 0.74 0.49 0.51NetGains(Losses)onSecurities(RealizedandUnrealized) ............................................................................. . . (0.65) (1.55) (0.93) 3.77 (0.13)TotalfromInvestmentOperations ................................................................................................. (0.12) (1.04) (0.19) 4.26 0.38Less DistributionsNetInvestmentIncome ........................................................................................................... (0.54) (0.51) (0.79) (0.52) (0.49)TotalDistributions .............................................................................................................(0.54) (0.51) (0.79) (0.52) (0.49)NetAssetValue,EndofYear ........................................................................................................$16.27$ 16.93$ 18.48$19.46$15.72TotalReturn ..................................................................................................................... (0.43)% (5.78)% (1.21)% 27.61% 2.70%Net Assets, End of Year (thousands)................................................................................................... $3,308$10,404 $11,200 $5,517 $6,407Ratio of Expenses to Average Net Assets (B)............................................................................................ 0.68% 0.68% 0.68% 0.69% 0.71%Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor).................... 0.88% 0.73% 0.68% 0.69% 0.71%RatioofNetInvestmentIncometoAverageNetAssets.................................................................................... . 3.42% 2.81% 3.79% 2.84% 3.33%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 240 DIMENSIONAL INVESTMENT GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)DFA International Value Portfolio-Institutional Class SharesYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012NetAssetValue,BeginningofYear ................................................................................... $ 16.92 $ 18.47 $ 19.45 $ 15.72 $ 15.83Income from Investment OperationsNetInvestmentIncome(Loss)(A)................................................................................... 0.55 0.56 0.84 0.520.54NetGains(Losses)onSecurities(RealizedandUnrealized)............................................................... (0.63) (1.56) (0.98) 3.78 (0.12)TotalfromInvestmentOperations................................................................................. (0.08) (1.00) (0.14) 4.30 0.42Less DistributionsNetInvestmentIncome........................................................................................... (0.54) (0.55) (0.84) (0.57) (0.53)TotalDistributions............................................................................................. (0.54) (0.55) (0.84) (0.57) (0.53)NetAssetValue,EndofYear ........................................................................................$ 16.30$ 16.92$ 18.47$ 19.45$ 15.72TotalReturn ..................................................................................................... (0.20)% (5.58)% (0.97)% 27.90% 2.98%Net Assets, End of Year (thousands).................................................................................. $7,270,665 $6,795,481 $6,991,214 $6,522,355 $5,480,888Ratio of Expenses to Average Net Assets (B)............................................................................ 0.43% 0.43% 0.43% 0.43% 0.45%Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor andFeesPaidIndirectly)............................................................................................. 0.63% 0.49% 0.43%0.43% 0.45%RatioofNetInvestmentIncometoAverageNetAssets .................................................................... 3.51% 3.10% 4.29%3.00% 3.54%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 241 DIMENSIONAL INVESTMENT GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)U.S. Large Company PortfolioYearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012NetAssetValue,BeginningofYear ................................................................................... $ 16.42 $ 15.94 $ 13.87 $ 11.15 $ 9.90Income from Investment OperationsNetInvestmentIncome(Loss)(A)................................................................................... 0.35 0.33 0.29 0.270.22NetGains(Losses)onSecurities(RealizedandUnrealized)............................................................... 0.38 0.47 2.07 2.71 1.25TotalfromInvestmentOperations................................................................................. 0.73 0.80 2.36 2.98 1.47Less DistributionsNetInvestmentIncome........................................................................................... (0.34) (0.32) (0.29) (0.26) (0.22)NetRealizedGains.............................................................................................. (0.14)————TotalDistributions............................................................................................. (0.48) (0.32) (0.29) (0.26) (0.22)NetAssetValue,EndofYear ........................................................................................$ 16.67$ 16.42$ 15.94$ 13.87$ 11.15TotalReturn ..................................................................................................... 4.54% 5.09% 17.17% 27.10% 15.02%Net Assets, End of Year (thousands).................................................................................. $6,365,936 $5,810,743 $5,668,374 $4,917,336 $4,037,336Ratio of Expenses to Average Net Assets............................................................................... 0.08% 0.08% 0.08% 0.09% 0.10%Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered byAdvisor) ...................................................................................................... 0.08% 0.09% 0.08% 0.10% 0.10%RatioofNetInvestmentIncometoAverageNetAssets .................................................................... 2.17% 2.05% 1.95%2.13% 2.10%PortfolioTurnoverRate............................................................................................. 9% 2% 3% 3% 4%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 242 DIMENSIONAL INVESTMENT GROUP INC. NOTES TO FINANCIAL STATEMENTS A. Organization: Dimensional Investment Group Inc. (the “Fund”) is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are generally offered to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of fifteen portfolios, two of which, DFA International Value Portfolio and U.S. Large Company Portfolio (the “Portfolios”), are presented in this section of the report. The remaining operational portfolios are presented in separate reports. The Portfolios are investment companies, and accordingly, follow the accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Certification (“ASC”) Topic 946, “Financial Services-Investment Companies.” DFA International Value Portfolio (the “Feeder Fund”) primarily invests its assets in The DFA International Value Series (the “Series”), a corresponding series of The DFA Investment Trust Company. At October 31, 2016, the Feeder Fund owned 75% of the Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Feeder Fund. B. Significant Accounting Policies: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1.Security Valuation:The Portfolios utilize a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: • Level 1 – inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, futures contracts) • Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) • Level 3 – significant unobservable inputs (including the Portfolios’ own assumptions in determining the fair value of investments) The Feeder Fund’s investment reflects its proportionate interest in the net assets of the Series. This valuation is classified as Level 1 in the hierarchy. Securities held by U.S. Large Company Portfolio, including over-the-counter securities, are valued at the last quoted sale price of the day. Securities held by the Portfolio that are listed on Nasdaq are valued at the Nasdaq Official Closing Price (“NOCP”). If there is no last reported sale price or NOCP for the day, the Portfolio values the securities within the range of the most recent quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end management investment companies are valued using their respective net asset values or public offering prices, as appropriate, for purchase orders placed at the close of the New York Stock Exchange (NYSE). These securities are generally categorized as Level 1 in the hierarchy. Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures 243 adopted by the Board of Directors of the Fund. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of Dimensional Fund Advisors LP) occur before the net asset value of the Portfolio is calculated. When fair value pricing is used, the prices of securities used by the Portfolio may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. Futures contracts held by U.S. Large Company Portfolio are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy. A summary of the inputs used to value the Portfolios’ investments by each major security type, industry and/or country is disclosed previously in this note. A valuation hierarchy table has been included at the end of the Summary Schedule of Portfolio Holdings/Schedule of Investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For the year ended October 31, 2016, there were no significant transfers between Level 1 and Level 2 and no significant Level 3 investments held by the Portfolios. 2. Deferred Compensation Plan:Each eligible Director of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the “Plan”). Under the Plan, effective January 1, 2002, such Directors may defer payment of all or a portion of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors’ Fees & Expenses. Each Director has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed-upon years; or quarterly installments over a period of agreed- upon years. Each Director shall have the right in a notice of election (the “Notice”) to defer the receipt of the Director’s deferred compensation until a date specified by such Director in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Director ceases to be a member of the Board of Directors of the Fund; and (ii) five years following the effective date of the Director’s first deferral election. If a Director who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Director’s deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Director ceases to be a member of the Board (unless the Director files an amended Notice selecting a different distribution date). As of October 31, 2016, none of the Directors have requested or received a distribution of proceeds of a deferred fee account. 3. Other:The Feeder Fund recognizes its pro-rata share, on a daily basis, of net investment income and realized and unrealized gains and losses of investment securities from the Series, which is treated as a partnership for federal income tax purposes. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments or as a realized gain, respectively. The Portfolios estimate the character of distributions received that may be considered return of capital distributions. Expenses directly attributable to a Portfolio are directly charged. Common expenses of the Fund or the Portfolios are allocated using methods approved by the Board of Directors, generally based on average net assets. Class R2 Shares and Institutional Class Shares have equal rights to assets and earnings of the Feeder Fund. Income, gains and losses, and common expenses of the Feeder Fund are allocated to each class of shares based on its relative net assets. Each class will bear its own class-specific expenses, if any. C. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides investment management services to the Portfolio. For the year ended October 31, 2016, the U.S. Large Company Portfolio’s and the Feeder Fund’s investment management fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.06% and 0.40%, respectively, of average daily net assets. 244 Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption Agreement (the “Fee Waiver Agreement”), the Advisor has contractually agreed to waive certain fees, and in certain instances, assume certain expenses of the Portfolios, as described in the notes below. The Fee Waiver Agreement for the U.S. Large Company Portfolio, and a portion of the Fee Waiver Agreement for the Feeder Fund, will remain in effect through February 28, 2017, and may only be terminated by the Fund’s Board of Directors prior to that date and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. The Fee Waiver Agreement with respect to the total management fees paid by the Feeder Fund, as described in the notes below, will remain in effect permanently, unless terminated by the Feeder Fund. For the year ended October 31, 2016, the Portfolios had expense limits based on a percentage of average net assets on an annualized basis, and the Advisor recovered previously waived fees and/or expenses assumed as listed below (amounts in thousands). The Portfolios are not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of recovery. Institutional Class Shares Expense Limitation Amount Recovery of Previously Waived Fees/ Expenses Assumed Previously Waived Fees/ Expenses Assumed Subject to Future Recovery DFA International Value Portfolio (1)................0.40% — — U.S. Large Company Portfolio (2)..................0.08% $90 $951 Class R2 Shares DFA International Value Portfolio (1)................0.79% — — (1) Effective July 21, 2015, the Advisor has contractually agreed to permanently waive all or a portion of the management fee of the DFA International Value Portfolio to the extent necessary to limit the total management fees paid to the Advisor by the Portfolio, including the proportionate share of the management fees the Portfolio pays indirectly through its investment in other funds managed by the Advisor, to 0.40% of the average net assets of a class of the Portfolio on an annualized basis (the “Permanent Fee Waiver”). In addition to the Permanent Fee Waiver, the Advisor has contractually agreed (including for the time period prior to July 21, 2015) to assume the direct expenses of Class R2 shares of the Portfolio (excluding management fees and custodian fees), to the extent necessary to limit the annualized expenses of Class R2 shares of the Portfolio (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) to the rate listed above (the “Annualized Expense Ratio”). At any time that the annualized expenses of Class R2 shares of the Portfolio are less than the Annualized Expense Ratio identified above, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that the amount of such recovery does not cause the annualized expense ratio of Class R2 shares of the Portfolio to exceed the Annualized Expense Ratio identified above. Except, the Portfolio is not obligated to reimburse the Advisor for fees waived in connection with the Permanent Fee Waiver. (2) Effective August 1, 2013, the Advisor has contractually agreed to waive all or a portion of its management fee to the extent necessary to reduce the ordinary operating expenses (excluding expenses incurred through investment in other investment companies) (“Portfolio Expenses”) of the U.S. Large Company Portfolio so that the Portfolio Expenses, on an annualized basis, do not exceed the rate listed above as a percentage of the Portfolio’s average net assets (the “Annualized Expense Ratio”). At any time that the annualized Portfolio Expenses of the Portfolio are less than the Annualized Expense Ratio identified above, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that the amount of such recovery will not cause the annualized Portfolio Expenses of the Portfolio to exceed the applicable Annualized Expense Ratio identified above. Prior to August 1, 2013, the Advisor contractually agreed to waive all or a portion of its administration fee to the extent necessary to reduce the Portfolio Expenses of the Portfolio so that such Portfolio Expenses did not exceed 0.10% of the Portfolio’s average net assets on an annualized basis (the “Previous Expense Limitation Amount”). At any time that the Portfolio Expenses of the Portfolio were less than the Previous Expense Limitation Amount, the Advisor retained the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery is within thirty-six months and did not cause the Portfolio’s annualized Portfolio Expenses to exceed the Previous Expense Limitation Amount. 245 Fees Paid to Officers and Directors/Trustees: Certain Officers and Directors of the Advisor are also Officers and Directors of the Fund; however, such Officers and Directors (with the exception of the Chief Compliance Officer (“CCO”)) receive no compensation from the Fund. For the year ended October 31, 2016, the total related amounts paid by the Fund to the CCO were $31 (in thousands). The total related amounts paid by each Portfolio are included in Other Expenses on the Statement of Operations. D. Deferred Compensation: At October 31, 2016, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follows (amounts in thousands): DFA International Value Portfolio ...............................................$234 U.S. Large Company Portfolio ................................................. 284 E. Purchases and Sales of Securities: For the year ended October 31, 2016, U.S. Large Company Portfolio transactions related to investment securities, other than short-term securities and U.S. government securities (amounts in thousands): Purchases Sales U.S. Large Company Portfolio ..................................$1,011,088 $539,508 There were no purchases or sales of long-term U.S. government securities. F. Federal Income Taxes: Each Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to its shareholders. Accordingly, no provision has been made for federal income taxes. Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income, accumulated net realized gains or losses, or unrealized appreciation, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2016, primarily attributable to net foreign currency gains/losses, foreign capital gains tax reclass and realized gains on securities considered to be “passive foreign investment companies”, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands): Increase (Decrease) Paid-In Capital Increase (Decrease) Undistributed Net Investment Income Increase (Decrease) Accumulated Net Realized Gains (Losses) DFA International Value Portfolio ......................$(303,109) $7,584 $295,525 U.S. Large Company Portfolio ........................5,155 2,682 (7,837) 246 The tax character of dividends and distributions declared and paid during the years ended October 31, 2015 and October 31, 2016 were as follows (amounts in thousands): Net Investment Income and Short-Term Capital Gains Long-Term Capital Gains Total DFA International Value Portfolio 2015 .................................................$211,038 — $211,038 2016 .................................................224,802 — 224,802 U.S. Large Company Portfolio 2015 .................................................110,940 — 110,940 2016 .................................................125,202 $47,852 173,054 At October 31, 2016, the following net investment income and short-term capital gains and long-term capital gains distributions designated for federal income tax purposes are due to the utilization of accumulated earnings and profits distributed to shareholders upon redemption of shares (amounts in thousands): Net Investment Income and Short-Term Capital Gains Long-Term Capital Gains Total U.S. Large Company Portfolio .............................$(3,737) $(1,254) $(4,991) At October 31, 2016, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands): Undistributed Net Investment Income and Short-Term Capital Gains Undistributed Long-Term Capital Gains Capital Loss Carryforwards Unrealized Appreciation (Depreciation) Total Net Distributable Earnings (Accumulated Losses) DFA International Value Portfolio ......$48,835 — $(176,437) $ (68,856) $ (196,458) U.S. Large Company Portfolio ........20,036 $38,777 — 2,855,003 2,913,816 For federal income tax purposes, the Fund measures its capital loss carryforwards annually at October 31, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by these Portfolios after October 31, 2011 will not be subject to expiration and will retain their character as either short-term or long-term capital losses. In addition, such losses must be utilized prior to the losses incurred in the years preceding enactment. As of October 31, 2016, the Portfolios had the following capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands): Unlimited Total DFA International Value Portfolio .......................................................................$176,437 $176,437 U.S. Large Company Portfolio ......................................................................... — — At October 31, 2016, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands): Federal Tax Cost Unrealized Appreciation Unrealized Depreciation Net Unrealized Appreciation (Depreciation) DFA International Value Portfolio .....................$7,313,697 — $(37,805) $ (37,805) U.S. Large Company Portfolio ....................... 3,844,135 $2,933,931 (81,375) 2,852,556 247 The difference between book-basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales and investments in passive foreign investment companies. Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed the Portfolios’ tax positions and has concluded that no additional provision for income tax is required in the Portfolios’ financial statements. The Portfolios are not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Portfolios’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. G. Capital Share Transactions: The capital share transactions by class were as follows (amounts in thousands): Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Amount Shares Amount Shares DFA International Value Portfolio Class R2 Shares Shares Issued ...................................... $2,205 144 $ 3,876 214 Shares Issued in Lieu of Cash Distributions .............. 336 22 293 16 Shares Redeemed ...................................(8,814) (578) (4,082) (221) Net Increase (Decrease) — Class R2 Shares ............... $(6,273) (412) $ 87 9 Institutional Class Shares Shares Issued ...................................... $2,440,510 157,859 $ 1,873,843 105,425 Shares Issued in Lieu of Cash Distributions ..............217,841 14,305 204,246 11,301 Shares Redeemed ...................................(2,010,235) (127,726) (1,694,664) (93,619) Net Increase (Decrease) — Institutional Class Shares........ $648,116 44,438 $ 383,425 23,107 H. Financial Instruments: In accordance with the Portfolio’s investment objectives and policies, the Portfolios may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Portfolios. 1.Futures Contracts:The Portfolios may purchase or sell futures contracts and options on futures contracts for equity securities and indices to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolios. The Portfolios, however, do not intend to sell futures contracts to establish short positions in individual securities. Upon entering into a futures contract, the Portfolios deposit cash or pledge U.S. government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Portfolios as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolios record a realized gain or loss, which is presented in the Statements of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. 248 Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities or indices, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Needs Registrant Attribute could lose more than the initial margin requirements. The Portfolios entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. At October 31, 2016, the U.S. Large Company Portfolio had the following outstanding futures contracts (dollar amounts in thousands): Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral U.S. Large Company Portfolio . . S&P 500 Emini Index ®12/16/16 139 $14,735 $(98) $563 The average volume (based on the open positions at each fiscal month-end) of derivative activity for the year ended October 31, 2016 (amounts in thousands): Futures U.S. Large Company Portfolio ............................................... $24,212 The following is a summary of the location of derivatives on the U.S. Large Company Portfolio’s Statements of Assets and Liabilities as of October 31, 2016: Location on the Statements of Assets and Liabilities Derivative Type Liability Derivatives Equity contracts Payables: Futures Margin Variation The following is a summary of the U.S. Large Company Portfolio’s derivative instrument holdings categorized by primary risk exposure as of October 31, 2016 (amounts in thousands): Liability Derivatives Value Total Value at October 31, 2016 Equity Contracts* U.S. Large Company Portfolio ....................................... $(98) $(98) * Includes cumulative appreciation (depreciation) of futures contracts. Only current day’s margin variation is reported within the Statements of Assets and Liabilities. The following is a summary of the location of realized and change in unrealized gains and losses on the U.S. Large Company Portfolio’s Statement of Operations for the Portfolio’s derivative instrument holdings for the year ended October 31, 2016: Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income Equity contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures 249 The following is a summary of the realized and change in unrealized gains and losses from the U.S. Large Company Portfolio’s direct investment in derivative instrument holdings categorized by primary risk exposure through the year ended October 31, 2016 (amounts in thousands): Realized Gain (Loss) on Derivatives Total Equity Contracts U.S. Large Company Portfolio .................................$(5,349) $(5,349) Change in Unrealized Appreciation (Depreciation) on Derivatives Total Equity Contracts U.S. Large Company Portfolio ................................. $(356) $ (356) I. Line of Credit and Interfund Lending Program: The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million uncommitted, unsecured discretionary line of credit effective March 30, 2016, with its domestic custodian bank. A line of credit with similar terms was in effect through March 29, 2016. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on March 29, 2017. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit with its international custodian bank effective January 8, 2016. A line of credit with similar terms was in effect through January 7, 2016. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The line of credit agreement expires on January 7, 2017. For the year ended October 31, 2016, borrowings by the Portfolios under the lines of credit were as follows (amounts in thousands, except percentages and days): Weighted Average Interest Rate Weighted Average Loan Balance Number of Days Outstanding* Interest Expense Incurred Maximum Amount Borrowed During The Period U.S. Large Company Portfolio ............1.08% $30,853 37 $35 $162,576 * Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2016, that the Portfolio’s available line of credit was utilized. There were no outstanding borrowings by the Portfolios under the lines of credit as of October 31, 2016. Pursuant to an exemptive order issued by the SEC (the “Order”), the U.S. Large Company Portfolio may participate in an interfund lending program among certain portfolios managed by the Advisor (portfolios that operate as feeder funds do not participate in the program). The program allows the participating portfolios to borrow money from and loan money to each other for temporary or emergency purposes, subject to the conditions in the Order. A loan can only be made through the program if the interfund loan rate on that day is more favorable to both the borrowing and lending portfolios as compared to rates available through short-term bank loans or investments in overnight repurchase agreements and money market funds, respectively, as detailed in the Order. Further, a portfolio may participate in the program only if and to the extent that such participation is consistent with 250 its investment objectives and limitations. Interfund loans have a maximum duration of seven days and may be called on one business day’s notice. The U.S. Large Company Portfolio did not utilize the interfund lending program during the year ended October 31, 2016. J. Securities Lending: As of October 31, 2016, U.S. Large Company Portfolio had securities on loan to brokers/dealers, for which the Portfolio received cash collateral. The non-cash collateral includes short-and/or long-term U.S. Treasuries and U.S. Government Agency Securities with a market value of $153,436 (amount in thousands). The Portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral in an amount (i) equal to at least 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) generally equal to 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) generally equal to 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Portfolio’s collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Portfolio or, at the option of the lending agent, to replace the securities. In the event of the bankruptcy of the borrower, the Portfolio could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value. Subject to its stated investment policies, the Portfolio will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the “Money Market Series”), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. The Portfolio also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage- backed securities. In addition, the Portfolio will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of October 31, 2016: Remaining Contractual Maturity of the Agreements As of October 31, 2016 Overnight and Continuous <30 days Between 30 & 90 days >90 days Total Securities Lending Transactions U.S. Large Company Portfolio Common Stocks ........................ $336,121,883 — — — $336,121,883 K. Shareholder Servicing Fees: The Class R2 Shares pay a shareholder servicing fee in an amount up to 0.25% of their annual average net assets to compensate service agents that provide shareholder servicing, record keeping, account maintenance and other services to investors in the DFA International Value Portfolio’s Class R2 Shares. 251 L. Indemnitees; Contractual Obligations: Under the Fund’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. M. Other: At October 31, 2016, the following number of shareholders held the following approximate percentages of the Portfolios’ outstanding shares. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors. Number of Shareholders Approximate Percentage of Outstanding Shares DFA International Value Portfolio-Class R2 Shares .............. 4 95% DFA International Value Portfolio-Institutional Class Shares ....... 4 73% U.S. Large Company Portfolio ............................... 4 76% N. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolios through the date that the financial statements were issued and has determined that there are no other subsequent events requiring recognition or disclosure in the financial statements. 252 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Directors of Dimensional Investment Group Inc. and Shareholders of the Portfolios, as defined: In our opinion, the accompanying statements of assets and liabilities, including the schedule of investments/ summary schedule of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of DFA International Value Portfolio and U.S. Large Company Portfolio (constituting portfolios within Dimensional Investment Group Inc., hereafter referred to as the “Portfolios”) as of October 31, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of October 31, 2016 by correspondence with the custodian, broker and the transfer agents of the investee funds, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 20, 2016 253 NOTIFICATION OF SOURCE OF DISTRIBUTIONS PURSUANT TO RULE 19A-1 UNDER THE INVESTMENT COMPANY ACT OF 1940 (Unaudited) As noted in the table provided below, the following Portfolios paid distributions to shareholders of record that included amounts from net investment income and return of capital. Please note that this information is being provided to satisfy certain notice requirements under the Investment Company Act of 1940 and is not being provided for tax reporting purposes. Each Portfolio will send (or has sent) shareholders a Form 1099-DIV (or a financial intermediary should provide (or has provided) shareholders with similar information) for the relevant calendar year informing shareholders how to report these distributions for federal income tax purposes. Portfolio Name % Breakdown of Distribution Sources Net Investment Income Net Realized Capital Gains: Short-Term Net Realized Capital Gains: Long-Term Return of Capital DFA International Value Portfolio December 16, 2015 ............................... 80% 0% 0% 20% June 29, 2016 .................................... 97% 0% 0% 3% U.S. Large Company Portfolio December 15, 2015 ............................... 86% 0% 0% 14% March 30, 2016 ................................... 87% 0% 0% 13% June 29, 2016 .................................... 84% 0% 0% 16% Each Portfolio estimates that it has distributed more than the amount of net investment income and net realized capital gains; therefore, a portion of the distributions may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Portfolio is returned to the shareholder. A return of capital does not necessarily reflect a Portfolio’s investment performance and should not be confused with yield or income. When distributions exceed total return performance, the difference will reduce a Portfolio’s net asset value per share. 254 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (Unaudited) The U.S. Large Cap Value Series vs. Russell 1000 Value Index October 31, 2006-October 31, 2016 Growth of $10,000 $16,838 $18,027 $0 $10,000 $20,000 $30,000 10/06 20082007 2010 20112009 2012 2013 2014 2015 10/16 The U.S. Large Cap Value Series Russell 1000 Value Index Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Russell data copyright ©Russell Investment Group 1995-2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 4.75% 14.53% 6.07% The DFA International Value Series vs. MSCI World ex USA Index (net dividends) October 31, 2006-October 31, 2016 Growth of $10,000 $11,360 $10,855 $0 $10,000 $20,000 10/06 2007 2008 2009 2010 2011 2012 2013 2014 2015 10/16 The DFA International Value Series MSCI World ex USA Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years -0.10% 4.42% 0.82% 255 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (Unaudited) The Japanese Small Company Series vs. MSCI Japan Small Cap Index (net dividends) October 31, 2006-October 31, 2016 Growth of $10,000 $14,068 $16,414 $0 $10,000 $20,000 10/06 10/162007 2008 2009 2010 2011 2012 2013 2014 2015 The Japanese Small Company Series MSCI Japan Small Cap Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 14.53% 10.94% 5.08% The Asia Pacific Small Company Series vs. MSCI Pacific ex Japan Small Cap Index (net dividends) October 31, 2006-October 31, 2016 Growth of $10,000 $11,751 $17,594 $0 $10,000 $20,000 $30,000 10/06 2013 2014 2015 10/162007 2008 2009 2010 2011 2012 The Asia Pacific Small Company Series MSCI Pacific ex Japan Small Cap Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 16.69%3.45% 5.81% 256 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (Unaudited) The United Kingdom Small Company Series vs. MSCI UK Small Cap Index (net dividends) October 31, 2006-October 31, 2016 Growth of $10,000 $14,001 $15,422 $0 $10,000 $20,000 $30,000 10/06 10/16201520142007 2008 2009 2010 2011 2012 2013 The United Kingdom Small Company Series MSCI UK Small Cap Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years -15.82% 9.70% 4.43% The Continental Small Company Series vs. MSCI Europe ex UK Small Cap Index (net dividends) October 31, 2006-October 31, 2016 Growth of $10,000 $15,097 $15,672 $0 $10,000 $30,000 $20,000 10/06 10/1620152007 20092008 2010 2011 2012 2013 2014 The Continental Small Company Series MSCI Europe ex UK Small Cap Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 6.10% 10.85% 4.60% 257 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (Unaudited) The Canadian Small Company Series vs. MSCI Canada Small Cap Index (net dividends) April 2, 2007-October 31, 2016 Growth of $10,000 $10,000 $10,048 $0 $10,000 $20,000 04/07 2013 2014 2015 10/16200920082007 2010 2011 2012 The Canadian Small Company Series MSCI Canada Small Cap Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Since Inception 20.77% -2.14% 0.00% The Emerging Markets Series vs. MSCI Emerging Markets Index (net dividends) October 31, 2006-October 31, 2016 Growth of $10,000 $14,091 $15,551 $0 $10,000 $30,000 $20,000 10/06 10/162007 2008 2009 2010 2011 2012 2013 2014 2015 The Emerging Markets Series MSCI Emerging Markets Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 11.44% 1.55% 4.51% 258 THE DFA INVESTMENT TRUST COMPANY PERFORMANCE CHARTS (Unaudited) The Emerging Markets Small Cap Series vs. MSCI Emerging Markets Index (net dividends) October 31, 2006-October 31, 2016 Growth of $10,000 $14,091 $20,287 $0 $10,000 $30,000 $20,000 10/06 10/162007 2008 2009 2010 2011 2012 2013 2014 2015 The Emerging Markets Small Cap Series MSCI Emerging Markets Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 14.45% 5.12% 7.33% 259 THE DFA INVESTMENT TRUST COMPANY MANAGEMENT’S DISCUSSION AND ANALYSIS (Unaudited) U.S. Equity Market Review 12 Months Ended October 31, 2016 Most U.S. equities had positive returns during the period. The broad U.S. equity market, as measured by the Russell 3000 ®Index, gained approximately 4.2%. Large-cap stocks outperformed small-cap stocks as measured by the Russell indices. Total Return for 12 Months Ended October 31, 2016 Russell 3000 ®Index .......................................................................4.24% Russell Microcap ®Index (micro-cap stocks)....................................................1.54% Russell 2000 ®Index (small-cap stocks).......................................................4.11% Russell 1000 ®Index (large-cap stocks)........................................................4.26% Dow Jones U.S. Select REIT Index SM .........................................................4.96% Value stocks outperformed growth stocks as measured by the Russell indices. Total Return for 12 Months Ended October 31, 2016 Russell 2000 ®Value Index (small-cap value stocks)............................................8.81% Russell 2000 ®Growth Index (small-cap growth stocks)..........................................-0.49% Russell 1000 ®Value Index (large-cap value stocks).............................................6.37% Russell 1000 ®Growth Index (large-cap growth stocks)..........................................2.28% Source: Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. Domestic Equity Series’ Performance Overview The U.S. Large Cap Value Series The U.S. Large Cap Value Series is designed to capture the returns of U.S. large company value stocks. Value is measured primarily by book-to-market ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Series held approximately 300 securities. In general, average cash exposure throughout the year was less than 1% of the Series’ assets. For the 12 months ended October 31, 2016, total returns were 4.75% for the Series and 6.37% for the Russell 1000®Value Index, the Series’ benchmark. As a result of the Series’ diversified investment approach, performance was determined principally by broad trends in the U.S. equity market rather than the behavior of a limited number of stocks. The Series had a larger allocation than the benchmark to lower relative price stocks, which detracted from the Series’ performance relative to the benchmark as the lowest relative price quartile underperformed. The Series’ exclusion of real estate investment trusts (REITs) and utilities detracted from relative performance as REITs and utilities outperformed most other sectors during the period. International Equity Market Review 12 Months Ended October 31, 2016 Performance of non-U.S. developed markets was varied for the period. Small-cap stocks had positive returns, while large-cap stocks had negative returns. As measured by the MSCI World ex USA indices, small-cap stocks outperformed large-cap stocks, and value stocks outperformed growth stocks. 260 12 Months Ended October 31, 2016 Return in U.S. Dollars MSCI World ex USA Index ........................................................-2.27% MSCI World ex USA Small Cap Index ...............................................3.96% MSCI World ex USA Value Index ..................................................-2.07% MSCI World ex USA Growth Index .................................................-2.58% During the period, the performance of the U.S. dollar was mixed when compared against the currencies of other developed markets. In particular, while the U.S. dollar appreciated significantly against the British pound, it depreciated significantly against the Japanese yen. Overall, currency fluctuations detracted from USD- denominated returns in developed markets. 12 Months Ended October 31, 2016 Ten Largest Foreign Developed Markets by Market Cap Local Return Return in U.S. Dollar Japan ..............................................................-10.14% 3.19% United Kingdom ......................................................13.55% -10.24% France .............................................................-4.31% -5.04% Switzerland ..........................................................-8.27% -8.57% Canada .............................................................11.55% 8.90% Germany ............................................................-2.14% -2.89% Australia ............................................................5.52% 12.55% Hong Kong ..........................................................8.52% 8.45% Spain ...............................................................-8.40% -9.10% Netherlands .........................................................0.63% -0.20% Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2016, all rights reserved. Emerging markets had stronger performance over the period than non-U.S. developed markets. As measured by the MSCI emerging markets indices, small-cap stocks underperformed large-cap stocks, and growth stocks outperformed value stocks. 12 Months Ended October 31, 2016 Return in U.S. Dollar MSCI Emerging Markets Index .....................................................9.27% MSCI Emerging Markets Small Cap Index ............................................4.78% MSCI Emerging Markets Value Index ................................................8.60% MSCI Emerging Markets Growth Index ..............................................9.81% During the period, the performance of the U.S. dollar was mixed when compared against the currencies of emerging markets. In particular, while the U.S. dollar appreciated significantly against the Mexican peso, it also depreciated significantly against the Brazilian real. Overall, currency fluctuations benefitted from USD-denominated returns in emerging markets. 261 12 Months Ended October 31, 2016 Ten Largest Emerging Markets by Market Cap Local Return Return in U.S. Dollar China ..............................................................1.62% 1.54% Korea ..............................................................5.56% 5.17% Taiwan .............................................................14.56% 17.85% India ...............................................................6.28% 3.99% South Africa .........................................................-0.92% 1.46% Brazil ...............................................................40.59% 70.69% Mexico .............................................................8.65% -4.51% Russia ..............................................................17.86% 18.61% Malaysia ............................................................4.44% 6.95% Indonesia ...........................................................26.13% 32.31% Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2016, all rights reserved. For funds investing in non-US equities traded outside of the U.S. market time zone, differences in the valuation timing and methodology between a fund and its benchmark index may impact relative performance over the referenced period. The funds price foreign exchange rates at the closing of the U.S. market while their benchmark indices use rates at 4 pm London time. The funds also may use fair value pricing to price certain portfolio securities at the closing of the U.S. market, while benchmark indices may use local market closing prices. For the one-year period ended October 31, 2016, these differences generally benefitted the funds’ relative performance. International Equity Series’ Performance Overview The DFA International Value Series The DFA International Value Series is designed to capture the returns of developed ex U.S. large company value stocks. Value is measured primarily by price-to-book ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Series held approximately 500 securities in 22 eligible developed markets. In general, average cash exposure throughout the year was less than 1% of the Series’ assets. For the 12 months ended October 31, 2016, total returns were -0.10% for the Series and -2.27% for the MSCI World ex USA Index (net dividends), the Series’ benchmark. As a result of the Series’ diversified investment approach, performance was determined principally by broad trends in developed ex U.S. equity markets rather than by the behavior of a limited number of stocks. The Series invests primarily in value stocks, while the benchmark is neutral with regard to value or growth stocks. The Series’ emphasis on deep value stocks contributed positively to its performance relative to the benchmark, as that segment of the market outperformed for the year. The Series’ emphasis on mid-cap stocks also contributed positively to relative performance, as those stocks outperformed for the period. The Japanese Small Company Series The Japanese Small Company Series is designed to capture the returns of Japanese small company stocks. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Series held approximately 1,500 securities. In general, cash exposure was low throughout the year with an average cash balance of less than 1% of the Series’ assets. For the 12 months ended October 31, 2016, total returns were 14.53% for the Series and 13.21% for the MSCI Japan Small Cap Index (net dividends), the Series’ benchmark. As a result of the Series’ diversified investment approach, performance was determined principally by broad trends in the Japanese equity market rather than by the behavior of a limited number of stocks. The Series’ greater allocation than the benchmark to micro-cap securities had a positive impact on its performance relative to the benchmark, as micro-caps generally outperformed other small-cap securities. The Series’ outperformance was partially offset by the exclusion of real estate investment trusts (REITs), which outperformed the benchmark. 262 The Asia Pacific Small Company Series The Asia Pacific Small Company Series is designed to capture the returns of small company stocks in Australia, Hong Kong, New Zealand, and Singapore. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Series held approximately 850 securities across the eligible countries. Country allocations generally reflect the approximate weights of individual securities within a universe of these countries’ stocks constructed by the Advisor. In general, average cash exposure throughout the year was less than 1% of the Series’ assets. For the 12 months ended October 31, 2016, total returns were 16.69% for the Series and 10.56% for the MSCI Pacific ex Japan Small Cap Index (net dividends), the Series’ benchmark. As a result of the Series’ diversified investment approach, performance was determined principally by broad trends in Asia Pacific equity markets rather than by the behavior of a limited number of stocks. The Series’ exclusion of small and micro-cap stocks with high relative price (growth) and low profitability contributed to outperformance relative to the benchmark, as that segment of the market underperformed. The Series’ holdings of micro-cap securities, which were held at a higher weight than in the benchmark, outperformed, and also contributed positively to the Series’ relative performance. In addition, due to differences in methodology, the Series may invest in or hold securities that the benchmark deems to be too large to be eligible for inclusion; during the period, these securities also outperformed, contributing to the Series’ relative performance. The United Kingdom Small Company Series The United Kingdom Small Company Series is designed to capture the returns of small company stocks in the U.K. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Series held approximately 320 securities. In general, average cash exposure throughout the year was less than 1% of the Series’ assets. For the 12 months ended October 31, 2016, total returns were -15.82% for the Series and -15.89% for the MSCI UK Small Cap Index (net dividends), the Series’ benchmark. As a result of the Series’ diversified investment approach, performance was determined principally by broad trends in the U.K. equity market rather than by the behavior of a limited number of stocks. The Series’ overall performance was adversely affected by the British vote on June 23, 2016 to exit the European Union. The Series’ investments are denominated primarily in British pounds, which depreciated approximately 16% from the aftermath of the vote through October 31, 2016. The Series generally excludes real estate investment trusts (REITs), which contributed positively to its performance relative to the benchmark, as REITs in the U.K. underperformed all other sectors during the period. This was offset by differences between the Series’ and the benchmark’s holdings in the consumer discretionary sector, as the benchmark’s holdings in this sector outperformed those of the Series. The Continental Small Company Series The Continental Small Company Series is designed to capture the returns of small company stocks in the developed markets of Europe (excluding the U.K.) and Israel by purchasing shares in such securities. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Series held approximately 1,160 securities in 14 eligible developed European countries plus Israel. In general, average cash exposure throughout the year was less than 1% of the Series’ assets. For the 12 months ended October 31, 2016, total returns were 6.10% for the Series and 2.61% for the MSCI Europe ex UK Small Cap Index (net dividends), the Series’ benchmark. As a result of the Series’ diversified investment approach, performance was determined principally by broad trends in European (excluding the U.K.) and Israeli equity markets rather than by the behavior of a limited number of stocks. The Series’ holdings of microcap securities, held at a higher weight than the benchmark, outperformed and contributed to its performance relative to the benchmark. In addition, due to differences in methodology, the Series may invest in or hold securities that the benchmark deems to be too large to be eligible for inclusion. During the period, the Series’ holdings of these securities outperformed and contributed positively to the Series’ relative performance. The Series generally excludes real estate investment trusts (REITs), which also contributed positively to relative outperformance, as REITs underperformed the benchmark. 263 The Canadian Small Company Series The Canadian Small Company Series is designed to capture the returns of small company stocks in Canada. The investment strategy is process-driven, emphasizing broad diversification. As of October 31, 2016, the Series held approximately 340 securities. In general, average cash exposure throughout the year was less than 1% of the Series’ assets. For the 12 months ended October 31, 2016, total returns were 20.77% for the Series and 15.06% for the MSCI Canada Small Cap Index (net dividends), the Series’ benchmark. As a result of the Series’ diversified investment approach, performance was determined principally by broad trends in the Canadian equity market rather than by the behavior of a limited number of stocks. The Series’ greater allocation than the benchmark to small and micro- cap securities was the primary driver of outperformance, as those securities generally outperformed. The Series generally excludes real estate investment trusts (REITs), which contributed positively to relative performance, as REITs underperformed the benchmark. The Emerging Markets Series The Emerging Markets Series is designed to capture the returns of large-cap stocks in selected emerging markets countries. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Series held approximately 1,000 securities across 21 eligible emerging markets. In general, average cash exposure throughout the year was less than 1% of the Series’ assets. For the 12 months ended October 31, 2016, total returns were 11.44% for the Series and 9.27% for the MSCI Emerging Markets Index (net dividends), the Series’ benchmark. As a result of the Series’ diversified approach, performance was generally determined by broad trends in emerging markets rather than by the behavior of a limited number of stocks. The relative outperformance of the Series was driven primarily by country allocation differences between the Series and the benchmark. The Series’ lesser allocation to China contributed positively to its performance relative to the benchmark, as China underperformed the benchmark during the period. The Series’ greater allocation to Brazil (due to caps on larger countries such as China) also had a positive impact on relative performance, as Brazil was the strongest-performing country for the year. In addition, the Series’ emphasis on value stocks contributed positively to relative performance, as that segment of the market outperformed for the year. The Emerging Markets Small Cap Series The Emerging Markets Small Cap Series is designed to capture the returns of small company stocks in selected emerging markets. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Series held approximately 3,600 securities across 17 eligible emerging markets. In general, average cash exposure throughout the year was less than 1% of the Series’ assets. For the 12 months ended October 31, 2016, total returns were 14.45% for the Series and 9.27% for the MSCI Emerging Markets Index (net dividends), the Series’ benchmark. As a result of the Series’ diversified approach, performance was principally determined by broad trends in emerging markets rather than by the behavior of a limited number of stocks. The outperformance of the Series relative to the benchmark was driven primarily by size allocation differences between the Series and the benchmark. The Series focuses on small-cap stocks while the benchmark primarily holds large-cap and mid-cap stocks. The small- and micro-cap holdings of the Series outperformed those of the benchmark. The Series’ lesser allocation to China also contributed positively to relative performance, as China underperformed the benchmark during the period. The Series’ greater allocation to Brazil also had a positive impact on relative performance, as Brazil was the strongest-performing country for the year. 264 THE DFA INVESTMENT TRUST COMPANY DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund’s costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return and “Expenses Paid During Period” reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.” Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund’s costs with those of other mutual funds. The hypothetical “Ending Account Value” and “Expenses Paid During Period” are derived from the fund’s actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The “Annualized Expense Ratio” represents the actual expenses for the six-month period indicated. Six Months Ended October 31, 2016 EXPENSE TABLES Beginning Account Value 05/01/16 Ending Account Value 10/31/16 Annualized Expense Ratio* Expenses Paid During Period* The U.S. Large Cap Value Series Actual Fund Return ............................$1,000.00 $1,047.00 0.11% $0.57 Hypothetical 5% Annual Return ..................$1,000.00 $1,024.58 0.11% $0.56 The DFA International Value Series Actual Fund Return ............................$1,000.00 $1,038.70 0.22% $1.13 Hypothetical 5% Annual Return ..................$1,000.00 $1,024.03 0.22% $1.12 265 DISCLOSURE OF FUND EXPENSES CONTINUED Beginning Account Value 05/01/16 Ending Account Value 10/31/16 Annualized Expense Ratio* Expenses Paid During Period* The Japanese Small Company Series Actual Fund Return .......................................$1,000.00 $1,136.10 0.13% $0.70 Hypothetical 5% Annual Return .............................$1,000.00 $1,024.48 0.13% $0.66 The Asia Pacific Small Company Series Actual Fund Return .......................................$1,000.00 $1,065.90 0.13% $0.68 Hypothetical 5% Annual Return .............................$1,000.00 $1,024.48 0.13% $0.66 The United Kingdom Small Company Series Actual Fund Return .......................................$1,000.00 $ 884.20 0.12% $0.57 Hypothetical 5% Annual Return .............................$1,000.00 $1,024.53 0.12% $0.61 The Continental Small Company Series Actual Fund Return .......................................$1,000.00 $1,017.80 0.13% $0.66 Hypothetical 5% Annual Return .............................$1,000.00 $1,024.48 0.13% $0.66 The Canadian Small Company Series Actual Fund Return .......................................$1,000.00 $1,004.00 0.12% $0.60 Hypothetical 5% Annual Return .............................$1,000.00 $1,024.53 0.12% $0.61 The Emerging Markets Series Actual Fund Return .......................................$1,000.00 $1,093.70 0.15% $0.79 Hypothetical 5% Annual Return .............................$1,000.00 $1,024.38 0.15% $0.76 The Emerging Markets Small Cap Series Actual Fund Return .......................................$1,000.00 $1,091.90 0.26% $1.37 Hypothetical 5% Annual Return .............................$1,000.00 $1,023.83 0.26% $1.32 * Expenses are equal to the fund’s annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (366) to reflect the six-month period. 266 THE DFA INVESTMENT TRUST COMPANY DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For The DFA Investment Trust Company, this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on September 29, 2016. They are available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). SEC regulations permit a fund to include in its reports to shareholders a “Summary Schedule of Portfolio Holdings” in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund’s 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund’s net assets at the end of the reporting period. The regulations also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. A fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS The U.S. Large Cap Value Series Consumer Discretionary ..........12.3% Consumer Staples ...............6.6% Energy ........................13.7% Financials ......................21.5% Health Care ....................11.0% Industrials ......................11.3% Information Technology ...........14.7% Materials .......................3.9% Telecommunication Services ......4.8% Utilities ........................0.2% 100.0% The DFA International Value Series Consumer Discretionary ..........12.8% Consumer Staples ...............2.6% Energy ........................16.2% Financials ......................29.7% Health Care ....................1.2% Industrials ......................10.7% Information Technology ...........3.2% Materials .......................14.6% Real Estate .....................2.3% Telecommunication Services ......4.3% Utilities ........................2.4% 100.0% The Japanese Small Company Series Consumer Discretionary ..........19.4% Consumer Staples ...............8.5% Energy ........................1.0% Financials ......................9.4% Health Care ....................4.4% Industrials ......................28.6% Information Technology ...........13.1% Materials .......................12.7% Real Estate .....................2.0% Telecommunication Services ......0.1% Utilities ........................0.8% 100.0% 267 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED The Asia Pacific Small Company Series Consumer Discretionary ..........25.4% Consumer Staples ...............5.9% Energy ........................2.8% Financials ......................10.1% Health Care ....................6.6% Industrials ......................16.0% Information Technology ...........6.1% Materials .......................14.5% Real Estate .....................6.2% Telecommunication Services ......3.1% Utilities ........................3.3% 100.0% The United Kingdom Small Company Series Consumer Discretionary ..........20.2% Consumer Staples ...............5.6% Energy ........................5.2% Financials ......................14.0% Health Care ....................3.9% Industrials ......................27.5% Information Technology ...........10.0% Materials .......................8.4% Real Estate .....................2.5% Telecommunication Services ......0.7% Utilities ........................2.0% 100.0% The Continental Small Company Series Consumer Discretionary ..........12.8% Consumer Staples ...............6.1% Energy ........................3.0% Financials ......................11.6% Health Care ....................9.2% Industrials ......................26.3% Information Technology ...........9.4% Materials .......................10.4% Real Estate .....................6.0% Telecommunication Services ......2.7% Utilities ........................2.5% 100.0% The Canadian Small Company Series Consumer Discretionary ..........9.5% Consumer Staples ...............4.4% Energy ........................23.6% Financials ......................6.0% Health Care ....................1.6% Industrials ......................12.6% Information Technology ...........3.9% Materials .......................29.1% Real Estate .....................2.0% Telecommunication Services ......0.5% Utilities ........................6.8% 100.0% The Emerging Markets Series Consumer Discretionary ..........9.9% Consumer Staples ...............9.2% Energy ........................7.7% Financials ......................24.1% Health Care ....................2.8% Industrials ......................7.2% Information Technology ...........20.1% Materials .......................8.3% Real Estate .....................1.9% Telecommunication Services ......5.6% Utilities ........................3.2% 100.0% The Emerging Markets Small Cap Series Consumer Discretionary ..........17.3% Consumer Staples ...............8.1% Energy ........................1.7% Financials ......................9.0% Health Care ....................6.4% Industrials ......................14.6% Information Technology ...........14.8% Materials .......................13.7% Real Estate .....................7.7% Telecommunication Services ......1.0% Utilities ........................5.7% 100.0% 268 THE U.S. LARGE CAP VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value† Percentage of Net Assets** COMMON STOCKS — (95.3%) Consumer Discretionary — (11.7%) #* Charter Communications, Inc. Class A .......................910,208 $ 227,451,877 1.1% Comcast Corp. Class A ...................................10,885,890 672,965,720 3.2% Ford Motor Co...........................................14,753,200 173,202,568 0.8% General Motors Co.......................................5,641,400 178,268,240 0.9% Time Warner, Inc.........................................3,800,376 338,195,460 1.6% Other Securities .........................................954,615,599 4.6% Total Consumer Discretionary ..................................2,544,699,464 12.2% Consumer Staples — (6.3%) CVS Health Corp.........................................3,989,908 335,551,263 1.6% Mondelez International, Inc. Class A ........................3,933,821 176,785,916 0.9% # Tyson Foods, Inc. Class A .................................1,957,913 138,718,136 0.7% Wal-Mart Stores, Inc......................................1,998,751 139,952,545 0.7% Other Securities .........................................574,239,450 2.6% Total Consumer Staples .......................................1,365,247,310 6.5% Energy — (13.1%) Chevron Corp...........................................3,924,607 411,102,583 2.0% ConocoPhillips ..........................................3,210,456 139,494,313 0.7% EOG Resources, Inc......................................1,485,821 134,347,935 0.6% Exxon Mobil Corp........................................9,096,178 757,893,551 3.6% Occidental Petroleum Corp................................1,857,300 135,415,743 0.6% Phillips 66 ..............................................2,096,097 170,098,272 0.8% Valero Energy Corp.......................................2,806,975 166,285,199 0.8% Other Securities .........................................932,855,101 4.5% Total Energy .................................................2,847,492,697 13.6% Financials — (20.5%) American International Group, Inc...........................2,735,967 168,809,164 0.8% Bank of America Corp.....................................15,552,325 256,613,362 1.2% Bank of New York Mellon Corp. (The).......................3,379,657 146,237,758 0.7% Capital One Financial Corp................................2,036,842 150,807,782 0.7% Citigroup, Inc............................................8,251,489 405,560,684 1.9% Goldman Sachs Group, Inc. (The)..........................980,999 174,853,262 0.8% JPMorgan Chase & Co....................................11,452,239 793,182,073 3.8% Morgan Stanley ..........................................3,534,479 118,652,460 0.6% PNC Financial Services Group, Inc. (The)....................1,303,329 124,598,252 0.6% Travelers Cos., Inc. (The).................................1,119,453 121,102,426 0.6% Wells Fargo & Co........................................6,090,495 280,223,675 1.3% Other Securities .........................................1,721,446,165 8.3% Total Financials ..............................................4,462,087,063 21.3% Health Care — (10.5%) Aetna, Inc...............................................1,802,581 193,507,070 0.9% Anthem, Inc.............................................1,445,532 176,152,529 0.9% * Express Scripts Holding Co................................2,738,677 184,586,830 0.9% Humana, Inc.............................................707,042 121,278,914 0.6% Medtronic P.L.C..........................................3,541,179 290,447,502 1.4% Pfizer, Inc...............................................16,340,523 518,157,984 2.5% Thermo Fisher Scientific, Inc...............................1,023,977 150,555,338 0.7% Other Securities .........................................644,260,598 3.0% Total Health Care ............................................2,278,946,765 10.9% 269 THE U.S. LARGE CAP VALUE SERIES CONTINUED Shares Value† Percentage of Net Assets** Industrials — (10.8%) # Caterpillar, Inc..........................................1,458,164 $ 121,698,367 0.6% CSX Corp..............................................5,234,843 159,715,060 0.8% FedEx Corp............................................853,987 148,867,014 0.7% General Electric Co......................................7,508,293 218,491,326 1.0% Norfolk Southern Corp...................................1,569,304 145,945,272 0.7% Southwest Airlines Co...................................3,733,160 149,513,058 0.7% Stanley Black & Decker, Inc...............................1,095,910 124,758,394 0.6% Union Pacific Corp......................................2,259,039 199,202,059 1.0% Other Securities ........................................1,077,855,471 5.1% Total Industrials .............................................2,346,046,021 11.2% Information Technology — (14.0%) Cisco Systems, Inc......................................21,342,703 654,794,128 3.1% Hewlett Packard Enterprise Co............................9,162,273 205,876,274 1.0% HP, Inc................................................9,619,949 139,393,061 0.7% Intel Corp..............................................20,115,235 701,418,244 3.4% # NVIDIA Corp...........................................1,824,559 129,835,618 0.6% QUALCOMM, Inc.......................................2,685,866 184,572,712 0.9% Other Securities ........................................1,024,025,488 4.8% Total Information Technology .................................3,039,915,525 14.5% Materials — (3.7%) Newmont Mining Corp...................................3,239,227 119,980,968 0.6% Other Securities ........................................691,529,819 3.3% Total Materials ..............................................811,510,787 3.9% Real Estate — (0.0%) Other Securities ........................................500,715 0.0% Telecommunication Services — (4.5%) AT&T, Inc..............................................21,002,992 772,700,076 3.7% Other Securities ........................................221,455,332 1.1% Total Telecommunication Services .............................994,155,408 4.8% Utilities — (0.2%) Other Securities ........................................38,848,392 0.2% TOTAL COMMON STOCKS ..................................20,729,450,147 99.1% RIGHTS/WARRANTS — (0.0%) Other Securities ........................................208,566 0.0% TOTAL INVESTMENT SECURITIES ...........................20,729,658,713 TEMPORARY CASH INVESTMENTS — (0.9%) State Street Institutional U.S. Government Money Market Fund, 0.260%........................................200,994,368 200,994,368 1.0% SECURITIES LENDING COLLATERAL — (3.8%) §@ DFA Short Term Investment Fund .........................70,916,981 820,651,306 3.9% TOTAL INVESTMENTS — (100.0%) (Cost $16,161,108,715)....................................$21,751,304,387 104.0% 270 THE U.S. LARGE CAP VALUE SERIES CONTINUED Summary of the Series’ investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Consumer Discretionary .......................... $2,544,699,464 — — $ 2,544,699,464 Consumer Staples ...............................1,365,247,310 — — 1,365,247,310 Energy .........................................2,847,492,697 — — 2,847,492,697 Financials ......................................4,462,087,063 — — 4,462,087,063 Health Care ....................................2,278,946,765 — — 2,278,946,765 Industrials ......................................2,346,046,021 — — 2,346,046,021 Information Technology ...........................3,039,915,525 — — 3,039,915,525 Materials .......................................811,510,787 — — 811,510,787 Real Estate .....................................500,715 — — 500,715 Telecommunication Services ......................994,155,408 — — 994,155,408 Utilities .........................................38,848,392 — — 38,848,392 Rights/Warrants ................................... — $208,566 — 208,566 Temporary Cash Investments ........................200,994,368 — — 200,994,368 Securities Lending Collateral ........................ —820,651,306 — 820,651,306 Futures Contracts**................................(3,872,034) — — (3,872,034) TOTAL ..........................................$20,926,572,481 $820,859,872 — $21,747,432,353 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note G) See accompanying Notes to Financial Statements. 271 THE DFA INTERNATIONAL VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value†† Percentage of Net Assets** COMMON STOCKS — (95.4%) AUSTRALIA — (6.3%) # Australia & New Zealand Banking Group, Ltd..................5,260,554 $ 111,078,744 1.1% BHP Billiton, Ltd...........................................5,929,050 103,585,415 1.1% # BHP Billiton, Ltd. Sponsored ADR ...........................1,703,682 59,662,944 0.6% Newcrest Mining, Ltd.......................................3,033,954 53,122,828 0.5% Woodside Petroleum, Ltd...................................2,846,042 60,922,340 0.6% Other Securities ..........................................246,709,911 2.6% TOTAL AUSTRALIA ...........................................635,082,182 6.5% AUSTRIA — (0.1%) Other Securities ..........................................7,798,226 0.1% BELGIUM — (1.2%) Other Securities ..........................................121,053,616 1.2% CANADA — (7.6%) Bank of Montreal ..........................................1,645,325 104,642,670 1.1% Suncor Energy, Inc........................................3,911,426 117,374,872 1.2% Other Securities ..........................................542,711,216 5.6% TOTAL CANADA ..............................................764,728,758 7.9% DENMARK — (1.7%) Vestas Wind Systems A.S..................................680,712 54,535,811 0.6% Other Securities ..........................................120,813,571 1.2% TOTAL DENMARK ............................................175,349,382 1.8% FINLAND — (0.7%) Other Securities ..........................................75,225,974 0.8% FRANCE — (8.9%) BNP Paribas SA ..........................................1,521,254 88,207,260 0.9% Cie de Saint-Gobain .......................................1,719,658 76,358,268 0.8% # Engie SA ................................................4,083,126 58,885,688 0.6% # Orange SA ...............................................4,783,728 75,265,526 0.8% Renault SA ..............................................759,818 66,075,160 0.7% Societe Generale SA ......................................1,935,625 75,503,898 0.8% Total SA .................................................4,607,253 220,709,998 2.2% Other Securities ..........................................229,497,843 2.4% TOTAL FRANCE ..............................................890,503,641 9.2% GERMANY — (7.1%) Allianz SE ...............................................730,758 114,074,413 1.2% # Bayerische Motoren Werke AG ..............................972,382 84,835,907 0.9% Daimler AG ..............................................2,565,266 183,011,136 1.9% E.ON SE ................................................9,462,347 69,348,171 0.7% Other Securities ..........................................258,205,262 2.6% TOTAL GERMANY ............................................709,474,889 7.3% HONG KONG — (2.7%) CK Hutchison Holdings, Ltd.................................5,014,984 61,925,181 0.6% Sun Hung Kai Properties, Ltd................................2,980,920 44,389,245 0.5% Other Securities ..........................................163,115,200 1.7% TOTAL HONG KONG ..........................................269,429,626 2.8% 272 THE DFA INTERNATIONAL VALUE SERIES CONTINUED Shares Value†† Percentage of Net Assets** IRELAND — (0.3%) Other Securities ......................................... $27,555,506 0.3% ISRAEL — (0.4%) Other Securities .........................................37,197,840 0.4% ITALY — (0.9%) Other Securities .........................................89,098,627 0.9% JAPAN — (22.1%) Hitachi, Ltd.............................................10,841,000 57,792,205 0.6% Honda Motor Co., Ltd.....................................3,689,000 110,380,798 1.1% Mitsubishi UFJ Financial Group, Inc.........................13,919,406 71,821,469 0.7% Mizuho Financial Group, Inc...............................49,478,100 83,308,851 0.9% Nissan Motor Co., Ltd....................................6,443,700 65,548,427 0.7% Sumitomo Mitsui Financial Group, Inc.......................2,854,200 98,959,858 1.0% Other Securities .........................................1,732,718,474 17.8% TOTAL JAPAN ..............................................2,220,530,082 22.8% NETHERLANDS — (3.2%) ING Groep NV ..........................................6,261,830 82,199,110 0.8% Koninklijke DSM NV .....................................739,169 47,509,724 0.5% Koninklijke Philips NV ....................................1,794,168 54,062,166 0.6% Other Securities .........................................133,730,760 1.4% TOTAL NETHERLANDS ......................................317,501,760 3.3% NEW ZEALAND — (0.1%) Other Securities .........................................12,145,818 0.1% NORWAY — (0.8%) Other Securities .........................................77,275,822 0.8% PORTUGAL — (0.0%) Other Securities .........................................4,088,097 0.0% SINGAPORE — (1.0%) Other Securities .........................................99,362,354 1.0% SPAIN — (2.8%) Banco Santander SA .....................................38,416,551 188,242,084 1.9% Other Securities .........................................91,349,479 1.0% TOTAL SPAIN ...............................................279,591,563 2.9% SWEDEN — (2.2%) Nordea Bank AB ........................................4,880,877 51,293,747 0.5% Other Securities .........................................170,725,504 1.8% TOTAL SWEDEN ............................................222,019,251 2.3% SWITZERLAND — (7.6%) ABB, Ltd...............................................4,800,878 99,044,119 1.0% Cie Financiere Richemont SA .............................1,271,917 81,771,387 0.8% Novartis AG ............................................1,332,371 94,555,149 1.0% Swiss Re AG ...........................................1,037,390 96,281,939 1.0% UBS Group AG .........................................3,448,485 48,753,503 0.5% 273 THE DFA INTERNATIONAL VALUE SERIES CONTINUED Shares Value†† Percentage of Net Assets** SWITZERLAND — (Continued) Zurich Insurance Group AG ...............................326,468 $ 85,455,128 0.9% Other Securities .........................................255,861,140 2.6% TOTAL SWITZERLAND ......................................761,722,365 7.8% UNITED KINGDOM — (17.7%) * Anglo American P.L.C....................................3,284,169 45,581,653 0.5% Barclays P.L.C. Sponsored ADR ...........................4,766,662 43,948,624 0.5% BP P.L.C. Sponsored ADR ................................10,710,966 380,774,841 3.9% * Glencore P.L.C..........................................33,377,354 102,171,610 1.1% HSBC Holdings P.L.C....................................21,477,669 161,751,262 1.7% # HSBC Holdings P.L.C. Sponsored ADR .....................3,019,816 113,635,676 1.2% Royal Dutch Shell P.L.C. Class A ..........................2,199,265 54,777,180 0.6% Royal Dutch Shell P.L.C. Sponsored ADR, Class A ...........3,177,301 158,261,344 1.6% # Royal Dutch Shell P.L.C. Sponsored ADR, Class B ...........3,794,361 198,483,024 2.0% Vodafone Group P.L.C...................................58,351,986 160,253,496 1.6% # Vodafone Group P.L.C. Sponsored ADR ....................4,011,201 111,671,843 1.1% Other Securities .........................................242,436,613 2.4% TOTAL UNITED KINGDOM ...................................1,773,747,166 18.2% UNITED STATES — (0.0%) Other Securities .........................................812,282 0.0% TOTAL COMMON STOCKS ...................................9,571,294,827 98.4% PREFERRED STOCKS — (0.9%) GERMANY — (0.9%) Volkswagen AG .........................................535,010 73,764,785 0.8% Other Securities .........................................18,272,581 0.1% TOTAL GERMANY ..........................................92,037,366 0.9% TOTAL PREFERRED STOCKS ................................92,037,366 0.9% RIGHTS/WARRANTS — (0.0%) SPAIN — (0.0%) Other Securities .........................................2,150,761 0.0% SWEDEN — (0.0%) Other Securities .........................................251,828 0.0% TOTAL RIGHTS/WARRANTS .................................2,402,589 0.0% TOTAL INVESTMENT SECURITIES ............................9,665,734,782 Value† SECURITIES LENDING COLLATERAL — (3.7%) §@ DFA Short Term Investment Fund ..........................31,982,623 370,102,917 3.8% TOTAL INVESTMENTS — (100.0%) (Cost $10,045,898,931).....................................$10,035,837,699 103.1% 274 THE DFA INTERNATIONAL VALUE SERIES CONTINUED Summary of the Series’ investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Australia ....................................... $63,077,009 $ 572,005,173 — $ 635,082,182 Austria ........................................ —7,798,226 — 7,798,226 Belgium ....................................... —121,053,616 — 121,053,616 Canada .......................................764,728,758 — — 764,728,758 Denmark ...................................... —175,349,382 — 175,349,382 Finland ........................................2,470,632 72,755,342 — 75,225,974 France ........................................260,795 890,242,846 — 890,503,641 Germany ......................................67,367,734 642,107,155 — 709,474,889 Hong Kong ..................................... —269,429,626 — 269,429,626 Ireland ........................................9,750,918 17,804,588 — 27,555,506 Israel .......................................... —37,197,840 — 37,197,840 Italy ...........................................17,693,989 71,404,638 — 89,098,627 Japan .........................................32,899,160 2,187,630,922 — 2,220,530,082 Netherlands ....................................41,922,122 275,579,638 — 317,501,760 New Zealand ................................... —12,145,818 — 12,145,818 Norway ........................................10,177,330 67,098,492 — 77,275,822 Portugal ....................................... —4,088,097 — 4,088,097 Singapore ..................................... —99,362,354 — 99,362,354 Spain .........................................3,796,801 275,794,762 — 279,591,563 Sweden .......................................4,064,405 217,954,846 — 222,019,251 Switzerland ....................................27,724,389 733,997,976 — 761,722,365 United Kingdom .................................1,033,348,012 740,399,154 — 1,773,747,166 United States ................................... —812,282 — 812,282 Preferred Stocks Germany ...................................... —92,037,366 — 92,037,366 Rights/Warrants Spain ......................................... —2,150,761 — 2,150,761 Sweden ....................................... —251,828 — 251,828 Securities Lending Collateral ........................ —370,102,917 — 370,102,917 Futures Contracts**...............................(851,802) — — (851,802) TOTAL ..........................................$2,078,430,252 $7,956,555,645 — $10,034,985,897 ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note G) See accompanying Notes to Financial Statements. 275 THE JAPANESE SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value†† Percentage of Net Assets** COMMON STOCKS — (91.7%) Consumer Discretionary — (17.8%) Aoyama Trading Co., Ltd..................................304,000 $ 10,709,561 0.4% Shimachu Co., Ltd........................................297,200 7,974,727 0.3% Toyo Tire & Rubber Co., Ltd................................623,700 9,673,815 0.3% Other Securities .........................................575,455,539 18.3% Total Consumer Discretionary ..................................603,813,642 19.3% Consumer Staples — (7.7%) Ain Holdings, Inc.........................................124,600 8,409,946 0.3% Morinaga Milk Industry Co., Ltd.............................1,164,000 9,375,501 0.3% Takara Holdings, Inc......................................980,300 9,284,173 0.3% Other Securities .........................................235,670,534 7.5% Total Consumer Staples .......................................262,740,154 8.4% Energy — (1.0%) Other Securities .........................................32,552,672 1.0% Financials — (8.7%) 77 Bank, Ltd. (The).......................................1,749,760 7,904,201 0.3% Daishi Bank, Ltd. (The)...................................2,071,000 8,905,139 0.3% North Pacific Bank, Ltd....................................2,303,600 8,591,023 0.3% Other Securities .........................................268,141,185 8.5% Total Financials ..............................................293,541,548 9.4% Health Care — (4.1%) Nipro Corp..............................................702,100 8,670,187 0.3% Rohto Pharmaceutical Co., Ltd.............................546,700 9,592,173 0.3% Ship Healthcare Holdings, Inc..............................279,700 8,181,874 0.3% Tsumura & Co...........................................359,800 10,225,153 0.3% Other Securities .........................................101,447,537 3.2% Total Health Care .............................................138,116,924 4.4% Industrials — (26.2%) Aica Kogyo Co., Ltd.......................................314,300 8,968,870 0.3% # Chiyoda Corp............................................993,000 8,661,260 0.3% Daifuku Co., Ltd..........................................444,100 8,024,354 0.3% Fujikura, Ltd.............................................1,935,000 11,369,097 0.4% Furukawa Electric Co., Ltd.................................462,800 13,615,795 0.4% Glory, Ltd...............................................268,900 8,889,500 0.3% GS Yuasa Corp..........................................2,130,000 9,197,857 0.3% Japan Steel Works, Ltd. (The)..............................398,400 8,557,307 0.3% Nishimatsu Construction Co., Ltd............................1,794,000 8,378,134 0.3% Nisshinbo Holdings, Inc....................................870,500 8,666,919 0.3% # NTN Corp...............................................2,488,000 9,417,732 0.3% # OSG Corp...............................................452,700 9,641,884 0.3% Penta-Ocean Construction Co., Ltd..........................1,724,600 10,277,125 0.3% Pilot Corp...............................................188,800 8,441,250 0.3% Sankyu, Inc..............................................1,540,000 9,068,678 0.3% Sanwa Holdings Corp.....................................1,232,600 12,275,880 0.4% Ushio, Inc...............................................655,900 7,912,689 0.3% Other Securities .........................................726,289,505 22.9% Total Industrials ..............................................887,653,836 28.3% 276 THE JAPANESE SMALL COMPANY SERIES CONTINUED Shares Value†† Percentage of Net Assets** Information Technology — (12.0%) Citizen Watch Co., Ltd....................................1,437,500 $ 8,078,459 0.3% Horiba, Ltd.............................................212,650 10,168,702 0.3% Ibiden Co., Ltd..........................................620,978 9,014,732 0.3% TIS, Inc................................................505,101 11,429,663 0.4% # Topcon Corp............................................595,400 8,886,823 0.3% Ulvac, Inc..............................................252,600 7,975,585 0.3% Other Securities .........................................350,942,720 11.1% Total Information Technology ..................................406,496,684 13.0% Materials — (11.6%) ADEKA Corp............................................544,000 8,223,372 0.3% Denka Co., Ltd..........................................1,949,000 8,841,805 0.3% Dowa Holdings Co., Ltd...................................1,464,000 10,872,844 0.4% FP Corp................................................148,000 7,971,867 0.3% Mitsui Mining & Smelting Co., Ltd...........................3,627,000 8,080,917 0.3% NOF Corp..............................................870,000 9,456,776 0.3% Rengo Co., Ltd..........................................1,261,000 7,908,112 0.3% Showa Denko KK .......................................845,099 11,166,525 0.4% Sumitomo Osaka Cement Co., Ltd..........................2,493,000 10,325,300 0.3% #* Tokuyama Corp.........................................2,159,000 9,231,383 0.3% Toyobo Co., Ltd.........................................5,688,000 9,310,397 0.3% Ube Industries, Ltd.......................................6,661,000 13,745,559 0.4% Other Securities .........................................278,920,108 8.7% Total Materials ..............................................394,054,965 12.6% Real Estate — (1.8%) Leopalace21 Corp.......................................1,960,700 12,748,059 0.4% Other Securities .........................................50,288,777 1.6% Total Real Estate ............................................63,036,836 2.0% Telecommunication Services — (0.1%) Other Securities .........................................2,374,986 0.1% Utilities — (0.7%) Hokkaido Electric Power Co., Inc...........................1,082,100 8,229,493 0.3% Other Securities .........................................15,378,862 0.4% Total Utilities ................................................23,608,355 0.7% TOTAL COMMON STOCKS ...................................3,107,990,602 99.2% TOTAL INVESTMENT SECURITIES ............................3,107,990,602 Value† SECURITIES LENDING COLLATERAL — (8.3%) §@ DFA Short Term Investment Fund ..........................24,279,430 280,961,564 9.0% TOTAL INVESTMENTS — (100.0%) (Cost $2,964,543,542)......................................$3,388,952,166 108.2% 277 THE JAPANESE SMALL COMPANY SERIES CONTINUED Summary of the Series’ investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Consumer Discretionary .............................. $796,842 $ 603,016,800 — $ 603,813,642 Consumer Staples ................................... —262,740,154 — 262,740,154 Energy ............................................. —32,552,672 — 32,552,672 Financials ..........................................4,973,609 288,567,939 — 293,541,548 Health Care ......................................... —138,116,924 — 138,116,924 Industrials .......................................... —887,653,836 — 887,653,836 Information Technology ............................... —406,496,684 — 406,496,684 Materials ........................................... —394,054,965 — 394,054,965 Real Estate ......................................... —63,036,836 — 63,036,836 Telecommunication Services ........................... —2,374,986 — 2,374,986 Utilities ............................................. —23,608,355 — 23,608,355 Securities Lending Collateral ............................. —280,961,564 — 280,961,564 TOTAL ...............................................$5,770,451 $3,383,181,715 — $3,388,952,166 See accompanying Notes to Financial Statements. 278 THE ASIA PACIFIC SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value†† Percentage of Net Assets** COMMON STOCKS — (85.5%) AUSTRALIA — (44.3%) Adelaide Brighton, Ltd.....................................3,668,074 $ 14,902,982 1.0% # Alumina, Ltd.............................................9,800,265 11,778,711 0.8% Ansell, Ltd...............................................563,728 9,287,434 0.6% # Bendigo & Adelaide Bank, Ltd...............................1,000,124 8,445,910 0.5% BlueScope Steel, Ltd......................................2,354,984 13,971,247 0.9% Boral, Ltd................................................2,174,013 10,386,960 0.7% carsales.com, Ltd.........................................1,702,940 13,782,286 0.9% Cleanaway Waste Management, Ltd.........................10,357,050 9,119,140 0.6% CSR, Ltd................................................3,350,138 9,302,355 0.6% # Downer EDI, Ltd..........................................2,910,872 12,865,733 0.8% DuluxGroup, Ltd..........................................3,101,823 15,169,738 1.0% Evolution Mining, Ltd......................................4,976,497 8,775,916 0.6% Fairfax Media, Ltd.........................................15,303,894 9,586,076 0.6% # InvoCare, Ltd............................................905,619 8,985,727 0.6% # IOOF Holdings, Ltd........................................1,900,338 11,830,056 0.8% # IRESS, Ltd...............................................1,123,183 9,672,022 0.6% JB Hi-Fi, Ltd.............................................962,791 20,754,808 1.3% Mineral Resources, Ltd....................................1,168,088 10,276,124 0.7% # nib holdings, Ltd..........................................2,713,689 9,937,859 0.6% # Northern Star Resources, Ltd...............................4,806,957 15,547,800 1.0% Nufarm, Ltd..............................................1,280,776 8,597,852 0.6% Orora, Ltd...............................................3,956,731 8,718,958 0.6% OZ Minerals, Ltd..........................................2,198,276 11,231,748 0.7% # Perpetual, Ltd............................................356,426 12,238,862 0.8% Primary Health Care, Ltd...................................3,292,878 9,598,026 0.6% # Sims Metal Management, Ltd...............................1,382,214 10,514,951 0.7% Sirtex Medical, Ltd........................................413,240 8,746,855 0.6% Spark Infrastructure Group .................................11,913,246 20,084,154 1.3% Star Entertainment Grp, Ltd. (The)..........................4,207,608 15,921,346 1.0% # Super Retail Group, Ltd....................................1,280,749 9,521,373 0.6% # Tabcorp Holdings, Ltd.....................................3,586,818 13,177,917 0.9% # Vocus Communications, Ltd................................4,260,609 18,472,126 1.2% #* Whitehaven Coal, Ltd......................................4,143,411 9,528,724 0.6% Other Securities ..........................................409,368,233 26.0% TOTAL AUSTRALIA ...........................................800,100,009 51.4% CHINA — (0.2%) Other Securities ..........................................3,344,793 0.2% HONG KONG — (23.1%) Cafe de Coral Holdings, Ltd................................2,330,000 8,226,629 0.5% Dah Sing Financial Holdings, Ltd............................1,408,144 9,551,504 0.6% #* Esprit Holdings, Ltd.......................................14,507,050 11,964,200 0.8% # Guotai Junan International Holdings, Ltd......................22,013,797 8,406,293 0.6% Hopewell Holdings, Ltd....................................3,184,000 11,148,424 0.7% Luk Fook Holdings International, Ltd.........................3,142,000 9,213,353 0.6% Man Wah Holdings, Ltd....................................13,578,800 9,012,166 0.6% # Vitasoy International Holdings, Ltd...........................5,277,000 11,020,785 0.7% VTech Holdings, Ltd.......................................700,400 8,591,259 0.6% # Xinyi Glass Holdings, Ltd...................................17,658,000 15,182,993 1.0% Other Securities ..........................................315,322,094 20.2% TOTAL HONG KONG .........................................417,639,700 26.9% 279 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED Shares Value†† Percentage of Net Assets** NEW ZEALAND — (7.4%) Fisher & Paykel Healthcare Corp., Ltd........................2,455,045 $ 15,543,967 1.0% # Ryman Healthcare, Ltd....................................1,772,699 11,251,074 0.7% SKYCITY Entertainment Group, Ltd..........................5,162,402 14,391,898 0.9% Other Securities ..........................................93,352,887 6.1% TOTAL NEW ZEALAND .......................................134,539,826 8.7% SINGAPORE — (10.5%) #* Noble Group, Ltd.........................................75,184,800 8,939,601 0.6% SATS, Ltd...............................................2,695,900 9,378,680 0.6% # Singapore Post, Ltd.......................................10,132,100 11,641,927 0.8% Venture Corp., Ltd........................................1,994,100 13,622,092 0.9% Other Securities ..........................................145,991,424 9.3% TOTAL SINGAPORE ..........................................189,573,724 12.2% UNITED STATES — (0.0%) Other Securities ..........................................54,219 0.0% TOTAL COMMON STOCKS ....................................1,545,252,271 99.4% RIGHTS/WARRANTS — (0.0%) AUSTRALIA — (0.0%) Other Securities ..........................................96,131 0.0% HONG KONG — (0.0%) Other Securities ..........................................1,362 0.0% SINGAPORE — (0.0%) Other Securities ..........................................35,970 0.0% TOTAL RIGHTS/WARRANTS ..................................133,463 0.0% TOTAL INVESTMENT SECURITIES .............................1,545,385,734 Value† SECURITIES LENDING COLLATERAL — (14.5%) §@ DFA Short Term Investment Fund ...........................22,627,303 261,843,149 16.8% TOTAL INVESTMENTS — (100.0%) (Cost $1,857,750,342).......................................$1,807,228,883 116.2% 280 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED Summary of the Series’ investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Australia ............................................ — $800,100,009 — $ 800,100,009 China .............................................. —3,344,793 — 3,344,793 Hong Kong ......................................... $941,157 416,698,543 — 417,639,700 New Zealand ........................................412,321 134,127,505 — 134,539,826 Singapore ..........................................315,107 189,258,617 — 189,573,724 United States ........................................54,219 — — 54,219 Rights/Warrants Australia ............................................ —96,131 — 96,131 Hong Kong ......................................... —1,362 — 1,362 Singapore .......................................... —35,970 — 35,970 Securities Lending Collateral ............................. —261,843,149 — 261,843,149 TOTAL ...............................................$1,722,804 $1,805,506,079 — $1,807,228,883 See accompanying Notes to Financial Statements. 281 THE UNITED KINGDOM SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value†† Percentage of Net Assets** COMMON STOCKS — (96.6%) Consumer Discretionary — (19.6%) Bellway P.L.C..............................................637,459 $ 18,446,930 1.1% Daily Mail & General Trust P.L.C. Class A ......................1,271,481 11,670,462 0.7% Greene King P.L.C.........................................1,786,209 15,978,447 1.0% GVC Holdings P.L.C........................................1,240,374 10,567,421 0.6% Inchcape P.L.C............................................2,190,976 17,419,824 1.0% Informa P.L.C..............................................1,305,509 10,740,551 0.6% UBM P.L.C................................................1,950,843 17,128,208 1.0% WH Smith P.L.C............................................680,498 12,248,606 0.7% William Hill P.L.C...........................................4,105,574 14,851,757 0.9% Other Securities ...........................................208,464,577 12.4% Total Consumer Discretionary ....................................337,516,783 20.0% Consumer Staples — (5.4%) Booker Group P.L.C........................................7,989,596 17,523,270 1.0% Tate & Lyle P.L.C...........................................2,319,044 22,116,631 1.3% Other Securities ...........................................54,160,367 3.3% Total Consumer Staples .........................................93,800,268 5.6% Energy — (5.0%) Amec Foster Wheeler P.L.C..................................2,037,469 11,116,254 0.7% John Wood Group P.L.C.....................................1,887,172 17,737,852 1.0% Petrofac, Ltd...............................................1,141,776 11,244,821 0.7% #* Tullow Oil P.L.C............................................5,000,074 16,143,884 0.9% Other Securities ...........................................30,000,063 1.8% Total Energy ...................................................86,242,874 5.1% Financials — (13.5%) Beazley P.L.C.............................................2,740,810 12,203,670 0.7% Close Brothers Group P.L.C..................................785,896 12,753,035 0.8% Henderson Group P.L.C.....................................5,628,395 15,924,719 0.9% Hiscox, Ltd................................................1,493,459 18,648,536 1.1% ICAP P.L.C................................................2,697,973 15,997,519 1.0% IG Group Holdings P.L.C....................................1,792,534 18,101,357 1.1% Jupiter Fund Management P.L.C..............................2,162,762 11,403,328 0.7% Man Group P.L.C...........................................7,936,721 12,099,824 0.7% Phoenix Group Holdings ....................................1,208,721 10,797,905 0.6% Other Securities ...........................................105,371,972 6.3% Total Financials ................................................233,301,865 13.9% Health Care — (3.8%) * BTG P.L.C................................................1,870,654 15,053,103 0.9% Indivior P.L.C..............................................3,662,912 14,068,115 0.9% Other Securities ...........................................36,308,225 2.1% Total Health Care ...............................................65,429,443 3.9% Industrials — (26.6%) Aggreko P.L.C.............................................1,332,278 13,026,413 0.8% Balfour Beatty P.L.C........................................3,549,781 11,769,319 0.7% BBA Aviation P.L.C.........................................5,623,297 17,781,017 1.0% Cobham P.L.C.............................................8,502,869 14,835,365 0.9% G4S P.L.C................................................4,118,797 11,063,582 0.7% Hays P.L.C................................................6,566,676 10,967,970 0.6% 282 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED Shares Value†† Percentage of Net Assets** Industrials — (Continued) Howden Joinery Group P.L.C...............................3,165,528 $ 14,495,414 0.9% IMI P.L.C................................................1,282,137 15,573,467 0.9% Meggitt P.L.C.............................................3,040,190 16,173,674 1.0% Melrose Industries P.L.C...................................10,887,020 22,467,470 1.3% Rentokil Initial P.L.C.......................................8,861,710 24,718,157 1.5% Spirax-Sarco Engineering P.L.C.............................355,118 19,146,216 1.1% Weir Group P.L.C. (The)...................................1,070,092 22,228,790 1.3% Other Securities ..........................................243,821,126 14.5% Total Industrials ...............................................458,067,980 27.2% Information Technology — (9.6%) Electrocomponents P.L.C...................................2,396,207 10,916,359 0.7% Halma P.L.C.............................................1,951,180 24,978,831 1.5% # Micro Focus International P.L.C..............................539,522 14,127,662 0.8% * Paysafe Group P.L.C......................................2,265,858 11,976,435 0.7% Playtech P.L.C............................................1,111,348 12,606,141 0.8% Rightmove P.L.C..........................................477,301 21,787,416 1.3% Spectris P.L.C............................................613,329 15,356,848 0.9% Other Securities ..........................................54,527,225 3.2% Total Information Technology ....................................166,276,917 9.9% Materials — (8.1%) Centamin P.L.C...........................................6,065,603 11,748,394 0.7% DS Smith P.L.C...........................................4,938,232 24,079,775 1.4% RPC Group P.L.C.........................................1,638,321 18,998,878 1.1% Other Securities ..........................................84,422,273 5.1% Total Materials ................................................139,249,320 8.3% Real Estate — (2.4%) Other Securities ..........................................42,003,507 2.5% Telecommunication Services — (0.6%) Other Securities ..........................................11,042,463 0.6% Utilities — (2.0%) Pennon Group P.L.C.......................................1,994,817 20,358,554 1.2% Other Securities ..........................................13,528,264 0.8% Total Utilities .................................................33,886,818 2.0% TOTAL COMMON STOCKS ....................................1,666,818,238 99.0% PREFERRED STOCKS — (0.0%) Other Securities ..........................................28,411 0.0% RIGHTS/WARRANTS — (0.1%) Other Securities ..........................................2,265,507 0.1% TOTAL INVESTMENT SECURITIES .............................1,669,112,156 Value† SECURITIES LENDING COLLATERAL — (3.3%) §@ DFA Short Term Investment Fund ...........................4,889,717 56,583,806 3.4% TOTAL INVESTMENTS — (100.0%) (Cost $1,690,364,152).......................................$1,725,695,962 102.5% 283 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED Summary of the Series’ investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Consumer Discretionary .................................. — $337,516,783 — $ 337,516,783 Consumer Staples ....................................... —93,800,268 — 93,800,268 Energy ................................................ —86,242,874 — 86,242,874 Financials .............................................. —233,301,865 — 233,301,865 Health Care ............................................ —65,429,443 — 65,429,443 Industrials .............................................. —458,067,980 — 458,067,980 Information Technology .................................. —166,276,917 — 166,276,917 Materials ............................................... —139,249,320 — 139,249,320 Real Estate ............................................. —42,003,507 — 42,003,507 Telecommunication Services .............................. —11,042,463 — 11,042,463 Utilities ................................................ —33,886,818 — 33,886,818 Preferred Stocks .......................................... —28,411 — 28,411 Rights/Warrants ........................................... —2,265,507 — 2,265,507 Securities Lending Collateral ................................ —56,583,806 — 56,583,806 TOTAL .................................................. —$1,725,695,962 — $1,725,695,962 See accompanying Notes to Financial Statements. 284 THE CONTINENTAL SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value†† Percentage of Net Assets** COMMON STOCKS — (91.4%) AUSTRIA — (3.1%) ANDRITZ AG ..............................................310,627 $ 16,241,244 0.4% Other Securities ...........................................122,038,613 2.9% TOTAL AUSTRIA ...............................................138,279,857 3.3% BELGIUM — (4.3%) Ackermans & van Haaren NV ................................134,383 18,652,359 0.5% Umicore SA ...............................................412,343 25,063,062 0.6% Other Securities ...........................................147,950,280 3.5% TOTAL BELGIUM ..............................................191,665,701 4.6% DENMARK — (4.5%) GN Store Nord A.S.........................................826,732 16,756,414 0.4% Jyske Bank A.S............................................345,747 15,676,272 0.4% * TDC A.S..................................................4,148,072 22,870,392 0.6% Other Securities ...........................................148,738,122 3.5% TOTAL DENMARK .............................................204,041,200 4.9% FINLAND — (6.5%) Amer Sports Oyj ...........................................641,324 17,449,969 0.4% Elisa Oyj ..................................................734,075 24,731,862 0.6% Huhtamaki Oyj .............................................467,536 18,868,806 0.5% Kesko Oyj Class B .........................................345,206 17,153,261 0.4% Nokian Renkaat Oyj ........................................623,433 20,910,928 0.5% Orion Oyj Class B ..........................................436,647 18,585,395 0.5% #* Outokumpu Oyj ............................................3,022,031 21,068,282 0.5% Other Securities ...........................................153,616,179 3.6% TOTAL FINLAND ...............................................292,384,682 7.0% FRANCE — (12.5%) Arkema SA ...............................................298,145 28,270,807 0.7% Edenred ..................................................946,779 21,911,853 0.5% Eurofins Scientific SE .......................................38,653 17,565,704 0.4% Lagardere SCA ............................................619,304 15,771,620 0.4% Rexel SA .................................................1,596,995 22,149,109 0.5% Rubis SCA ................................................203,675 18,573,358 0.5% SEBSA ..................................................120,657 17,757,736 0.4% # STMicroelectronics NV ......................................2,136,887 20,281,219 0.5% Teleperformance ...........................................336,308 35,533,493 0.9% * Ubisoft Entertainment SA ....................................521,852 17,756,325 0.4% Other Securities ...........................................344,488,930 8.3% TOTAL FRANCE ...............................................560,060,154 13.5% GERMANY — (15.4%) * Dialog Semiconductor P.L.C..................................382,079 15,026,045 0.4% Freenet AG ...............................................652,809 18,715,461 0.5% Gerresheimer AG ..........................................198,146 14,946,146 0.4% # K+SAG ..................................................990,931 20,066,101 0.5% KION Group AG ...........................................258,832 15,638,698 0.4% * KUKA AG .................................................135,482 15,374,609 0.4% Lanxess AG ...............................................484,758 31,084,953 0.8% LEG Immobilien AG ........................................306,750 25,874,994 0.6% 285 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED Shares Value†† Percentage of Net Assets** GERMANY — (Continued) MTU Aero Engines AG .....................................249,839 $ 26,089,184 0.6% Osram Licht AG ...........................................343,036 19,483,339 0.5% * QIAGEN NV ..............................................744,663 18,212,580 0.4% Rheinmetall AG ............................................223,411 15,508,712 0.4% Stada Arzneimittel AG ......................................306,492 15,370,132 0.4% Other Securities ...........................................439,286,005 10.4% TOTAL GERMANY .............................................690,676,959 16.7% IRELAND — (1.2%) Other Securities ...........................................53,214,050 1.3% ISRAEL — (1.8%) Other Securities ...........................................82,999,079 2.0% ITALY — (8.6%) Prysmian SpA .............................................1,026,230 25,519,884 0.6% Other Securities ...........................................358,680,759 8.7% TOTAL ITALY .................................................384,200,643 9.3% NETHERLANDS — (4.7%) Aalberts Industries NV ......................................600,156 18,953,870 0.5% Delta Lloyd NV ............................................2,709,093 16,366,532 0.4% # Gemalto NV ..............................................304,031 16,518,507 0.4% Other Securities ...........................................158,514,893 3.8% TOTAL NETHERLANDS ........................................210,353,802 5.1% NORWAY — (2.6%) Other Securities ...........................................118,249,011 2.9% PORTUGAL — (0.9%) Other Securities ...........................................41,152,687 1.0% SPAIN — (5.4%) Distribuidora Internacional de Alimentacion SA .................2,929,226 15,645,268 0.4% Gamesa Corp. Tecnologica SA ...............................1,203,576 27,788,671 0.7% Other Securities ...........................................199,203,293 4.7% TOTAL SPAIN .................................................242,637,232 5.8% SWEDEN — (7.8%) Other Securities ...........................................348,471,161 8.4% SWITZERLAND — (12.1%) Baloise Holding AG ........................................193,722 23,833,522 0.6% Flughafen Zuerich AG ......................................104,871 19,277,802 0.5% Georg Fischer AG .........................................22,511 19,958,153 0.5% Helvetia Holding AG ........................................36,269 18,869,464 0.5% # Logitech International SA ....................................650,486 15,732,970 0.4% PSP Swiss Property AG .....................................201,709 18,048,619 0.4% Straumann Holding AG .....................................45,962 17,244,502 0.4% Temenos Group AG ........................................318,043 20,539,697 0.5% Other Securities ...........................................386,994,688 9.2% TOTAL SWITZERLAND .........................................540,499,417 13.0% TOTAL COMMON STOCKS .....................................4,098,885,635 98.8% PREFERRED STOCKS — (0.8%) GERMANY — (0.8%) Other Securities ...........................................34,254,167 0.9% TOTAL PREFERRED STOCKS ...................................34,254,167 0.9% 286 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED Shares Value†† Percentage of Net Assets** RIGHTS/WARRANTS — (0.0%) SPAIN — (0.0%) Other Securities .......................................... $55,356 0.0% TOTAL RIGHTS/WARRANTS ...................................55,356 0.0% TOTAL INVESTMENT SECURITIES .............................4,133,195,158 Value† SECURITIES LENDING COLLATERAL — (7.8%) §@ DFA Short Term Investment Fund ...........................30,261,802 350,189,570 8.4% TOTAL INVESTMENTS — (100.0%) (Cost $3,879,139,342).......................................$4,483,384,728 108.1% Summary of the Series’ investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Austria ............................................. — $138,279,857 — $ 138,279,857 Belgium ............................................ —191,665,701 — 191,665,701 Denmark ........................................... —204,041,200 — 204,041,200 Finland ............................................. —292,384,682 — 292,384,682 France ............................................. —560,060,154 — 560,060,154 Germany ...........................................$1,885,545 688,791,414 — 690,676,959 Ireland ............................................. —53,214,050 — 53,214,050 Israel .............................................. —82,999,079 — 82,999,079 Italy ............................................... —384,200,643 — 384,200,643 Netherlands ......................................... —210,353,802 — 210,353,802 Norway ............................................ —118,249,011 — 118,249,011 Portugal ............................................ —41,152,687 — 41,152,687 Spain .............................................. —242,637,232 — 242,637,232 Sweden ............................................124,117 348,347,044 — 348,471,161 Switzerland ......................................... —540,499,417 — 540,499,417 Preferred Stocks Germany ........................................... —34,254,167 — 34,254,167 Rights/Warrants Spain .............................................. —55,356 — 55,356 Securities Lending Collateral ............................. —350,189,570 — 350,189,570 TOTAL ...............................................$2,009,662 $4,481,375,066 — $4,483,384,728 See accompanying Notes to Financial Statements. 287 THE CANADIAN SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value†† Percentage of Net Assets** COMMON STOCKS — (81.3%) Consumer Discretionary — (7.7%) Cineplex, Inc..............................................318,474 $ 12,109,278 1.3% # Corus Entertainment, Inc. Class B ............................740,938 6,115,100 0.7% # Enercare, Inc..............................................509,859 7,366,784 0.8% #* IMAX Corp................................................259,917 7,862,489 0.9% Linamar Corp..............................................144,412 5,873,164 0.6% Other Securities ...........................................49,050,359 5.2% Total Consumer Discretionary ....................................88,377,174 9.5% Consumer Staples — (3.6%) Cott Corp.................................................600,036 7,868,958 0.9% Premium Brands Holdings Corp...............................132,462 6,410,280 0.7% Other Securities ...........................................26,731,797 2.8% Total Consumer Staples .........................................41,011,035 4.4% Energy — (19.2%) * Advantage Oil & Gas, Ltd....................................1,100,531 7,425,487 0.8% # Enbridge Income Fund Holdings, Inc...........................251,755 6,389,130 0.7% # Gibson Energy, Inc.........................................702,339 8,812,619 0.9% # Mullen Group, Ltd..........................................536,825 7,440,227 0.8% * Parex Resources, Inc.......................................765,891 8,810,630 0.9% # Parkland Fuel Corp.........................................474,825 11,090,932 1.2% # Precision Drilling Corp.......................................1,736,481 7,741,860 0.8% * Raging River Exploration, Inc.................................1,087,151 8,713,095 0.9% ShawCor, Ltd..............................................319,981 8,003,700 0.9% # Veresen, Inc...............................................1,597,192 14,467,966 1.6% # Whitecap Resources, Inc....................................1,466,035 11,716,913 1.3% Other Securities ...........................................119,454,762 12.8% Total Energy ...................................................220,067,321 23.6% Financials — (4.8%) # Canadian Western Bank ....................................441,032 8,368,198 0.9% # Home Capital Group, Inc....................................325,263 6,438,330 0.7% Laurentian Bank of Canada ..................................196,746 7,271,080 0.8% TMX Group, Ltd............................................191,063 8,815,991 0.9% Other Securities ...........................................24,707,351 2.7% Total Financials ................................................55,600,950 6.0% Health Care — (1.3%) Other Securities ...........................................14,491,248 1.5% Industrials — (10.3%) MacDonald Dettwiler & Associates, Ltd.........................172,507 9,873,527 1.1% New Flyer Industries, Inc....................................254,471 7,114,488 0.8% Russel Metals, Inc..........................................362,155 5,764,564 0.6% # Stantec, Inc...............................................410,229 9,126,395 1.0% Toromont Industries, Ltd.....................................390,325 11,465,597 1.2% TransForce, Inc............................................474,880 10,773,577 1.2% Westshore Terminals Investment Corp.........................318,149 6,136,222 0.7% Other Securities ...........................................57,383,009 6.0% Total Industrials ................................................117,637,379 12.6% Information Technology — (3.1%) Other Securities ...........................................35,787,691 3.8% 288 THE CANADIAN SMALL COMPANY SERIES CONTINUED Shares Value†† Percentage of Net Assets** Materials — (23.7%) Alamos Gold, Inc. Class A ..................................1,545,462 $ 12,121,272 1.3% * B2Gold Corp.............................................5,268,073 15,239,039 1.6% * Endeavour Mining Corp....................................316,838 6,188,881 0.7% * Fortuna Silver Mines, Inc...................................876,406 5,991,682 0.6% HudBay Minerals, Inc......................................1,398,004 5,888,856 0.6% * IAMGOLD Corp...........................................2,443,241 9,781,707 1.1% * Lundin Mining Corp........................................2,567,823 10,050,750 1.1% # Methanex Corp...........................................267,966 9,739,314 1.0% * New Gold, Inc............................................2,668,183 10,523,140 1.1% OceanaGold Corp.........................................3,061,665 9,358,702 1.0% Pan American Silver Corp..................................990,673 15,820,633 1.7% * SEMAFO, Inc.............................................1,661,946 6,517,435 0.7% #* Silver Standard Resources, Inc..............................760,590 8,347,040 0.9% # Stella-Jones, Inc..........................................204,600 7,260,837 0.8% West Fraser Timber Co., Ltd................................213,500 7,309,267 0.8% Other Securities ..........................................131,140,488 14.1% Total Materials ................................................271,279,043 29.1% Real Estate — (1.6%) FirstService Corp..........................................160,533 6,504,860 0.7% Other Securities ..........................................12,104,751 1.3% Total Real Estate ..............................................18,609,611 2.0% Telecommunication Services — (0.4%) Other Securities ..........................................4,507,968 0.5% Utilities — (5.6%) Algonquin Power & Utilities Corp.............................1,173,558 10,368,048 1.1% Capital Power Corp........................................523,509 8,059,689 0.9% # Northland Power, Inc.......................................536,896 9,606,728 1.0% Superior Plus Corp........................................702,443 6,253,015 0.7% TransAlta Corp............................................1,446,740 6,374,587 0.7% Other Securities ..........................................23,050,047 2.4% Total Utilities ..................................................63,712,114 6.8% TOTAL COMMON STOCKS .....................................931,081,534 99.8% TOTAL INVESTMENT SECURITIES ..............................931,081,534 Value† SECURITIES LENDING COLLATERAL — (18.7%) §@ DFA Short Term Investment Fund ...........................18,505,165 214,141,764 22.9% TOTAL INVESTMENTS — (100.0%) (Cost $1,376,781,398)........................................$1,145,223,298 122.7% 289 THE CANADIAN SMALL COMPANY SERIES CONTINUED Summary of the Series’ investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Consumer Discretionary .............................. $88,194,376 $ 182,798 — $ 88,377,174 Consumer Staples ...................................41,011,035 — — 41,011,035 Energy ............................................220,008,340 58,981 — 220,067,321 Financials ..........................................55,600,950 — — 55,600,950 Health Care ........................................14,491,248 — — 14,491,248 Industrials ..........................................117,637,379 — — 117,637,379 Information Technology ..............................35,787,691 — — 35,787,691 Materials ...........................................271,278,805 238 — 271,279,043 Real Estate .........................................18,609,611 — — 18,609,611 Telecommunication Services ..........................4,507,968 — — 4,507,968 Utilities ............................................63,712,114 — — 63,712,114 Securities Lending Collateral ............................ —214,141,764 — 214,141,764 TOTAL $930,839,517 $214,383,781 — $1,145,223,298 See accompanying Notes to Financial Statements. 290 THE EMERGING MARKETS SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value†† Percentage of Net Assets** COMMON STOCKS — (94.0%) BRAZIL — (5.8%) AMBEV SA ADR .........................................5,984,451 $ 35,308,261 0.7% Cielo SA ................................................1,506,864 15,295,240 0.3% Other Securities ..........................................242,707,051 4.9% TOTAL BRAZIL ...............................................293,310,552 5.9% CHILE — (1.4%) Other Securities ..........................................73,612,527 1.5% CHINA — (14.8%) Bank of China, Ltd. Class H ................................63,274,181 28,354,360 0.6% China Construction Bank Corp. Class H ......................69,895,590 51,041,026 1.0% China Mobile, Ltd. Sponsored ADR ..........................918,178 52,730,963 1.1% CNOOC, Ltd. Sponsored ADR ..............................127,716 16,025,804 0.3% Industrial & Commercial Bank of China, Ltd. Class H ...........71,229,185 42,754,557 0.9% Ping An Insurance Group Co. of China, Ltd. Class H ...........4,622,500 24,330,600 0.5% Tencent Holdings, Ltd.....................................4,351,400 115,322,199 2.3% Other Securities ..........................................424,183,224 8.4% TOTAL CHINA ...............................................754,742,733 15.1% COLOMBIA — (0.5%) Other Securities ..........................................23,941,405 0.5% CZECH REPUBLIC — (0.2%) Other Securities ..........................................9,825,802 0.2% EGYPT — (0.2%) Other Securities ..........................................8,164,964 0.2% GREECE — (0.2%) Other Securities ..........................................12,197,777 0.2% HUNGARY — (0.4%) Other Securities ..........................................19,420,220 0.4% INDIA — (12.2%) HDFC Bank, Ltd..........................................1,441,144 27,008,537 0.5% Housing Development Finance Corp., Ltd.....................1,095,932 22,624,895 0.5% Infosys, Ltd..............................................1,886,232 28,287,791 0.6% ITC, Ltd.................................................4,896,443 17,714,670 0.4% Reliance Industries, Ltd....................................1,625,226 25,537,646 0.5% Tata Consultancy Services, Ltd..............................720,066 25,774,900 0.5% Tata Motors, Ltd..........................................1,952,358 15,521,888 0.3% Other Securities ..........................................457,000,473 9.1% TOTAL INDIA ................................................619,470,800 12.4% INDONESIA — (3.2%) Astra International Tbk PT .................................23,646,410 14,918,699 0.3% Bank Central Asia Tbk PT ..................................15,447,700 18,366,468 0.4% Other Securities ..........................................131,751,393 2.6% TOTAL INDONESIA ...........................................165,036,560 3.3% 291 THE EMERGING MARKETS SERIES CONTINUED Shares Value†† Percentage of Net Assets** MALAYSIA — (3.5%) Public Bank Bhd ..........................................3,537,614 $ 16,744,498 0.3% Tenaga Nasional Bhd ......................................4,375,250 14,949,608 0.3% Other Securities ..........................................149,025,914 3.0% TOTAL MALAYSIA ............................................180,720,020 3.6% MEXICO — (5.0%) America Movil S.A.B. de C.V. Series L ........................46,329,297 30,688,471 0.6% # Fomento Economico Mexicano S.A.B. de C.V..................1,793,669 17,198,383 0.3% # Grupo Financiero Banorte S.A.B. de C.V. Class O ..............4,609,848 27,194,225 0.6% # Grupo Televisa S.A.B. Series CPO ..........................3,356,577 16,490,754 0.3% Wal-Mart de Mexico S.A.B. de C.V...........................7,054,235 14,921,344 0.3% Other Securities ..........................................148,796,657 3.0% TOTAL MEXICO ..............................................255,289,834 5.1% PERU — (0.3%) Other Securities ..........................................14,446,744 0.3% PHILIPPINES — (1.7%) Other Securities ..........................................87,260,101 1.7% POLAND — (1.4%) Other Securities ..........................................73,590,632 1.5% RUSSIA — (1.8%) Gazprom PJSC Sponsored ADR ............................4,944,295 21,319,197 0.4% Sberbank of Russia PJSC Sponsored ADR ....................1,818,206 17,220,575 0.4% Other Securities ..........................................53,848,767 1.0% TOTAL RUSSIA ...............................................92,388,539 1.8% SOUTH AFRICA — (7.9%) * AngloGold Ashanti, Ltd. Sponsored ADR ......................1,637,102 22,493,782 0.5% FirstRand, Ltd............................................4,730,180 16,961,318 0.3% MTN Group, Ltd...........................................2,516,919 21,739,475 0.4% Naspers, Ltd. Class N .....................................370,571 62,063,317 1.2% Sasol, Ltd. Sponsored ADR .................................778,314 21,411,418 0.4% Standard Bank Group, Ltd..................................2,023,352 21,478,453 0.4% Steinhoff International Holdings NV ..........................3,453,813 18,632,175 0.4% Other Securities ..........................................219,673,686 4.5% TOTAL SOUTH AFRICA ........................................404,453,624 8.1% SOUTH KOREA — (14.3%) Hyundai Motor Co.........................................175,874 21,472,355 0.4% KB Financial Group, Inc....................................441,762 16,352,604 0.3% NAVER Corp.............................................33,801 25,288,736 0.5% Samsung Electronics Co., Ltd...............................97,289 139,155,193 2.8% Samsung Electronics Co., Ltd. GDR ..........................52,509 36,940,669 0.7% SK Hynix, Inc.............................................705,494 25,233,135 0.5% Other Securities ..........................................462,680,857 9.3% TOTAL SOUTH KOREA ........................................727,123,549 14.5% TAIWAN — (15.0%) # Hon Hai Precision Industry Co., Ltd...........................17,267,653 46,642,722 0.9% Largan Precision Co., Ltd...................................133,860 15,792,148 0.3% Taiwan Semiconductor Manufacturing Co., Ltd.................25,188,808 151,166,887 3.0% 292 THE EMERGING MARKETS SERIES CONTINUED Shares Value†† Percentage of Net Assets** TAIWAN — (Continued) Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR ........................................1,672,158 $ 52,004,114 1.1% Other Securities ..........................................499,242,347 10.0% TOTAL TAIWAN ..............................................764,848,218 15.3% THAILAND — (2.7%) PTTPCL ................................................1,634,600 16,160,343 0.3% Other Securities ..........................................121,889,382 2.5% TOTAL THAILAND ............................................138,049,725 2.8% TURKEY — (1.5%) Other Securities ..........................................74,744,642 1.5% TOTAL COMMON STOCKS ....................................4,792,638,968 95.9% PREFERRED STOCKS — (3.2%) BRAZIL — (3.1%) Banco Bradesco SA .......................................2,388,514 25,022,528 0.5% Itau Unibanco Holding SA ..................................4,317,027 51,934,159 1.0% * Petroleo Brasileiro SA .....................................2,825,761 15,660,311 0.3% * Petroleo Brasileiro SA Sponsored ADR .......................1,440,006 15,926,466 0.3% Vale SA .................................................2,522,202 16,301,074 0.3% Other Securities ..........................................29,792,502 0.7% TOTAL BRAZIL ...............................................154,637,040 3.1% CHILE — (0.0%) Other Securities ..........................................461,858 0.0% COLOMBIA — (0.1%) Other Securities ..........................................5,642,477 0.1% SOUTH KOREA — (0.0%) Other Securities ..........................................309,189 0.0% TOTAL PREFERRED STOCKS ..................................161,050,564 3.2% RIGHTS/WARRANTS — (0.0%) SOUTH KOREA — (0.0%) Other Securities ..........................................415,149 0.0% TOTAL RIGHTS/WARRANTS ...................................415,149 0.0% TOTAL INVESTMENT SECURITIES .............................4,954,104,681 Value† SECURITIES LENDING COLLATERAL — (2.8%) §@ DFA Short Term Investment Fund ...........................12,413,368 143,647,490 2.9% TOTAL INVESTMENTS — (100.0%) (Cost $4,047,616,277).......................................$5,097,752,171 102.0% 293 THE EMERGING MARKETS SERIES CONTINUED Summary of the Series’ investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Brazil .......................................... $293,310,552 — — $ 293,310,552 Chile ...........................................36,556,767 $ 37,055,760 — 73,612,527 China ..........................................123,639,714 631,103,019 — 754,742,733 Colombia .......................................23,941,405 — — 23,941,405 Czech Republic .................................. —9,825,802 — 9,825,802 Egypt ..........................................656,731 7,508,233 — 8,164,964 Greece ......................................... —12,197,777 — 12,197,777 Hungary ........................................ —19,420,220 — 19,420,220 India ...........................................32,757,639 586,713,161 — 619,470,800 Indonesia .......................................6,392,992 158,643,568 — 165,036,560 Malaysia ........................................ —180,720,020 — 180,720,020 Mexico .........................................255,289,834 — — 255,289,834 Peru ...........................................14,446,744 — — 14,446,744 Philippines ......................................1,591,367 85,668,734 — 87,260,101 Poland ......................................... —73,590,632 — 73,590,632 Russia .........................................880,891 91,507,648 — 92,388,539 South Africa .....................................55,870,231 348,583,393 — 404,453,624 South Korea .....................................24,723,258 702,400,291 — 727,123,549 Taiwan .........................................61,828,890 703,019,328 — 764,848,218 Thailand ........................................138,049,725 — — 138,049,725 Turkey .........................................592,181 74,152,461 — 74,744,642 Preferred Stocks Brazil ..........................................154,637,040 — — 154,637,040 Chile ........................................... —461,858 — 461,858 Colombia .......................................5,642,477 — — 5,642,477 South Korea .....................................309,189 — — 309,189 Rights/Warrants South Korea ..................................... —415,149 — 415,149 Securities Lending Collateral ......................... —143,647,490 — 143,647,490 Futures Contracts**................................(265,685) — — (265,685) TOTAL ...........................................$1,230,851,942 $3,866,634,544 — $5,097,486,486 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note G) See accompanying Notes to Financial Statements. 294 THE EMERGING MARKETS SMALL CAP SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value†† Percentage of Net Assets** COMMON STOCKS — (87.8%) BRAZIL — (8.3%) * BR Malls Participacoes SA .................................6,998,232 $ 28,019,237 0.5% CETIP SA - Mercados Organizados ..........................945,300 13,288,099 0.3% * Cia Siderurgica Nacional SA ................................5,779,408 19,445,752 0.4% Duratex SA ..............................................3,935,733 10,628,452 0.2% EDP - Energias do Brasil SA ................................3,450,314 16,592,205 0.3% Equatorial Energia SA .....................................2,273,758 40,560,082 0.7% Estacio Participacoes SA ...................................3,477,890 20,167,840 0.4% Fleury SA ................................................899,506 11,906,055 0.2% Localiza Rent a Car SA ....................................1,649,975 20,485,122 0.4% MRV Engenharia e Participacoes SA .........................3,532,380 13,678,013 0.3% Multiplan Empreendimentos Imobiliarios SA ...................592,100 11,899,503 0.2% Odontoprev SA ...........................................2,908,696 10,934,947 0.2% Qualicorp SA .............................................2,415,505 15,543,381 0.3% * Rumo Logistica Operadora Multimodal SA ....................6,787,474 15,182,508 0.3% Sao Martinho SA ..........................................661,862 13,181,255 0.3% Sul America SA ...........................................2,810,065 16,964,268 0.3% Totvs SA ................................................1,287,326 11,679,501 0.2% Transmissora Alianca de Energia Eletrica SA ..................1,918,518 12,471,569 0.2% Other Securities ..........................................202,885,715 3.5% TOTAL BRAZIL ...............................................505,513,504 9.2% CHILE — (1.6%) Engie Energia Chile SA ....................................5,731,371 10,171,435 0.2% Parque Arauco SA ........................................7,641,107 18,948,786 0.4% Vina Concha y Toro SA ....................................5,623,245 9,803,867 0.2% Other Securities ..........................................60,347,589 1.0% TOTAL CHILE ................................................99,271,677 1.8% CHINA — (12.5%) # GCL-Poly Energy Holdings, Ltd..............................80,160,000 10,804,244 0.2% # GOME Electrical Appliances Holding, Ltd......................84,442,000 10,640,930 0.2% Kingboard Chemical Holdings, Ltd............................4,301,921 12,716,703 0.2% Minth Group, Ltd..........................................2,797,000 9,902,300 0.2% Shenzhen International Holdings, Ltd.........................7,240,222 11,180,429 0.2% # Sunac China Holdings, Ltd..................................14,681,000 10,019,548 0.2% Other Securities ..........................................698,392,014 12.6% TOTAL CHINA ................................................763,656,168 13.8% COLOMBIA — (0.2%) Other Securities ..........................................10,672,364 0.2% GREECE — (0.3%) Other Securities ..........................................18,832,908 0.3% HONG KONG — (0.1%) Other Securities ..........................................3,501,421 0.1% HUNGARY — (0.1%) Other Securities ..........................................3,410,822 0.1% INDIA — (13.6%) Arvind, Ltd...............................................1,766,630 11,011,026 0.2% Berger Paints India, Ltd....................................2,563,663 9,940,850 0.2% 295 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED Shares Value†† Percentage of Net Assets** INDIA — (Continued) Federal Bank, Ltd..........................................8,408,191 $ 10,356,427 0.2% TVS Motor Co., Ltd.........................................2,133,665 13,107,680 0.2% Other Securities ...........................................787,839,019 14.3% TOTAL INDIA .................................................832,255,002 15.1% INDONESIA — (3.3%) Other Securities ...........................................201,825,238 3.6% MALAYSIA — (3.9%) Other Securities ...........................................237,523,653 4.3% MEXICO — (3.1%) # Alsea S.A.B. de C.V........................................6,071,804 22,654,019 0.4% # Banregio Grupo Financiero S.A.B. de C.V......................2,236,173 14,657,398 0.3% Gentera S.A.B. de C.V......................................7,327,998 14,453,614 0.3% # Grupo Aeroportuario del Centro Norte S.A.B. de C.V.............2,202,376 12,852,340 0.2% #* Industrias CH S.A.B. de C.V. Series B ........................2,280,755 10,775,695 0.2% Other Securities ...........................................115,570,171 2.1% TOTAL MEXICO ...............................................190,963,237 3.5% PHILIPPINES — (1.6%) Other Securities ...........................................97,508,208 1.8% POLAND — (1.8%) Other Securities ...........................................108,866,211 2.0% SOUTH AFRICA — (7.0%) AVI, Ltd..................................................3,346,741 23,508,782 0.4% Barloworld, Ltd............................................2,216,736 14,318,310 0.3% # Clicks Group, Ltd..........................................2,666,173 24,871,462 0.5% EOH Holdings, Ltd.........................................1,098,252 13,028,837 0.2% Foschini Group, Ltd. (The)..................................1,564,234 16,079,708 0.3% Imperial Holdings, Ltd......................................840,996 10,622,362 0.2% JSE, Ltd..................................................892,197 10,394,209 0.2% * Northam Platinum, Ltd......................................3,640,843 13,265,319 0.2% # Pick n Pay Stores, Ltd......................................2,069,376 10,139,102 0.2% * Sappi, Ltd................................................4,082,585 22,716,560 0.4% SPAR Group, Ltd. (The)....................................1,141,280 16,180,895 0.3% * Super Group, Ltd..........................................3,398,200 10,029,578 0.2% Other Securities ...........................................243,434,810 4.4% TOTAL SOUTH AFRICA ........................................428,589,934 7.8% SOUTH KOREA — (11.8%) Other Securities ...........................................725,273,437 13.1% TAIWAN — (13.4%) Other Securities ...........................................818,271,016 14.8% THAILAND — (3.4%) Other Securities ...........................................209,076,777 3.8% TURKEY — (1.8%) Other Securities ...........................................111,238,430 2.0% TOTAL COMMON STOCKS .....................................5,366,250,007 97.3% 296 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED Shares Value†† Percentage of Net Assets** PREFERRED STOCKS — (1.6%) BRAZIL — (1.5%) Cia Energetica de Minas Gerais ............................3,890,229 $ 11,882,748 0.2% Cia Paranaense de Energia ................................857,600 9,819,950 0.2% Other Securities ..........................................72,927,385 1.3% TOTAL BRAZIL ..............................................94,630,083 1.7% CHILE — (0.1%) Other Securities ..........................................3,498,995 0.1% COLOMBIA — (0.0%) Other Securities ..........................................2,105,056 0.0% TOTAL PREFERRED STOCKS .................................100,234,134 1.8% RIGHTS/WARRANTS — (0.0%) AUSTRALIA — (0.0%) Other Securities ..........................................107,121 0.0% BRAZIL — (0.0%) Other Securities ..........................................4,731 0.0% CHINA — (0.0%) Other Securities ..........................................4,888 0.0% INDIA — (0.0%) Other Securities ..........................................498,840 0.0% SOUTH KOREA — (0.0%) Other Securities ..........................................9,793 0.0% TAIWAN — (0.0%) Other Securities ..........................................1,020 0.0% THAILAND — (0.0%) Other Securities ..........................................2,151 0.0% TOTAL RIGHTS/WARRANTS ..................................628,544 0.0% TOTAL INVESTMENT SECURITIES .............................5,467,112,685 Value† SECURITIES LENDING COLLATERAL — (10.6%) §@ DFA Short Term Investment Fund ...........................56,051,755 648,630,910 11.8% TOTAL INVESTMENTS — (100.0%) (Cost $5,926,075,685).......................................$6,115,743,595 110.9% 297 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED Summary of the Series’ investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Brazil .......................................... $505,513,504 — — $ 505,513,504 Chile ...........................................1,048,175 $ 98,223,502 — 99,271,677 China ..........................................1,165,199 762,490,969 — 763,656,168 Colombia .......................................10,672,364 — — 10,672,364 Greece ......................................... —18,832,908 — 18,832,908 Hong Kong ...................................... —3,501,421 — 3,501,421 Hungary ........................................ —3,410,822 — 3,410,822 India ...........................................2,752,926 829,502,076 — 832,255,002 Indonesia .......................................2,884,712 198,940,526 — 201,825,238 Malaysia ........................................43,667 237,479,986 — 237,523,653 Mexico .........................................190,963,237 — — 190,963,237 Philippines ...................................... —97,508,208 — 97,508,208 Poland ......................................... —108,866,211 — 108,866,211 South Africa .....................................9,109,799 419,480,135 — 428,589,934 South Korea .....................................1,107,997 724,165,440 — 725,273,437 Taiwan .........................................1,012,253 817,258,763 — 818,271,016 Thailand ........................................208,832,059 244,718 — 209,076,777 Turkey ......................................... —111,238,430 — 111,238,430 Preferred Stocks Brazil ..........................................94,630,083 — — 94,630,083 Chile ........................................... —3,498,995 — 3,498,995 Colombia .......................................2,105,056 — — 2,105,056 Rights/Warrants Australia ........................................ —107,121 — 107,121 Brazil .......................................... —4,731 — 4,731 China .......................................... —4,888 — 4,888 India ........................................... —498,840 — 498,840 South Korea ..................................... —9,793 — 9,793 Taiwan ......................................... —1,020 — 1,020 Thailand ........................................ —2,151 — 2,151 Securities Lending Collateral ......................... —648,630,910 — 648,630,910 Futures Contracts**................................288,905 — — 288,905 TOTAL ...........................................$1,032,129,936 $5,083,902,564 — $6,116,032,500 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note G) See accompanying Notes to Financial Statements. 298 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (Amounts in thousands) The U.S. Large Cap Value Series* The DFA International Value Series* The Japanese Small Company Series* The Asia Pacific Small Company Series* ASSETS: Investments at Value (including $1,407,685, $362,128, $271,364 and $262,488 of securities on loan, respectively)........................................$20,729,659 $ 9,665,735 $3,107,991 $1,545,386 Temporary Cash Investments at Value & Cost ..............200,994 — — — Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $820,520, $370,043, $280,916 and $261,799)..........................................820,651 370,103 280,962 261,843 Segregated Cash for Futures Contracts ....................6,012 1,176 — — Foreign Currencies at Value ............................. —9,101 2,507 2,689 Cash ................................................ —17,431 1,795 392 Receivables: Investment Securities Sold ............................56,993 — 4,478 6,989 Dividends, Interest and Tax Reclaims ....................22,805 38,076 19,244 1,409 Securities Lending Income ............................. 228 158 684 420 Futures Margin Variation .............................. — 13 — — Total Assets .....................................21,837,342 10,101,793 3,417,661 1,819,128 LIABILITIES: Payables: Upon Return of Securities Loaned ......................820,496 370,018 280,889 261,796 Investment Securities Purchased .......................97,218 — 3,734 1,368 Due to Advisor ......................................1,787 1,649 261 134 Futures Margin Variation .............................. 247 — — — Accrued Expenses and Other Liabilities ....................1,026 586 183 94 Total Liabilities ...................................920,774 372,253 285,067 263,392 NET ASSETS .........................................$20,916,568 $ 9,729,540 $3,132,594 $1,555,736 Investments at Cost ....................................$15,139,595 $ 9,675,856 $2,683,628 $1,595,952 Foreign Currencies at Cost .............................. $ — $9,131 $ 2,500 $ 2,692 * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 299 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (Amounts in thousands) The United Kingdom Small Company Series The Continental Small Company Series* The Canadian Small Company Series The Emerging Markets Series* The Emerging Markets Small Cap Series* ASSETS: Investments at Value (including $53,170, $327,025, $202,280, $212,759 and $954,168 of securities on loan, respectively)........................$1,669,112 $4,133,195 $ 931,082 $4,954,105 $5,467,113 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $56,574, $350,137, $214,106, $143,624 and $648,523)......................56,584 350,190 214,142 143,647 648,631 Segregated Cash for Futures Contracts . . . — — — 1,298 940 Foreign Currencies at Value .............5,978 1,645 279 38,502 19,897 Cash ................................2,698 5,855 4,248 2,268 17,857 Receivables: Investment Securities Sold ............ 936 2,988 55 1,559 3,346 Dividends, Interest and Tax Reclaims . . . 4,896 5,730 705 2,882 4,074 Securities Lending Income ............ 93 1,051 375 526 3,868 Futures Margin Variation .............. — — — 149 108 Unrealized Gain on Foreign Currency Contracts .......................... — — 1 — — Total Assets ....................1,740,297 4,500,654 1,150,887 5,144,936 6,165,834 LIABILITIES: Payables: Upon Return of Securities Loaned ......56,573 350,129 214,100 143,617 648,523 Investment Securities Purchased ....... —1,969 3,384 2,758 332 Due to Advisor ...................... 148 359 81 424 942 Unrealized Loss on Foreign Currency Contracts .......................... — — 5 — — Accrued Expenses and Other Liabilities . . . 111 272 53 406 390 Total Liabilities ..................56,832 352,729 217,623 147,205 650,187 NET ASSETS ........................$1,683,465 $4,147,925 $ 933,264 $4,997,731 $5,515,647 Investments at Cost ....................$1,633,790 $3,529,003 $1,162,676 $3,903,992 $5,277,553 Foreign Currencies at Cost .............. $5,962 $ 1,647 $ 279 $ 38,157 $ 20,038 * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 300 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (Amounts in thousands) The U.S. Large Cap Value Series The DFA International Value Series The Japanese Small Company Series The Asia Pacific Small Company Series Investment Income Dividends (Net of Foreign Taxes Withheld of $20, $27,352, $5,758 and $1,317, respectively)........................$482,647 $ 341,886 $ 52,010 $ 52,135 Income from Securities Lending ...........................3,444 9,676 5,693 5,042 Total Investment Income .............................486,091 351,562 57,703 57,177 Expenses Investment Management Fees ............................19,402 17,844 2,725 1,385 Accounting & Transfer Agent Fees ........................ 954 449 138 78 Custodian Fees ........................................ 190 771 441 250 Shareholders’ Reports .................................. 81 38 11 5 Directors’/Trustees’ Fees & Expenses ...................... 134 62 19 9 Professional Fees ...................................... 361 265 54 27 Other ................................................. 531 339 104 54 Total Expenses ....................................21,653 19,768 3,492 1,808 Fees Paid Indirectly (Note C)............................. —(212) (15) (10) Net Expenses .........................................21,653 19,556 3,477 1,798 Net Investment Income (Loss)..........................464,438 332,006 54,226 55,379 Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**...........................567,193 (261,808) 122,152 (8,246) Futures .............................................21,037 5,988 — — Foreign Currency Transactions ......................... —5,590 2,170 309 Forward Currency Contracts ............................ — 8 (36) (18) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ..............(57,128) (32,753) 214,787 168,801 Futures .............................................(3,872) (852) — — Translation of Foreign Currency Denominated Amounts ..... —(908) (688) 22 Net Realized and Unrealized Gain (Loss).................527,230 (284,735) 338,385 160,868 Net Increase (Decrease) in Net Assets Resulting from Operations ...........................................$991,668 $ 47,271 $392,611 $216,247 ** Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 301 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (Amounts in thousands) The United Kingdom Small Company Series The Continental Small Company Series The Canadian Small Company Series The Emerging Markets Series The Emerging Markets Small Cap Series Investment Income Dividends (Net of Foreign Taxes Withheld of $50, $12,963, $2,757, $15,156 and $12,828, respectively)........................... $79,890 $ 89,305 $ 16,189 $ 110,969 $118,814 Interest ................................. — — — 55 47 Income from Securities Lending .............1,716 14,119 3,503 6,697 38,494 Total Investment Income ...............81,606 103,424 19,692 117,721 157,355 Expenses Investment Management Fees ..............1,820 3,945 747 4,522 9,995 Accounting & Transfer Agent Fees ........... 94 204 37 232 256 Custodian Fees .......................... 106 610 56 1,780 2,557 Shareholders’ Reports ..................... 8 14 3 18 22 Directors’/Trustees’ Fees & Expenses ........ 13 27 5 31 34 Professional Fees ........................ 39 183 13 254 171 Other ................................... 76 165 22 172 198 Total Expenses .......................2,156 5,148 883 7,009 13,233 Fees Paid Indirectly (Note C)...............(15) (36) (13) (69) (69) Net Expenses ............................2,141 5,112 870 6,940 13,164 Net Investment Income (Loss).............79,465 98,312 18,822 110,781 144,191 Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold*...............71,244 122,507 (24,152) (106,229) 140,851 Futures ............................... — 687 —5,752 4,055 Foreign Currency Transactions ............(1,277) (394) 229 975 457 Forward Currency Contracts .............. — (5) — (4)(116) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ............................(469,059) 27,064 135,836 512,891 400,224 Futures ............................... — 19 —(266) 289 Translation of Foreign Currency Denominated Amounts .................(215) (32) (6) 207 586 Net Realized and Unrealized Gain (Loss). . . (399,307) 149,846 111,907 413,326 546,346 Net Increase (Decrease) in Net Assets Resulting from Operations ................$(319,842) $248,158 $130,729 $ 524,107 $690,537 * Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $68, respectively. See accompanying Notes to Financial Statements. 302 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) The U.S. Large Cap Value Series The DFA International Value Series The Japanese Small Company Series Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).... $464,438 $ 413,724 $ 332,006 $ 313,826 $ 54,226 $ 43,264 Net Realized Gain (Loss) on: Investment Securities Sold*....567,193 858,150 (261,808) 244,684 122,152 69,828 Futures .....................21,037 (43) 5,988 — — — Foreign Currency Transactions .............. — —5,590 (5,879) 2,170 (1,869) Forward Currency Contracts . . . — — 8 — (36) — In-Kind Redemptions ......... — — — — —27,130 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ...........(57,128) (1,018,426) (32,753) (1,034,230) 214,787 85,013 Futures .....................(3,872) — (852) — — — Translation of Foreign Currency Denominated Amounts ...... — —(908) 654 (688) 382 Net Increase (Decrease) in Net Assets Resulting from Operations ..............991,668 253,405 47,271 (480,945) 392,611 223,748 Transactions in Interest: Contributions ..................1,812,211 1,769,181 1,394,282 1,070,207 224,138 102,092 Withdrawals ...................(981,368) (1,305,211) (939,918) (705,023) (115,843) (199,561) Net Increase (Decrease) from Transactions in Interest ....830,843 463,970 454,364 365,184 108,295 (97,469) Total Increase (Decrease) in Net Assets ..............1,822,511 717,375 501,635 (115,761) 500,906 126,279 Net Assets Beginning of Year ..............19,094,057 18,376,682 9,227,905 9,343,666 2,631,688 2,505,409 End of Year ...................$20,916,568 $19,094,057 $9,729,540 $ 9,227,905 $3,132,594 $2,631,688 * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 303 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) The Asia Pacific Small Company Series The United Kingdom Small Company Series The Continental Small Company Series Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)...... $55,379 $ 54,891 $ 79,465 $ 71,555 $ 98,312 $ 82,887 Net Realized Gain (Loss) on: Investment Securities Sold*.......(8,246) (15,143) 71,244 82,685 122,507 115,635 Futures .......................————687(4,875) Foreign Currency Transactions .... 309 (913) (1,277) 144 (394) (1,002) Forward Currency Contracts ......(18) — — — (5) — In-Kind Redemptions ............ —18,027 — 42,293 — 58,734 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ....................168,801 (224,570) (469,059) (104) 27,064 55,052 Futures .......................————19(19) Translation of Foreign Currency Denominated Amounts ......... 22 (13) (215) 86 (32) (57) Net Increase (Decrease) in Net Assets Resulting from Operations .................216,247 (167,721) (319,842) 196,659 248,158 306,355 Transactions in Interest: Contributions .....................137,711 119,899 112,811 12,907 441,553 454,912 Withdrawals .....................(26,496) (177,690) (193,617) (121,351) (195,529) (259,801) Net Increase (Decrease) from Transactions in Interest ......111,215 (57,791) (80,806) (108,444) 246,024 195,111 Total Increase (Decrease) in Net Assets ....................327,462 (225,512) (400,648) 88,215 494,182 501,466 Net Assets Beginning of Year .................1,228,274 1,453,786 2,084,113 1,995,898 3,653,743 3,152,277 End of Year ......................$1,555,736 $1,228,274 $1,683,465 $2,084,113 $4,147,925 $3,653,743 * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 304 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) The Canadian Small Company Series The Emerging Markets Series The Emerging Markets Small Cap Series Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)......... $18,822 $ 19,902 $ 110,781 $ 101,691 $ 144,191 $ 134,189 Net Realized Gain (Loss) on: Investment Securities Sold*.........(24,152) (9,138) (106,229) (99,010) 140,851 49,962 Futures .......................... — —5,752 2,478 4,055 — Foreign Currency Transactions ...... 229 149 975 (2,204) 457 (4,548) Forward Currency Contracts ......... — — (4) —(116) — In-Kind Redemptions ............... —8,042 ———— Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency .......................135,836 (228,267) 512,891 (686,412) 400,224 (693,734) Futures .......................... — —(266) — 289 — Translation of Foreign Currency Denominated Amounts ........... (6) 11 207 (95) 586 (241) Net Increase (Decrease) in Net Assets Resulting from Operations ...................130,729 (209,301) 524,107 (683,552) 690,537 (514,372) Transactions in Interest: Contributions .......................187,903 20,480 471,019 1,463,845 448,086 792,529 Withdrawals ........................(8,500) (37,476) (400,950) (562,189) (521,283) (301,288) Net Increase (Decrease) from Transactions in Interest .........179,403 (16,996) 70,069 901,656 (73,197) 491,241 Total Increase (Decrease) in Net Assets .......................310,132 (226,297) 594,176 218,104 617,340 (23,131) Net Assets Beginning of Year ...................623,132 849,429 4,403,555 4,185,451 4,898,307 4,921,438 End of Year ........................$933,264 $ 623,132 $4,997,731 $4,403,555 $5,515,647 $4,898,307 * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $68 and $0, respectively. See accompanying Notes to Financial Statements. 305 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS The U.S. Large Cap Value Series Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 TotalReturn .................................................... 4.75% 1.32% 15.67% 35.68% 18.31% Net Assets, End of Year (thousands)..................................$20,916,568 $19,094,057 $18,376,682 $14,838,988 $10,589,152 Ratio of Expenses to Average Net Assets .............................. 0.11% 0.11% 0.11% 0.11% 0.12% RatioofNetInvestmentIncometoAverageNetAssets.................... 2.39% 2.20% 1.90% 1.98% 2.15% PortfolioTurnoverRate............................................ 15% 16% 15% 15% 10% The DFA International Value Series Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 TotalReturn .................................................... (0.10)% (5.35)% (0.72)% 28.18% 3.17% Net Assets, End of Year (thousands).................................. $ 9,729,540 $ 9,227,905 $ 9,343,666 $ 8,792,130 $ 7,238,249 Ratio of Expenses to Average Net Assets .............................. 0.22% 0.22% 0.22% 0.22% 0.24% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly)..... 0.22% 0.22% 0.22% 0.22% 0.24% RatioofNetInvestmentIncometoAverageNetAssets.................... 3.72% 3.31% 4.50% 3.20% 3.75% PortfolioTurnoverRate............................................ 17% 21% 17% 15% 14% See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 306 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS The Japanese Small Company Series Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 TotalReturn.......................................... 14.53% 9.04% 2.46% 30.62% 0.54% Net Assets, End of Year (thousands)....................... $3,132,594 $2,631,688 $2,505,409 $2,281,624 $1,686,731 Ratio of Expenses to Average Net Assets ................... 0.13% 0.13% 0.13% 0.14% 0.15% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly).......................................... 0.13% 0.13% 0.13% 0.14% 0.15% RatioofNetInvestmentIncometoAverageNetAssets ......... 1.99% 1.69% 1.71% 1.87% 2.17% PortfolioTurnoverRate ................................. 10% 6% 9% 16% 7% The Asia Pacific Small Company Series Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 TotalReturn ........................................... 16.69% (11.83)% (3.46)% 10.97% 7.48% Net Assets, End of Year (thousands)........................ $1,555,736 $1,228,274 $1,453,786 $1,265,498 $1,003,860 Ratio of Expenses to Average Net Assets ..................... 0.13% 0.13% 0.13% 0.15% 0.16% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) ........................................... 0.13% 0.13% 0.13% 0.15% 0.16% RatioofNetInvestmentIncometoAverageNetAssets .......... 4.00% 4.17% 3.96% 4.64% 4.26% PortfolioTurnoverRate................................... 10% 7% 7% 9% 18% See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 307 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS The United Kingdom Small Company Series Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 TotalReturn............................................ (15.82)% 9.95% 1.22% 37.42% 23.41% Net Assets, End of Year (thousands)......................... $1,683,465 $2,084,113 $1,995,898 $1,988,287 $1,464,838 Ratio of Expenses to Average Net Assets ..................... 0.12% 0.11% 0.11% 0.12% 0.13% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) ............................................ 0.12% 0.11% 0.11% 0.12% 0.13% RatioofNetInvestmentIncometoAverageNetAssets ........... 4.36% 3.44% 2.98% 3.29% 3.37% PortfolioTurnoverRate ................................... 15% 10% 8% 17% 6% The Continental Small Company Series Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 TotalReturn............................................ 6.10% 9.81% (2.25)% 43.67% 2.29% Net Assets, End of Year (thousands)......................... $4,147,925 $3,653,743 $3,152,277 $3,217,766 $2,245,179 Ratio of Expenses to Average Net Assets ..................... 0.13% 0.13% 0.13% 0.14% 0.16% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly) ............................................ 0.13% 0.13% 0.13% 0.14% 0.16% RatioofNetInvestmentIncometoAverageNetAssets ........... 2.49% 2.44% 2.40% 2.67% 3.15% PortfolioTurnoverRate ................................... 9% 14% 13% 13% 9% See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 308 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS The Canadian Small Company Series Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 TotalReturn ......................................................... 20.77% (25.00)% (3.83)% 5.71% (2.51)% Net Assets, End of Year (thousands)...................................... $933,264 $ 623,132 $ 849,429 $ 741,204 $ 689,086 Ratio of Expenses to Average Net Assets ................................... 0.12% 0.12% 0.12% 0.13% 0.15% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly).......... 0.12% 0.12% 0.12% 0.13% 0.15% RatioofNetInvestmentIncometoAverageNetAssets ........................ 2.52% 2.73% 2.42% 2.99% 2.29% PortfolioTurnoverRate................................................. 8% 18% 5% 14% 22% The Emerging Markets Series Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 TotalReturn ......................................................... 11.44% (14.86)% 1.74% 6.99% 4.55% Net Assets, End of Year (thousands)...................................... $4,997,731 $4,403,555 $4,185,451 $3,766,160 $2,913,307 Ratio of Expenses to Average Net Assets ................................... 0.15% 0.16% 0.15% 0.16% 0.20% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly).......... 0.15% 0.16% 0.15% 0.16% 0.20% RatioofNetInvestmentIncometoAverageNetAssets ........................ 2.45% 2.39% 2.51% 2.38% 2.55% PortfolioTurnoverRate................................................. 5% 9% 5% 4% 5% See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 309 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS The Emerging Markets Small Cap Series Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 TotalReturn ......................................................... 14.45% (9.42)% 5.60% 9.41% 7.19% Net Assets, End of Year (thousands)...................................... $5,515,647 $4,898,307 $4,921,438 $4,091,523 $2,953,350 Ratio of Expenses to Average Net Assets ................................... 0.26% 0.26% 0.26% 0.29% 0.36% Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly).......... 0.26% 0.27% 0.26% 0.29% 0.36% RatioofNetInvestmentIncometoAverageNetAssets ........................ 2.89% 2.62% 2.48% 2.37% 2.48% PortfolioTurnoverRate................................................. 18% 18% 9% 11% 13% See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 310 THE DFA INVESTMENT TRUST COMPANY NOTES TO FINANCIAL STATEMENTS A. Organization: The DFA Investment Trust Company (the “Trust”) is an open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of eleven portfolios, nine of which are included in this section of the report (collectively, the “Series”). The remaining operational portfolios are presented in separate reports. The Series are investment companies, and accordingly, follow the accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Certification (“ASC”) Topic 946, “Financial Services-Investment Companies.” Domestic Equity Portfolio International Equity Portfolios The U.S. Large Cap Value Series The DFA International Value Series The Japanese Small Company Series The Asia Pacific Small Company Series The United Kingdom Small Company Series The Continental Small Company Series The Canadian Small Company Series The Emerging Markets Series The Emerging Markets Small Cap Series B. Significant Accounting Policies: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Trust in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1.Security Valuation:The Series utilize a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: • Level 1 – inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, futures contracts) • Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) • Level 3 – significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments) Securities held by the Domestic Equity Portfolio and the International Equity Portfolios, including over-the-counter securities, are valued at the last quoted sale price of the day. International equity securities are subject to a fair value factor, as described later in this note. Securities held by the Domestic Equity Portfolio and the International Equity Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing Price (“NOCP”). If there is no last reported sale price or NOCP for the day, the Domestic Equity Portfolio and the International Equity Portfolios value the securities within the range of the most recent quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end management investment companies are valued using their respective net asset values or public offering prices, as appropriate, for purchase orders placed at the close of the New York Stock Exchange (NYSE). These securities are generally categorized as Level 1 in the hierarchy. 311 Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Trustees of the Trust. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of Dimensional Fund Advisors LP) occur before the net asset value of the Series is calculated. When fair value pricing is used, the prices of securities used by the Domestic Equity Portfolio and the International Equity Portfolios may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the time that the net asset values of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets’ perceptions and trading activities on the International Equity Portfolios’ foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Trustees of the International Equity Portfolios has determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the International Equity Portfolios utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When an International Equity Portfolio uses fair value pricing, the values assigned to the International Equity Portfolio’s foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. Futures contracts held by the Series are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts, do not require material subjectivity as pricing inputs are observed from quoted markets and are categorized as Level 2 in the hierarchy. A summary of the inputs used to value the Series’ investments by each major security type, industry and/or country is disclosed previously in this note. Valuation hierarchy tables have been included at the end of the Summary Schedules of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. The Series recognize transfers between the levels as of the end of the period. As of October 31, 2016, The Emerging Markets Series and Emerging Markets Small Cap Series had significant transfers of securities with a total value of $334,768 and $554,874 (in thousands), respectively, that transferred from Level 2 to Level 1 because fair value procedures were no longer applied. 2.Foreign Currency Translation:Securities and other assets and liabilities of the International Equity Portfolios, whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recent bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked-to-market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The International Equity Portfolios do not isolate the effect of fluctuations in foreign currency rates when determining the realized gain or loss upon the sale or maturity of foreign currency denominated debt obligations pursuant to U.S. Federal income tax regulations; such amounts are categorized as foreign exchange gain or loss for income tax reporting purposes. 312 Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and any foreign withholding taxes recorded on the books of the International Equity Portfolios and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan:Each eligible Trustee of the Trust may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the “Plan”). Under the Plan, effective January 1, 2002, such Trustees may defer payment of all or a portion of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Trustees’ Fees & Expenses. Each Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed-upon years; or quarterly installments over a period of agreed- upon years. Each Trustee shall have the right in a notice of election (the “Notice”) to defer the receipt of the Trustee’s deferred compensation until a date specified by such Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Trustee ceases to be a member of the Board of Trustees of the Trust; and (ii) five years following the effective date of the Trustee’s first deferral election. If a Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Trustee’s deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Trustee ceases to be a member of the Board (unless the Trustee files an amended Notice selecting a different distribution date). As of October 31, 2016, none of the Trustees have requested or received a distribution of proceeds of a deferred fee account. 4. Other:Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities and foreign currency are accounted for on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments or as a realized gain, respectively. The Series estimate the character of distributions received that may be considered return of capital distributions. Interest income is recorded on an accrual basis. Discount and premium on securities purchased are amortized over the lives of the respective securities, utilizing the effective interest method. Expenses directly attributable to a Series are directly charged. Common expenses of the Trust or Series are allocated using methods approved by the Board of Trustees, generally based on average net assets. The International Equity Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Series accrue such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. The Emerging Markets Series and The Emerging Markets Small Cap Series are subject to a 15% tax on short- term capital gains for investments in India. Such taxes are due upon sale of individual securities. The capital gains taxes are recognized when the capital gains are earned. 313 C. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides investment management services to the Series. For the year ended October 31, 2016, the Series’ investment management fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: The U.S. Large Cap Value Series ...............................................0.10% The DFA International Value Series .............................................0.20% The Japanese Small Company Series ...........................................0.10% The Asia Pacific Small Company Series .........................................0.10% The United Kingdom Small Company Series ......................................0.10% The Continental Small Company Series ..........................................0.10% The Canadian Small Company Series ...........................................0.10% The Emerging Markets Series ..................................................0.10% The Emerging Markets Small Cap Series .........................................0.20% Earned Income Credit: In addition, the Series have entered into arrangements with their custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of each Series’ custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. The impact of such credits is generally less than one basis point of each Series’ net assets. During the year ended October 31, 2016, expenses reduced were as follows (amounts in thousands): Fees Paid Indirectly The DFA International Value Series ..........................................$212 The Japanese Small Company Series ........................................ 15 The Asia Pacific Small Company Series ...................................... 10 The United Kingdom Small Company Series .................................. 15 The Continental Small Company Series ...................................... 36 The Canadian Small Company Series ........................................ 13 The Emerging Markets Series .............................................. 69 The Emerging Markets Small Cap Series ..................................... 69 Fees Paid to Officers and Directors/Trustees: Certain Officers and Trustees of the Advisor are also Officers and Trustees of the Trust; however, such Officers and Trustees (with the exception of the Chief Compliance Officer (“CCO”)) receive no compensation from the Trust. For the year ended October 31, 2016, the total related amounts paid by the Trust to the CCO were $83 (in thousands). The total related amounts paid by each of the Series are included in Other Expenses on the Statement of Operations. D. Deferred Compensation: At October 31, 2016, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follows (amounts in thousands): The U.S. Large Cap Value Series ..............................................$478 The DFA International Value Series ............................................. 321 The Japanese Small Company Series ........................................... 75 The Asia Pacific Small Company Series ......................................... 39 The United Kingdom Small Company Series ..................................... 50 The Continental Small Company Series ......................................... 95 The Canadian Small Company Series ........................................... 23 The Emerging Markets Series ................................................. 122 The Emerging Markets Small Cap Series ........................................ 97 314 E. Purchases and Sales of Securities: For the year ended October 31, 2016, the Series transactions related to investment securities, other than short-term securities and U.S. government securities (amounts in thousands): Purchases Sales The U.S. Large Cap Value Series .............................$4,375,099 $2,884,283 The DFA International Value Series ............................2,247,033 1,472,195 The Japanese Small Company Series ..........................435,288 279,916 The Asia Pacific Small Company Series ........................305,915 130,653 The United Kingdom Small Company Series ....................317,512 275,930 The Continental Small Company Series ........................698,769 338,855 The Canadian Small Company Series ..........................264,983 63,519 The Emerging Markets Series ................................408,207 255,204 The Emerging Markets Small Cap Series .......................921,870 872,555 There were no purchases or sales of long-term U.S. government securities. F. Federal Income Taxes: No provision for federal income taxes is required since the Series are treated as partnerships for federal income tax purposes. Any net investment income and realized and unrealized gains and losses have been deemed to have been “passed down” to their respective partners. At October 31, 2016, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands): Federal Tax Cost Unrealized Appreciation Unrealized Depreciation Net Unrealized Appreciation (Depreciation) The U.S. Large Cap Value Series ..................$16,161,109 $6,178,300 $ (588,105) $5,590,195 The DFA International Value Series .................10,045,899 1,179,180 (1,189,241) (10,061) The Japanese Small Company Series ...............2,964,544 692,022 (267,614) 424,408 The Asia Pacific Small Company Series .............1,857,750 330,139 (380,660) (50,521) The United Kingdom Small Company Series .........1,690,364 319,739 (284,407) 35,332 The Continental Small Company Series .............3,879,139 1,155,725 (551,479) 604,246 The Canadian Small Company Series ...............1,376,781 117,905 (349,463) (231,558) The Emerging Markets Series .....................4,047,616 1,441,316 (391,180) 1,050,136 The Emerging Markets Small Cap Series ............5,926,076 1,151,901 (962,233) 189,668 The difference between book-basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales and investments in passive foreign investment companies. Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed the Series’ tax positions and has concluded that no additional provision for income tax is required in any Series’ financial statements. The Series are not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Series’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. 315 G. Financial Instruments: In accordance with the Series’ investment objectives and policies, the Series may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1.Foreign Market Risks:Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Series may be inhibited. Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Series. 2.Futures Contracts:The Series may purchase or sell futures contracts and options on futures contracts for equity securities and indices to adjust market exposure based on actual or expected cash inflows to or outflows from the Series. The Series, however, do not intend to sell futures contracts to establish short positions in individual securities. Upon entering into a futures contract, the Series deposit cash or pledge U.S. government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Series as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Series record a realized gain or loss, which is presented in the Statements of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Series could lose more than the initial margin requirements. The Series entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. At October 31, 2016, the following Series had outstanding futures contracts (dollar amounts in thousands): Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral The U.S. Large Cap Value Series ................ S&P500Emini Index ®12/16/16 1,336 $141,623 $(3,872) $6,012 $141,623 $(3,872) $6,012 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral The DFA International Value Series ...........MINI MSCI EAFE Index ®12/16/16 280 $23,320 $(852) $1,176 $23,320 $(852) $1,176 316 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral The Emerging Markets Series ............ MINI MSCI Emerging Markets Index®12/16/16 649 $29,319 $(266) $1,298 $29,319 $(266) $1,298 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral The Emerging Markets Small Cap Series . . . MINI MSCI Emerging Markets Index®12/16/16 470 $21,232 $289 $940 $21,232 $289 $940 3.Forward Currency Contracts: The International Equity Portfolios may acquire and sell forward currency contracts to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies (foreign exchange rate risk). The decision to hedge a Series’ currency exposure with respect to a foreign market will be based primarily on the Series’ existing exposure to a given foreign currency. Each contract is valued daily and the change in value is recorded by the Series as an unrealized gain or loss, which is presented in the Statements of Operations as the change in unrealized appreciation or depreciation from translation of foreign currency denominated amounts. When the contract is closed or offset with the same counterparty, the Series records a realized gain or loss equal to the change in the value of the contract when it was opened and the value at the time it was closed or offset. This is presented in the Statements of Operations as a net realized gain or loss on foreign currency transactions. At October 31, 2016, the International Equity Portfolios had no outstanding forward currency contracts. The average volume (based on the open positions at each fiscal month-end) of derivative activity for the year ended October 31, 2016 (amounts in thousands): Forward Currency Contracts Futures The U.S. Large Cap Value Series ................................. — $108,242 The DFA International Value Series*............................... $402 58,270 The Asia Pacific Small Company Series*........................... 341 — The Canadian Small Company Series*............................. 114 — The Emerging Markets Series*.................................... 141 22,025 The Emerging Markets Small Cap Series ........................... —21,122 * The Series had derivative activity during the period but it did not have open forward currency contract positions at October 31, 2016. The following is a summary of the location of derivatives on the Series’ Statements of Assets and Liabilities as of October 31, 2016: Location on the Statements of Assets and Liabilities Derivative Type Asset Derivatives Liability Derivatives Equity contracts Receivables: Futures Margin Variation Payables: Futures Margin Variation 317 The following is a summary of the Series’ derivative instrument holdings categorized by primary risk exposure as of October 31, 2016 (amounts in thousands): Asset Derivatives Value Total Value at October 31, 2016 Equity Contracts* The Emerging Markets Small Cap Series ............................. 289 289 Liability Derivatives Value Total Value at October 31, 2016 Equity Contracts* The U.S. Large Cap Value Series ....................................(3,872) (3,872) The DFA International Value Series ..................................(852) (852) The Emerging Markets Series .......................................(266) (266) * Includes cumulative appreciation (depreciation) of futures contracts. Only current day’s margin variation is reported within the Statements of Assets and Liabilities. The following is a summary of the location and value of derivative instrument holdings on the Series’ Statements of Operations categorized by primary risk exposure for the year ended October 31, 2016: Derivative Type Location of Gain (Loss) on Derivatives Foreign exchange contracts Net Realized Gain (Loss) on: Foreign Currency Transactions Equity contracts Net Realized Gain on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures The following is a summary of the realized and change in unrealized gains and losses from the Series’ derivative instrument holdings categorized by primary risk exposure through the year ended October 31, 2016 (amounts in thousands): Realized Gain (Loss) on Derivatives Total Foreign Exchange Contracts Equity Contracts The U.S. Large Cap Value Series ................................ $21,037 — $21,037 The DFA International Value Series ..............................5,996 $ 8 5,988 The Japanese Small Company Series ............................(36) (36) — The Asia Pacific Small Company Series ..........................(18) (18) — The Continental Small Company Series ........................... 682 (5) 687 The Emerging Markets Series ...................................5,748 (4) 5,752 The Emerging Markets Small Cap Series .........................3,939 (116) 4,055 Change in Unrealized Appreciation (Depreciation) on Derivatives Total Foreign Exchange Contracts Equity Contracts The U.S. Large Cap Value Series ................................ $(3,872) — $ (3,872) The DFA International Value Series ..............................(852) — (852) The Continental Small Company Series ........................... 19 — 19 The Emerging Markets Series ...................................(266) — (266) The Emerging Markets Small Cap Series ......................... 289 — 289 318 H. Line of Credit and Interfund Lending Program: The Trust, together with other Dimensional-advised portfolios, has entered into a $500 million uncommitted, unsecured discretionary line of credit effective March 30, 2016, with its domestic custodian bank. A line of credit with similar terms was in effect through March 29, 2016. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on March 29, 2017. The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit with its international custodian bank effective January 8, 2016. A line of credit with similar terms was in effect through January 7, 2016. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The line of credit agreement expires on January 7, 2017. For the year ended October 31, 2016, borrowings by the Series under the lines of credit were as follows (amounts in thousands, except percentages and days): Weighted Average Interest Rate Weighted Average Loan Balance Number of Days Outstanding* Interest Expense Incurred Maximum Amount Borrowed During the Period The U.S. Large Cap Value Series .........0.87% $53,510 3 $ 4 $56,418 The DFA International Value Series .......0.96% 6,426 14 2 40,666 The Japanese Small Company Series .....1.06% 4,697 23 3 35,507 The Asia Pacific Small Company Series ....1.07% 120 11 — 188 The United Kingdom Small Company Series ..............................1.02% 3,099 17 1 18,012 The Continental Small Company Series ....1.10% 8,539 14 4 33,487 The Canadian Small Company Series ......1.12% 1,826 1 — 1,826 The Emerging Markets Series ............1.06% 11,513 33 11 27,055 The Emerging Markets Small Cap Series . . . 1.04% 16,966 30 16 92,715 * Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2016, that each Series’ available line of credit was utilized. There were no outstanding borrowings by the Series under the lines of credit as of October 31, 2016. Pursuant to an exemptive order issued by the SEC (the “Order’’), the Series may participate in an interfund lending program among certain portfolios managed by the Advisor (portfolios that operate as feeder funds do not participate in the program). The program allows the participating portfolios to borrow money from and loan money to each other for temporary or emergency purposes, subject to the conditions in the Order. A loan can only be made through the program if the interfund loan rate on that day is more favorable to both the borrowing and lending portfolios as compared to rates available through short-term bank loans or investments in overnight repurchase agreements and money market funds, respectively, as detailed in the Order. Further, a portfolio may participate in the program only if and to the extent that such participation is consistent with its investment objectives and limitations. lnterfund loans have a maximum duration of seven days and may be called on one business day’s notice. The Series did not utilize the interfund lending program during the year ended October 31, 2016. 319 I. Affiliated Trades: Cross trades for the year ended October 31, 2016, if any, were executed by the Series pursuant to procedures adopted by the Board of Trustees of the Trust to ensure compliance with Rule 17a-7 under the Investment Company Act of 1940 (the “1940 Act”). Cross trading is the buying or selling of portfolio securities between series of investment companies, or between a series of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers. At its regularly scheduled meetings, the Board reviews such transactions for compliance with the requirements and restrictions set forth by Rule 17a-7 under the 1940 Act. For the year ended October 31, 2016, cross trades by the Series under Rule 17a-7 were as follows (amounts in thousands): Portfolio Purchases Sales Realized Gain (Loss) The U.S. Large Cap Value Series ....................... $259,866 $167,106 $ 13,371 The DFA International Value Series .....................100,986 137,382 (50,541) The Japanese Small Company Series ...................42,370 46,367 3,752 The Asia Pacific Small Company Series ..................29,585 29,869 (873) The Continental Small Company Series ..................36,654 49,457 1,095 The Canadian Small Company Series ...................29,808 29,863 1,183 The Emerging Markets Series ..........................4,946 5,107 (252) The Emerging Markets Small Cap Series .................4,788 6,157 876 J. Securities Lending: As of October 31, 2016, each Series had securities on loan to brokers/dealers, for which each such Series received cash collateral. The non-cash collateral includes short-and/or long-term U.S. Treasuries and U.S. Government Agency Securities as follows (amounts in thousands): Market Value Overinvested Cash The U.S. Large Cap Value Series ...............................$631,247 — The DFA International Value Series .............................21,237 — The Japanese Small Company Series ...........................8,397 — The Asia Pacific Small Company Series .........................22,601 — The Continental Small Company Series ..........................4,118 — The Canadian Small Company Series ........................... —$(529) The Emerging Markets Series ..................................88,488 — The Emerging Markets Small Cap Series .........................382,300 — Each Series invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral in an amount (i) equal to at least 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) generally equal to 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) generally equal to 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Series’ collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the option of the lending agent, to replace the securities. In the event of the bankruptcy of the borrower, a Series could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value. Subject to their stated investment policies, each Series will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the “Money Market Series”), an affiliated registered 320 money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. Such Series also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage- backed securities. In addition, each Series will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of October 31, 2016: Remaining Contractual Maturity of the Agreements As of October 31, 2016 Overnight and Continuous <30 days Between 30 & 90 days >90 days Total Securities Lending Transactions The U.S. Large Cap Value Series Common Stocks, Rights/Warrants .........$820,651,306 — — — $820,651,306 The DFA International Value Series Common Stocks .......................$370,102,917 — — — $370,102,917 The Japanese Small Company Series Common Stocks .......................$280,961,564 — — — $280,961,564 The Asia Pacific Small Company Series Common Stocks .......................$261,843,149 — — — $261,843,149 The United Kingdom Small Company Series Common Stocks ....................... $56,583,806 — — — $ 56,583,806 The Continental Small Company Series Common Stocks, Rights/Warrants .........$350,189,570 — — — $350,189,570 The Canadian Small Company Series Common Stocks .......................$214,141,764 — — — $214,141,764 The Emerging Markets Series Common Stocks .......................$143,647,490 — — — $143,647,490 The Emerging Markets Small Cap Series Common Stocks .......................$648,630,910 — — — $648,630,910 K. Indemnitees; Contractual Obligations: Under the Trust’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties that provide general indemnification. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. L. Other: The Series and the Trust are subject to claims and suits that arise from time to time in the ordinary course of business. Although management currently believes that resolving claims against us, individually or in aggregate, will not have a material adverse impact on our financial position, our results of operations, or our cash flows, these matters are subject to inherent uncertainties and management’s view of these matters may change in the future. The U.S. Large Cap Value Series has been named as a defendant in a multi-district litigation pending in the United States District Court for the Southern District of New York (the “Court”), captioned IN RE TRIBUNE 321 COMPANY FRAUDULENT CONVEYANCE LITIGATION, No. 11-MD-2296-RJS (the “Tribune MDL”). The Tribune MDL arises from the 2007 leveraged buyout of The Tribune Company (“Tribune”) (the “LBO”) and Tribune’s subsequent bankruptcy and reorganization. In connection with the LBO, thousands of Tribune shareholders, including The U.S. Large Cap Value Series, sold Tribune shares back to Tribune for $34 per share. The Tribune MDL includes a series of lawsuits brought by individual creditors of Tribune (the “Individual Creditor Actions”) and a lawsuit brought by a court-appointed trustee on behalf of the committee of unsecured creditors of Tribune (the “Committee Action,” and with the Individual Creditor Actions, collectively referred to as the “Lawsuits”). The Lawsuits seek to unwind the LBO stock repurchases as fraudulent transfers and recover the stock repurchase proceeds paid to the Tribune shareholders who participated in the LBO. On September 23, 2013, the Court entered an order dismissing the Individual Creditor Actions in their entirety on the grounds that the individual creditor plaintiffs lack standing to pursue their claims. The parties appealed the Court’s dismissal order to the Second Circuit, and, on March 29, 2016, the Second Circuit affirmed the dismissal, albeit on the grounds that the individual creditor plaintiffs’ claims are preempted by the Bankruptcy Code’s safe harbor for securities transactions. The Committee Action remains pending, and a motion to dismiss on behalf of all shareholder defendants in the Committee Action was filed on May 23, 2014. The motion to dismiss is fully-briefed, and the parties await the scheduling of oral argument on the motion. The Committee Action is stayed pending the disposition of the motion to dismiss. Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has advised management that it does not believe that it is possible, at this early stage in the proceedings, to predict with any reasonable certainty the probable outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series can do so, no reduction of the net asset value of The U.S. Large Cap Value Series will be made relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain the full recovery the plaintiffs seek, the amount would be less than 1% of The U.S. Large Cap Value Series’ net asset value at this time. The U.S. Large Cap Value Series also cannot quantify the cost of the Lawsuits that could potentially be deducted from its net asset value. Therefore, at this time, those investors buying or redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the case may be, a price based on the net asset value of The U.S. Large Cap Value Series with no adjustment relating to the Lawsuits. The attorneys’ fees and costs relating to the Lawsuits will be taken as expenses by The U.S. Large Cap Value Series as incurred and in a manner similar to any other expense incurred by The U.S. Large Cap Value Series. M. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Series through the date that the financial statements were issued and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 322 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Trustees of The DFA Investment Trust Company and Shareholders of the Series, as defined: In our opinion, the accompanying statements of assets and liabilities, including the summary schedules of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of The U.S. Large Cap Value Series, The DFA International Value Series, The Japanese Small Company Series, The Asia Pacific Small Company Series, The United Kingdom Small Company Series, The Continental Small Company Series, The Canadian Small Company Series, The Emerging Markets Series and The Emerging Markets Small Cap Series (constituting portfolios within The DFA Investment Trust Company, hereafter referred to as the “Series”) as of October 31, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Series’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of October 31, 2016 by correspondence with the custodians, brokers and the transfer agent of the investee fund, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 20, 2016 323 DIMENSIONAL EMERGING MARKETS VALUE FUND PERFORMANCE CHARTS (Unaudited) Dimensional Emerging Markets Value Fund vs. MSCI Emerging Markets Index (net dividends) October 31, 2006-October 31, 2016 Growth of $10,000 $14,091 $14,954 $0 $10,000 $30,000 $20,000 10/06 10/162007 2008 2009 2010 2011 2012 2013 2014 2015 Dimensional Emerging Markets Value Fund MSCI Emerging Markets Index (net dividends) Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. MSCI data copyright MSCI 2016, all rights reserved. Average Annual Total Return One Year Five Years Ten Years 15.80% 0.60% 4.11% 324 DIMENSIONAL EMERGING MARKETS VALUE FUND MANAGEMENT DISCUSSION AND ANALYSIS (Unaudited) International Equity Market Review 12 Months Ended October 31, 2016 Emerging markets had stronger performance over the period than non-U.S. developed markets. As measured by the MSCI emerging markets indices, small-cap stocks underperformed large-cap stocks, and growth stocks outperformed value stocks. 12 Months Ended October 31, 2016 Return in U.S. Dollars MSCI Emerging Markets Index ....................................................9.27% MSCI Emerging Markets Small Cap Index ...........................................4.78% MSCI Emerging Markets Value Index ...............................................8.60% MSCI Emerging Markets Growth Index ..............................................9.81% During the period, the performance of the U.S. dollar was mixed when compared against the currencies of emerging markets. In particular, while the U.S. dollar appreciated significantly against the Mexican peso, it also depreciated significantly against the Brazilian real. Overall, currency fluctuations benefitted from USD-denominated returns in emerging markets. 12 Months Ended October 31, 2016 Ten Largest Emerging Markets by Market Cap Local Return Return in U.S. Dollars China ..............................................................1.62% 1.54% Korea .............................................................5.56% 5.17% Taiwan ............................................................14.56% 17.85% India ..............................................................6.28% 3.99% South Africa ........................................................-0.92% 1.46% Brazil ..............................................................40.59% 70.69% Mexico .............................................................8.65% -4.51% Russia .............................................................17.86% 18.61% Malaysia ...........................................................4.44% 6.95% Indonesia ..........................................................26.13% 32.31% Source: Returns are of MSCI standard indices net of foreign withholding taxes on dividends. Copyright MSCI 2016, all rights reserved. For funds investing in non-US equities traded outside of the U.S. market time zone, differences in the valuation timing and methodology between a fund and its benchmark index may impact relative performance over the referenced period. The funds price foreign exchange rates at the closing of the U.S. market while their benchmark indices use rates at 4 pm London time. The funds also may use fair value pricing to price certain portfolio securities at the closing of the U.S. market, while benchmark indices may use local market closing prices. For the one-year period ended October 31, 2016, these differences generally benefitted the funds’ relative performance. Dimensional Emerging Markets Value Fund The Dimensional Emerging Markets Value Fund is designed to capture the returns of value stocks of large and small companies in selected emerging markets. Value is measured primarily by price-to-book ratio. The investment strategy is process driven, emphasizing broad diversification. As of October 31, 2016, the Fund held approximately 2,200 securities across 19 eligible emerging markets. In general, average cash exposure throughout the year was less than 1% of the Fund’s assets. 325 For the 12 months ended October 31, 2016, total returns were 15.80% for the Fund and 9.27% for the MSCI Emerging Markets Index (net dividends), the Fund’s benchmark. As a result of the Fund’s diversified investment approach, performance was generally determined by broad trends in emerging markets rather than by the behavior of a limited number of stocks. The Fund invests primarily in low relative price (value) stocks, while the benchmark is neutral with regard to value or growth stocks. The Fund’s emphasis on the lowest relative price (deep value) stocks contributed positively to its performance relative to the benchmark, as that segment of the market outperformed for the year, especially among small-caps. In addition, differences in country allocations contributed positively to the Fund’s relative performance. The Fund held a lesser allocation to China, which underperformed, and a larger allocation to Brazil, which outperformed, in each case contributing positively to relative performance. 326 DIMENSIONAL EMERGING MARKETS VALUE FUND DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund’s costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return and “Expenses Paid During Period” reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.” Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund’s costs with those of other mutual funds. The hypothetical “Ending Account Value” and “Expenses Paid During Period” are derived from the fund’s actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The “Annualized Expense Ratio” represents the actual expenses for the six-month period indicated. Six Months Ended October 31, 2016 EXPENSE TABLES Beginning Account Value 05/01/16 Ending Account Value 10/31/16 Annualized Expense Ratio* Expenses Paid During Period* Dimensional Emerging Markets Value Fund Actual Fund Return ............................$1,000.00 $1,108.20 0.16% $0.85 Hypothetical 5% Annual Return ..................$1,000.00 $1,024.33 0.16% $0.81 * Expenses are equal to the fund’s annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (184), then divided by the number of days in the year (366) to reflect the six-month period. 327 DIMENSIONAL EMERGING MARKETS VALUE FUND DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For the Dimensional Emerging Markets Value Fund, this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. Dimensional Emerging Markets Value Fund filed its most recent Form N-Q with the SEC on September 28, 2016. They are available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). SEC regulations permit a fund to include in its reports to shareholders a “Summary Schedule of Portfolio Holdings” in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund’s 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund’s net assets at the end of the reporting period. The regulations also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. A fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Dimensional Emerging Markets Value Fund Consumer Discretionary ..........9.5% Consumer Staples ...............4.2% Energy ........................16.8% Financials ......................29.6% Health Care ....................0.5% Industrials ......................9.2% Information Technology ...........8.0% Materials .......................15.2% Real Estate .....................3.2% Telecommunication Services ......2.0% Utilities ........................1.8% 100.0% 328 DIMENSIONAL EMERGING MARKETS VALUE FUND SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS October 31, 2016 Shares Value†† Percentage of Net Assets** COMMON STOCKS — (92.2%) BRAZIL — (6.2%) Banco do Brasil SA .....................................11,814,302 $ 108,408,805 0.7% BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros .............................................13,256,844 78,079,156 0.5% Kroton Educacional SA ..................................13,035,605 64,932,995 0.4% * Petroleo Brasileiro SA ...................................12,763,637 74,534,522 0.5% * Petroleo Brasileiro SA Sponsored ADR ....................22,735,012 265,317,590 1.6% # Vale SA Sponsored ADR ................................16,396,265 113,462,154 0.7% Other Securities ........................................357,181,075 2.0% TOTAL BRAZIL .............................................1,061,916,297 6.4% CHILE — (1.5%) Other Securities ........................................256,066,436 1.5% CHINA — (14.1%) Agricultural Bank of China, Ltd. Class H ....................188,329,000 79,224,525 0.5% Bank of China, Ltd. Class H ..............................535,573,817 240,000,782 1.5% China Construction Bank Corp. Class H ....................692,941,101 506,017,971 3.1% China Petroleum & Chemical Corp. ADR ...................1,158,578 83,904,204 0.5% # China Unicom Hong Kong, Ltd. ADR ......................7,246,321 84,926,882 0.5% CNOOC, Ltd...........................................117,592,000 147,962,957 0.9% Industrial & Commercial Bank of China, Ltd. Class H .........372,912,996 223,837,040 1.4% Other Securities ........................................1,040,193,122 6.1% TOTAL CHINA .............................................2,406,067,483 14.5% COLOMBIA — (0.2%) Other Securities ........................................34,189,337 0.2% CZECH REPUBLIC — (0.2%) Other Securities ........................................42,272,990 0.3% GREECE — (0.0%) Other Securities ........................................7,063,890 0.0% HONG KONG — (0.0%) Other Securities ........................................679,848 0.0% HUNGARY — (0.6%) OTP Bank P.L.C........................................2,918,488 81,788,121 0.5% Other Securities ........................................18,500,396 0.1% TOTAL HUNGARY ..........................................100,288,517 0.6% INDIA — (13.1%) Axis Bank, Ltd..........................................10,438,329 76,215,999 0.5% ICICI Bank, Ltd. Sponsored ADR ..........................16,081,202 133,313,164 0.8% Reliance Industries, Ltd..................................19,870,744 312,234,750 1.9% Tata Motors, Ltd........................................15,010,621 119,339,370 0.7% Other Securities ........................................1,597,583,381 9.5% TOTAL INDIA ..............................................2,238,686,664 13.4% INDONESIA — (3.1%) Bank Mandiri Persero Tbk PT ............................95,456,931 84,083,115 0.5% Other Securities ........................................446,507,146 2.7% TOTAL INDONESIA .........................................530,590,261 3.2% 329 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED Shares Value†† Percentage of Net Assets** MALAYSIA — (3.4%) Other Securities ........................................ $577,744,389 3.5% MEXICO — (5.1%) * Cemex S.A.B. de C.V. Sponsored ADR ....................13,493,350 117,122,279 0.7% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR ...............................................1,633,336 156,261,255 0.9% # Grupo Financiero Banorte S.A.B. de C.V. Class O ...........21,258,812 125,409,107 0.8% Grupo Mexico S.A.B. de C.V. Series B .....................36,736,533 90,184,389 0.6% Other Securities ........................................385,259,751 2.3% TOTAL MEXICO ............................................874,236,781 5.3% PHILIPPINES — (1.1%) Other Securities ........................................191,803,333 1.2% POLAND — (1.5%) # Polski Koncern Naftowy Orlen SA .........................3,609,126 71,505,205 0.4% Other Securities ........................................191,714,537 1.2% TOTAL POLAND ...........................................263,219,742 1.6% RUSSIA — (2.2%) Gazprom PJSC Sponsored ADR ..........................61,401,592 264,756,173 1.5% Lukoil PJSC Sponsored ADR .............................1,526,223 74,239,014 0.4% Other Securities ........................................29,810,325 0.3% TOTAL RUSSIA ............................................368,805,512 2.2% SOUTH AFRICA — (7.1%) Barclays Africa Group, Ltd................................5,579,767 64,750,119 0.4% MTN Group, Ltd........................................10,762,518 92,959,482 0.6% Sasol, Ltd.............................................3,802,484 105,005,545 0.6% Standard Bank Group, Ltd................................16,569,484 175,889,757 1.1% Steinhoff International Holdings NV ........................24,951,223 134,603,568 0.8% Other Securities ........................................632,956,606 3.7% TOTAL SOUTH AFRICA .....................................1,206,165,077 7.2% SOUTH KOREA — (14.1%) Hana Financial Group, Inc................................3,086,346 88,276,195 0.5% Hyundai Motor Co......................................1,517,445 185,263,981 1.1% KB Financial Group, Inc. ADR ............................3,020,559 111,700,272 0.7% Kia Motors Corp........................................2,442,082 86,715,201 0.5% # LG Electronics, Inc......................................1,692,217 70,543,997 0.4% POSCO ..............................................533,590 111,025,370 0.7% POSCO Sponsored ADR ................................1,449,591 75,306,252 0.5% Shinhan Financial Group Co., Ltd..........................3,520,728 134,682,551 0.8% SK Innovation Co., Ltd...................................752,489 99,053,339 0.6% Other Securities ........................................1,442,859,087 8.6% TOTAL SOUTH KOREA .....................................2,405,426,245 14.4% TAIWAN — (14.0%) # First Financial Holding Co., Ltd............................144,043,234 75,453,806 0.5% # Fubon Financial Holding Co., Ltd..........................92,306,471 130,605,137 0.8% Mega Financial Holding Co., Ltd...........................129,885,796 88,800,916 0.6% # Pegatron Corp.........................................24,483,998 65,929,943 0.4% # United Microelectronics Corp.............................216,382,681 80,538,501 0.5% Other Securities ........................................1,956,054,996 11.6% TOTAL TAIWAN ............................................2,397,383,299 14.4% 330 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED Shares Value†† Percentage of Net Assets** THAILAND — (3.3%) PTTPCL ..............................................21,629,500 $ 213,838,331 1.3% Other Securities .........................................349,702,709 2.1% TOTAL THAILAND ...........................................563,541,040 3.4% TURKEY — (1.4%) Other Securities .........................................240,781,051 1.4% TOTAL COMMON STOCKS ...................................15,766,928,192 94.7% PREFERRED STOCKS — (4.3%) BRAZIL — (4.2%) * Petroleo Brasileiro SA ....................................28,867,973 159,985,728 1.0% #* Petroleo Brasileiro SA Sponsored ADR .....................22,867,709 252,916,862 1.5% Vale SA ...............................................23,147,649 149,604,010 0.9% # Vale SA Sponsored ADR .................................10,365,717 66,755,217 0.4% Other Securities .........................................90,363,373 0.5% TOTAL BRAZIL .............................................719,625,190 4.3% COLOMBIA — (0.1%) Other Securities .........................................14,779,867 0.1% SOUTH KOREA — (0.0%) Other Securities .........................................1,768,449 0.0% TOTAL PREFERRED STOCKS ................................736,173,506 4.4% RIGHTS/WARRANTS — (0.0%) AUSTRALIA — (0.0%) Other Securities .........................................35,001 0.0% INDIA — (0.0%) Other Securities .........................................850,210 0.0% SOUTH KOREA — (0.0%) Other Securities .........................................1,582,912 0.0% TOTAL RIGHTS/WARRANTS .................................2,468,123 0.0% TOTAL INVESTMENT SECURITIES ............................16,505,569,821 Value† SECURITIES LENDING COLLATERAL — (3.5%) §@ DFA Short Term Investment Fund ..........................51,188,093 592,348,611 3.6% TOTAL INVESTMENTS — (100.0%) (Cost $18,135,039,268).....................................$17,097,918,432 102.7% Summary of the Fund’s investments as of October 31, 2016, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Brazil ........................................$1,061,916,297 — — $ 1,061,916,297 Chile .........................................68,522,696 $ 187,543,740 — 256,066,436 China ........................................222,507,491 2,183,559,992 — 2,406,067,483 Colombia .....................................34,189,337 — — 34,189,337 331 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Czech Republic ................................ — $42,272,990 — $ 42,272,990 Greece ....................................... —7,063,890 — 7,063,890 Hong Kong .................................... —679,848 — 679,848 Hungary ...................................... —100,288,517 — 100,288,517 India ......................................... $166,309,441 2,072,377,223 — 2,238,686,664 Indonesia .....................................5,419,169 525,171,092 — 530,590,261 Malaysia ......................................13,467 577,730,922 — 577,744,389 Mexico .......................................874,236,781 — — 874,236,781 Philippines .................................... —191,803,333 — 191,803,333 Poland ....................................... —263,219,742 — 263,219,742 Russia .......................................10,015,478 358,790,034 — 368,805,512 South Africa ...................................137,638,609 1,068,526,468 — 1,206,165,077 South Korea ..................................293,776,615 2,111,649,630 — 2,405,426,245 Taiwan .......................................35,243,272 2,362,140,027 — 2,397,383,299 Thailand ......................................563,411,706 129,334 — 563,541,040 Turkey ....................................... —240,781,051 — 240,781,051 Preferred Stocks Brazil ........................................719,625,190 — — 719,625,190 Colombia .....................................14,779,867 — — 14,779,867 South Korea ..................................1,768,449 — — 1,768,449 Rights/Warrants Australia ...................................... —35,001 — 35,001 India ......................................... —850,210 — 850,210 South Korea .................................. —1,582,912 — 1,582,912 Securities Lending Collateral ....................... —592,348,611 — 592,348,611 Futures Contracts**..............................(394,528) — — (394,528) TOTAL .........................................$4,208,979,337 $12,888,544,567 — $17,097,523,904 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) 332 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF ASSETS AND LIABILITIES OCTOBER 31, 2016 (Amounts in thousands) ASSETS: Investments at Value (including $905,952 of securities on loan)*........................................$16,505,570 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $592,251)..................592,349 Segregated Cash for Futures Contracts .............................................................4,653 Foreign Currencies at Value ......................................................................123,200 Cash .........................................................................................2,187 Receivables: Investment Securities Sold ......................................................................21,989 Dividends, Interest and Tax Reclaims .............................................................1,885 Securities Lending Income ......................................................................2,395 Futures Margin Variation ....................................................................... 57 Total Assets ..............................................................................17,254,285 LIABILITIES: Payables: Upon Return of Securities Loaned ...............................................................592,234 Due to Advisor ................................................................................1,406 Line of Credit .................................................................................11,747 Accrued Expenses and Other Liabilities .............................................................1,391 Total Liabilities ............................................................................606,778 NET ASSETS ..................................................................................$16,647,507 Investments at Cost .............................................................................$17,542,788 Foreign Currencies at Cost ....................................................................... $123,360 * See Note H in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 333 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2016 (Amounts in thousands) Investment Income Dividends (Net of Foreign Taxes Withheld of $54,517 ................................................ $400,123 Interest ....................................................................................... 24 Income from Securities Lending ..................................................................30,547 Total Investment Income ....................................................................430,694 Expenses Investment Management Fees ...................................................................14,975 Accounting & Transfer Agent Fees ................................................................ 818 Custodian Fees ................................................................................6,604 Shareholders’ Reports .......................................................................... 63 Directors’/Trustees’ Fees & Expenses ............................................................. 103 Professional Fees .............................................................................. 590 Other ........................................................................................ 687 Total Expenses ............................................................................23,840 Fees Paid Indirectly (Note C).....................................................................(198) Net Expenses .................................................................................23,642 Net Investment Income (Loss)..................................................................407,052 Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold*....................................................................(88,448) Futures .....................................................................................11,480 Foreign Currency Transactions ................................................................. 3,671 Forward Currency Contracts ................................................................... 93 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ......................................................1,983,912 Futures .....................................................................................(395) Translation of Foreign Currency Denominated Amounts ............................................. 48 Net Realized and Unrealized Gain (Loss).........................................................1,910,361 Net Increase (Decrease) in Net Assets Resulting from Operations ....................................$2,317,413 * Net of foreign capital gain taxes withheld of $145. See accompanying Notes to Financial Statements. 334 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) Dimensional Emerging Markets Value Fund Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)...................................................... $407,052 $ 437,571 Net Realized Gain (Loss) on: Investment Securities Sold*......................................................(88,448) (413,376) Futures .......................................................................11,480 — Foreign Currency Transactions ...................................................3,764 (7,896) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ........................................1,983,912 (3,319,869) Futures .......................................................................(395) — Translation of Foreign Currency Denominated Amounts ............................... 48 108 Net Increase (Decrease) in Net Assets Resulting from Operations ....................2,317,413 (3,303,462) Transactions in Interest: Contributions ....................................................................1,192,055 1,713,486 Withdrawals .....................................................................(1,950,019) (2,249,483) Net Increase (Decrease) from Transactions in Interest ..............................(757,964) (535,997) Total Increase (Decrease) in Net Assets ..........................................1,559,449 (3,839,459) Net Assets Beginning of Year ................................................................15,088,058 18,927,517 End of Year .....................................................................$16,647,507 $15,088,058 * Net of foreign capital gain taxes withheld of $145 and $0, respectively. See accompanying Notes to Financial Statements. 335 DIMENSIONAL EMERGING MARKETS VALUE FUND+ FINANCIAL HIGHLIGHTS Dimensional Emerging Markets Value Fund Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 TotalReturn..................................... 15.80% (17.95)% (1.09)% 8.43% 1.10% Net Assets, End of Year (thousands)..................$16,647,507 $15,088,058 $18,927,517 $19,427,286 $16,884,322 Ratio of Expenses to Average Net Assets .............. 0.16% 0.15% 0.15% 0.16% 0.20% Ratio of Expenses to Average Net Assets (Excluding Fees PaidIndirectly)................................. 0.16% 0.15% 0.15% 0.16% 0.20% RatioofNetInvestmentIncometoAverageNetAssets .... 2.72% 2.54% 2.76% 2.32% 2.43% PortfolioTurnoverRate ............................ 12% 14% 12% 6% 8% + See Note A in the Notes to Financial Statements. See accompanying Notes to Financial Statements. 336 DIMENSIONAL EMERGING MARKETS VALUE FUND NOTES TO FINANCIAL STATEMENTS A. Organization: Dimensional Emerging Markets Value Fund (the “Fund”) is an open-end management investment company registered under the Investment Company Act of 1940. The Fund meets the definition as an investment company and follows the accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Certification (“ASC”) Topic 946, “Financial Services-Investment Companies.” The Fund consists of one series. B. Significant Accounting Policies: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1.Security Valuation:The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: • Level 1 – inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, futures contracts) • Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) • Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) Securities held by the Fund, including over-the-counter securities, are valued at the last quoted sale price of the day. International equity securities are subject to a fair value factor, as described later in this note. Securities held by the Fund that are listed on Nasdaq are valued at the Nasdaq Official Closing Price (“NOCP”). If there is no last reported sale price or NOCP for the day, the Fund values the securities within the range of the most recent quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end management investment companies are valued using their respective net asset values or public offering prices, as appropriate, for purchase orders placed at the close of the New York Stock Exchange (NYSE). These securities are generally categorized as Level 1 in the hierarchy. Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Trustees of the Fund. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of Dimensional Fund Advisors LP) occur before the net asset value of the Fund is calculated. When fair value pricing is used, the prices of securities used by the Fund may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. The Fund will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the time that the net asset value of the Fund is computed. Due to the time differences between the closings of the relevant foreign 337 securities exchanges and the time the Fund prices its shares at the close of the NYSE, the Fund will fair value its foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets’ perceptions and trading activities on the Fund’s foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Trustees of the Fund has determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the Fund utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When the Fund uses fair value pricing, the values assigned to the foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. Futures contracts held by the Fund are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy. A summary of the inputs used to value the Fund’s investments by each major security type, industry and/or country is disclosed previously in this note. A valuation hierarchy table has been included at the end of the Summary Schedule of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. The Fund recognizes transfers between the levels as of the end of the period. As of October 31, 2016, the Fund had significant transfers of securities with a total value of $995,531 (in thousands), respectively, that transferred from Level 2 to Level 1 because fair value procedures were no longer applied. 2.Foreign Currency Translation:Securities and other assets and liabilities of the Fund whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recent bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked-to-market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities whether realized or unrealized. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and any foreign withholding taxes recorded on the books of the Fund and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan:Each eligible Trustee of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the “Plan”). Under the Plan, effective January 1, 2002, such Trustees may defer payment of all or a portion of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Trustees’ Fees & Expenses. At October 31, 2016, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities in the amount of $508 (in thousands). Each Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed-upon years; or quarterly installments over a period of agreed- upon years. Each Trustee shall have the right in a notice of election (the “Notice”) to defer the receipt of the Trustee’s deferred compensation until a date specified by such Trustee in the Notice, which date may not be 338 sooner than the earlier of: (i) the first business day of January following the year in which such Trustee ceases to be a member of the Board of Trustees of the Fund; and (ii) five years following the effective date of the Trustee’s first deferral election. If a Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Trustee’s deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Trustee ceases to be a member of the Board (unless the Trustee files an amended Notice selecting a different distribution date). As of October 31, 2016, none of the Trustees have requested or received a distribution of proceeds of a deferred fee account. 4. Other:Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities and foreign currency are accounted for on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments or as a realized gain, respectively. The Fund estimates the character of distributions received that may be considered return of capital distributions. Interest income is recorded on an accrual basis. Expenses directly attributable to the Fund are directly charged. The Fund may be subject to taxes imposed by countries in which it invests, with respect to its investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Fund accrues such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. The Fund’s investments in Chile are subject to governmental taxes on investment income. Such taxes are due when currencies are repatriated from the country. The Fund accrues for taxes on income as the income is earned. The Fund is subject to a 15% tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The capital gains taxes are recognized when the capital gains are earned. C. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides investment management services to the Fund. For the year ended October 31, 2016, the Fund’s investment management fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.10% of average daily net assets. Earned Income Credit: In addition, Fund has entered into an arrangement with its custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of the Fund’s custody expense. Custody expense in the accompanying financial statements is presented before reduction for credits. The impact of such credits is generally less than one basis point of the Fund’s net assets. During the year ended October 31, 2016, expenses reduced were $198 (amount in thousands). Fees Paid to Officers and Directors/Trustees: Certain Officers and Trustees of the Advisor are also Officers and Trustees of the Fund; however, such Officers and Trustees (with the exception of the Chief Compliance Officer (“CCO”)) receive no compensation from the Fund. For the year ended October 31, 2016, the total related amounts paid by the Fund to the CCO were $16 (in thousands). The total related amounts paid by the Fund are included in Other Expenses on the Statement of Operations. 339 D. Purchases and Sales of Securities: For the year ended October 31, 2016, the Fund transactions related to investment securities, other than short- term securities and U.S. government securities (amounts in thousands): Purchases Sales Dimensional Emerging Markets Value Fund .....................$1,868,316 $1,845,183 There were no purchases or sales of long-term U.S. government securities. E. Federal Income Taxes: No provision for federal income taxes is required since the Fund is treated as a partnership for federal income tax purposes. Any net investment income and realized and unrealized gains and losses have been deemed to have been “passed down” to their respective partners. At October 31, 2016, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands): Federal Tax Cost Unrealized Appreciation Unrealized Depreciation Net Unrealized Appreciation (Depreciation) Dimensional Emerging Markets Value Fund ..........$18,135,039 $2,483,785 $(3,520,905) $(1,037,120) The difference between book-basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales and investments in passive foreign investment companies. Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed the Fund’s tax positions and has concluded that no additional provision for income tax is required in the Fund’s financial statements. The Fund is not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. F. Financial Instruments: In accordance with the Fund’s investment objective and policies, the Fund may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. Foreign Market Risks:Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of securities held by the Fund may be inhibited. Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Fund. 2.Futures Contracts:The Fund may purchase or sell futures contracts and options on futures contracts for equity securities and indices to adjust market exposure based on actual or expected cash inflows to or outflows from the Fund. The Fund, however, does not intend to sell futures contracts to establish short positions in individual securities. Upon entering into a futures contract, the Fund deposits cash or pledge U.S. government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. 340 Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Fund as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss, which is presented in the Statements of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Fund could lose more than the initial margin requirements. Entering into stock index futures subjects the Fund to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. At October 31, 2016, the Fund had the following outstanding futures contracts (dollar amounts in thousands): Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral Dimensional Emerging Markets Value Fund ...... MINI MSCI Emerging Markets Index ®12/16/16 650 $29,364 $(395) $4,653 $29,364 $(395) $4,653 Securities have been segregated as collateral for open futures contracts. 3.Forward Currency Contracts: The Fund may acquire and sell forward currency contracts to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies (foreign exchange rate risk). The decision to hedge the Fund’s currency exposure with respect to a foreign market will be based primarily on the Fund’s existing exposure to a given foreign currency. Each contract is valued daily and the change in value is recorded by the Fund as an unrealized gain or loss, which is presented in the Statements of Operations as the change in unrealized appreciation or depreciation from translation of foreign currency denominated amounts. When the contract is closed or offset with the same counterparty, the Fund records a realized gain or loss equal to the change in the value of the contract when it was opened and the value at the time it was closed or offset. This is presented in the Statements of Operations as a net realized gain or loss on foreign currency transactions. At October 31, 2016, the Fund had no outstanding forward currency contracts. The average volume (based on the open positions at each fiscal month-end) of derivative activity for the year ended October 31, 2016: Forward Currency Contracts Futures Dimensional Emerging Markets Value Fund *......................... $682 $50,910 * The Fund had derivative activity during the period but it did not have open forward positions at October 31, 2016. The following is a summary of the location of derivatives on the Fund’s Statements of Assets and Liabilities as of October 31, 2016: Location on the Statements of Assets and Liabilities Derivative Type Asset Derivatives Equity contracts Receivables: Futures Margin Variation 341 The following is a summary of the Fund’s derivative instrument holdings categorized by primary risk exposure as of October 31, 2016 (amounts in thousands): Liability Derivatives Value Total Value at October 31, 2016 Equity Contracts* Dimensional Emerging Markets Value Fund ............................$(395) $(395) * Includes cumulative appreciation (depreciation) of futures contracts. Only current day’s margin variation is reported within the Statements of Assets and Liabilities. The following is a summary of the location on the Fund’s Statements of Operations of realized and change in unrealized gains and losses from the Fund’s derivative instrument holdings through the year ended October 31, 2016: Derivative Type Location of Gain (Loss) on Derivatives Equity contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures The following is a summary of the realized and change in unrealized gains and losses from the Fund’s derivative instrument holdings categorized by primary risk exposure through the year ended October 31, 2016 (amounts in thousands): Realized Gain (Loss) on Derivatives Total Equity Contracts Forward Currency Contracts Dimensional Emerging Markets Value Fund ...................$11,573 $11,480 $93 Change in Unrealized Appreciation (Depreciation) on Derivatives Total Equity Contracts Dimensional Emerging Markets Value Fund ................... $(395) $ (395) G. Line of Credit and Interfund Lending Program: The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million uncommitted, unsecured discretionary line of credit effective March 30, 2016, with its domestic custodian bank. A line of credit with similar terms was in effect through March 29, 2016. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. There is no commitment fee on the unused portion of the line of credit. The agreement for the discretionary line of credit may be terminated by either party at any time. The agreement for the line of credit expires on March 29, 2017. The Fund, together with other Dimensional-advised portfolios, has also entered into an additional $500 million unsecured line of credit with its international custodian bank effective January 8, 2016. A line of credit with similar terms was in effect through January 7, 2016. Each portfolio is permitted to borrow, subject to its investment limitations, up to a maximum of $500 million, as long as total borrowings under the line of credit do not exceed $500 million in the aggregate. Each portfolio is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The line of credit agreement expires on January 7, 2017. 342 For the year ended October 31, 2016, borrowings by the Fund under the lines of credit were as follows (amounts in thousands, except percentages and days): Weighted Average Interest Rate Weighted Average Loan Balance Number of Days Outstanding* Interest Expense Incurred Maximum Amount Borrowed During the Period Dimensional Emerging Markets Value Fund ..............................1.01% $25,340 51 $39 $152,831 * Number of Days Outstanding represents the total of single or consecutive days during the year ended October 31, 2016, that the Fund’s available line of credit was utilized. At October 31, 2016, the Fund had loans outstanding in the amount of $11,747 (in thousands). Pursuant to an exemptive order issued by the SEC (the “Order”), the Fund may participate in an interfund lending program among certain portfolios managed by the Advisor (portfolios that operate as feeder funds do not participate in the program). The program allows the participating portfolios to borrow money from and loan money to each other for temporary or emergency purposes, subject to the conditions in the Order. A loan can only be made through the program if the interfund loan rate on that day is more favorable to both the borrowing and lending portfolios as compared to rates available through short-term bank loans or investments in overnight repurchase agreements and money market funds, respectively, as detailed in the Order. Further, a portfolio may participate in the program only if and to the extent that such participation is consistent with its investment objectives and limitations. Interfund loans have a maximum duration of seven days and may be called on one business day’s notice. The Fund did not utilize the interfund lending program during the year ended October 31, 2016. H. Affiliated Trades: Cross trades for the year ended October 31, 2016, if any, were executed by the Portfolio pursuant to procedures adopted by the Board of Directors of the Fund to ensure compliance with Rule 17a-7 under the Investment Company Act of 1940 (the “1940 Act”). Cross trading is the buying or selling of portfolio securities between series of investment companies, or between a series of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment adviser (or affiliated investment advisers), common directors/ trustees and/or common officers. At its regularly scheduled meetings, the Board reviews such transactions for compliance with the requirements and restrictions set forth by Rule 17a-7 under the 1940 Act. For the year ended October 31, 2016, cross trades by the Portfolio under Rule 17a-7 were as follows (amounts in thousands): Portfolio Purchases Sales Realized Gain (Loss) Dimensional Emerging Markets Value Fund .................6,642 11,567 1,955 I. Securities Lending: As of October 31, 2016, the Fund had securities on loan to brokers/dealers, for which the Fund received cash collateral. The non-cash collateral includes short-and/or long-term U.S. Treasuries and U.S. Government Agency Securities with a market value of $421,691 (amounts in thousands). The Fund invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral in an amount (i) equal to at least 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) generally equal to 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) generally equal to 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Fund’s collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided 343 such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Fund or, at the option of the lending agent, to replace the securities. In the event of the bankruptcy of the borrower, the Fund could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value. Subject to its stated investment policy, the Fund will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the “Money Market Series”), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. The Fund also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, the Fund will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of October 31, 2016: Remaining Contractual Maturity of the Agreements As of October 31, 2016 Overnight and Continuous <30 days Between 30 & 90 days >90 days Total Securities Lending Transactions Dimensional Emerging Markets Value Fund Common Stocks, Preferred Stocks .........$592,348,611 — — — $592,348,611 J. Indemnitees; Contractual Obligations: Under the Fund’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. K. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Fund through the date that the financial statements were issued and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 344 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Trustees and Shareholders of Dimensional Emerging Markets Value Fund: In our opinion, the accompanying statement of assets and liabilities, including the summary schedule of portfolio holdings, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Dimensional Emerging Markets Value Fund (the “Fund”) as of October 31, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of October 31, 2016 by correspondence with the custodian, brokers and the transfer agent of the investee fund, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania December 20, 2016 345 FUND MANAGEMENT (Unaudited) Trustees/Directors Each Board of Trustees/Directors (each, the “Board” and collectively, the “Boards”) of The DFA Investment Trust Company (“DFAITC”), DFA Investment Dimensions Group Inc. (“DFAIDG”), Dimensional Investment Group Inc. (“DIG”), and Dimensional Emerging Markets Value Fund (“DEM”) (each, the “Fund” and collectively, the “Funds”) is responsible for establishing the Funds’ policies and for overseeing the management of the Funds. The Trustees/ Directors of the Funds, including all of the disinterested Trustees/Directors, have adopted written procedures to monitor potential conflicts of interest that might develop between portfolios of the Funds (the “Feeder Portfolios”) that invest in certain series of DFAITC or DEM (the “Master Funds”). Each Board has three standing committees: an Audit Committee, a Nominating Committee, and an Investment Strategy Committee (the “Strategy Committee”). The Audit Committee is composed of George M. Constantinides, Roger G. Ibbotson, and Abbie J. Smith. Each member of the Audit Committee is a disinterested Trustee/Director. The Audit Committee oversees the Fund’s accounting and financial reporting policies and practices, the Fund’s internal controls, the Fund’s financial statements, and the independent audits thereof and performs other oversight functions as requested by the Board. The Audit Committee recommends the appointment of each Fund’s independent registered certified public accounting firm and also acts as a liaison between the Fund’s independent registered certified public accounting firm and the full Board. There were two Audit Committee meetings held during the fiscal year ended October 31, 2016. Each Board’s Nominating Committee is composed of George M. Constantinides, John P. Gould, Roger G. Ibbotson, Myron S. Scholes, Edward P. Lazear, and Abbie J. Smith. Each member of the Nominating Committee is a disinterested Trustee/Director. The Nominating Committee for each Board makes recommendations for nominations of disinterested and interested members on the Board to the full Board. The Nominating Committee evaluates a candidate’s qualification for Board membership and the independence of such candidate from the Advisor and other principal service providers. The Nominating Committee did not meet during the fiscal year ended October 31, 2016. Each Board’s Strategy Committee consists of both interested and disinterested Trustees/Directors. The Strategy Committee is composed of John P. Gould, Edward P. Lazear, Myron S. Scholes, and Eduardo A. Repetto. The Strategy Committee assists the Board in carrying out its fiduciary duties with respect to the oversight of the Fund and its performance. At the request of the Board or the Advisor, the Strategy Committee may (i) review the design of possible new series of the Fund, (ii) review performance of existing portfolios of the Fund and discuss and recommend possible enhancements to the portfolios’ investment strategies, (iii) review proposals by the Advisor to modify or enhance the investment strategies or policies of each portfolio, and (iv) consider issues relating to investment services for each portfolio of the Fund. The Strategy Committee was formed on December 17, 2010, and there were three Strategy Committee meetings held during the fiscal year ended October 31, 2016. Certain biographical information for each disinterested Trustee/Director and each interested Trustee/Director of the Funds is set forth in the tables below, including a description of each Trustee/Director’s experience as a Trustee/ Director of the Funds and as a director or trustee of other funds, as well as other recent professional experience. The statements of additional information (together, “SAI”) of the Funds include additional information about each Trustee/Director. You may obtain copies of the SAI and prospectus of each Fund advised by Dimensional Fund Advisors LP by calling collect (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746. Prospectuses are also available at http://us.dimensional.com. 346 Name, Position with the Fund, Address and Year of Birth Term of Office 1 and Length of Service Portfolios within the DFA Fund Complex 2 Overseen Principal Occupation(s) During Past 5 Years and Other Directorships of Public Companies Held Disinterested Trustees/Directors George M. Constantinides Director of DFAIDG and DIG. Trustee of DFAITC and DEM. The University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 1947 Since Inception 122 portfolios in 4 investment companies Leo Melamed Professor of Finance, The University of Chicago Booth School of Business. John P. Gould Director of DFAIDG and DIG Trustee of DFAITC and DEM The University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 1939 DFAIDG-Since 1986 DIG-Since 1993 DFAITC-Since 1992 DEM-Since 1993 122 portfolios in 4 investment companies Steven G. Rothmeier Professor and Distinguished Service Professor of Economics, University of Chicago Booth School of Business (since 1965). Member and Chair, Competitive Markets Advisory Council, Chicago Mercantile Exchange (futures trading exchange) (since 2004). Trustee, Harbor Fund (registered investment company) (29 Portfolios) (since 1994). Formerly, Member of the Board of Milwaukee Insurance Company (1997-2010). Roger G. Ibbotson Director of DFAIDG and DIG Trustee of DFAITC and DEM Yale School of Management P.O. Box 208200 New Haven, CT 06520-8200 1943 DFAIDG-Since 1981 DIG-Since 1993 DFAITC-Since 1992 DEM-Since 1993 122 portfolios in 4 investment companies Professor in Practice of Finance, Yale School of Management (since 1984). Chairman, CIO and Partner, Zebra Capital Management, LLC (hedge fund and asset manager) (since 2001). Consultant to Morningstar Inc. (since 2006). Formerly, Director, BIRR Portfolio Analysis, Inc. (sofware Products) (1990-2010). Edward P. Lazear Director of DFAIDG and DIG Trustee of DFAITC and DEM Stanford University Graduate School of Business 434 Galvez Mall Stanford, CA 94305 1948 DFAIDG-Since 2010 DIG-Since 2010 DFAITC-Since 2010 DEM-Since 2010 122 portfolios in 4 investment companies Morris Arnold Cox Senior Fellow, Hoover Institution (since 2002). Jack Steele Parker Professor of Human Resources Management and Economics, Graduate School of Business, Stanford University (since 1995). Cornerstone Research (expert testimony and economic and financial analysis) (since 2009). Formerly, Chairman of the President George W. Bush’s Council of Economic Advisors, State of California (2005-2006). Formerly, Commissioner, White House Panel on Tax Reform (2005) Myron S. Scholes Director of DFAIDG and DIG Trustee of DFAITC and DEM c/o Dimensional Fund Advisers, LP 6300 Bee Cave Road Building 1 Austin, TX 78746 1941 DFAIDG-Since 1981 DIG-Since 1993 DFAITC-Since 1992 DEM-Since 1993 122 portfolios in 4 investment companies Chief Investment Strategist, Janus Capital Group Inc. (since 2014). Frank E. Buck Professor of Finance Emeritus, Graduate School of Business, Stanford University (since 1981). Chairman, Ruapay Inc. (since 2013). Formerly, Chairman, Platinum Grove Asset Management, L.P. (hedge fund) (formerly, Oak Hill Platinum Partners) (1999-2009). Formerly, Director, American Centruy Fund Complex (registered investment companies) (43 Portfolios) (1980-2014). Abbie J. Smith Director of DFAIDG and DIG Trustee of DFAITC and DEM The University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 1953 DFAIDG-Since 2000 DIG-Since 2000 DFAITC-Since 2000 DEM-Since 2000 122 portfolios in 4 investment companies Boris and Irene Stern Distinguished Service Professor of Accounting, University of Chicago Booth School of Business (since 1980). Director, HNI Corporation (formerly known as HON Industries Inc.) (office furniture) (since 2000). Director, Ryder System Inc. (transportation, logistics and supply-chain management) (since 2003). Trustee, UBS Funds (4 investment companies within the fund complex) (33 portfolios) (since 2009). Formerly, Co-Director Investment Research, Fundamental Investment Advisors (hedge fund) (2008-2011). 347 Name, Position with the Fund, Address and Year of Birth Term of Office¹ and Length of Service Portfolios within the DFA Fund Complex² Overseen Principal Occupation(s) During Past 5 Years and Other Directorships of Public Companies Held Interested Trustees/Directors* David G. Booth Chairman, Director/Trustee, President and Co-Chief Executive Officer 6300 Bee Cave Road Building One Austin, TX 78746 1946 DFAIDG-Since 1981 DIG-Since 1992 DFAITC-Since 1992 DEM-Since 1993 122 portfolios in 4 investment companies Chairman, Director/Trustee, President, Co-Chief Executive Officer and formerly, Chief Executive Officer (until 1/1/2010) of the following companies: Dimensional Holdings Inc., Dimensional Fund Advisors LP, DFA Securities LLC, DEM, DFAIDG, DIG and DFAITC (collectively, the “DFA Entities”). Director of Dimensional Fund Advisors Ltd. and formerly, Chief Investment Officer. Director of DFA Australia Limited and formerly, President and Chief Investment Officer. Director of Dimensional Advisors Ltd., Dimensional Funds plc and Dimensional Funds II plc. Formerly, President, Dimensional SmartNest (US) LLC (2009- 2014). Formerly, Limited Partner, Oak Hill Partners (2001- 2010). Limited Partner, VSC Investors, LLC (since 2007). Trustee, University of Chicago. Trustee, University of Kansas Endowment Association. Formerly, Director, SA Funds (registered investment company). Chairman, Director and Co-Chief Executive Officer of Dimensional Fund Advisors Canada ULC. Director and President (since 2012) of Dimensional Japan Ltd. Chairman, Director, President, and Co-Chief Executive Officer of Dimensional Cayman Commodity Fund I Ltd. (since 2010). Eduardo A. Repetto Director/Trustee, Co-Chief Executive Officer and Co- Chief Investment Officer 6300 Bee Cave Road, Building One Austin, TX 78746 1967 DFAIDG-Since 2009 DIG-Since 2009 DFAITC-Since 2009 DEM-Since 2009 122 portfolios in 4 investment companies Co-Chief Executive Officer (beginning January 2010), Co-Chief Investment Officer (since June 2014), Director/Trustee, and formerly, Chief Investment Officer (March 2007-June 2014) of the DFA Entities. Director, Co-Chief Executive Officer and Chief Investment Officer (since 2010) of Dimensional Cayman Commodity Fund I Ltd. Director, Co-Chief Executive Officer, President and Co-Chief Investment Officer of Dimensional Fund Advisors Canada ULC and formerly, Chief Investment Officer (until April 2014). Co-Chief Investment Officer, Vice President, and Director of DFA Australia Limited and formerly, Chief Investment Officer (until April 2014). Director of Dimensional Fund Advisors Ltd., Dimensional Funds plc, Dimensional Funds II plc and Dimensional Advisors Ltd. Formerly, Vice President of the DFA Entities and Dimensional Fund Advisors Canada ULC. Director and Chief Investment Officer (since December 2012) of Dimensional Japan Ltd. 1 Each Trustee/Director holds office for an indefinite term until his or her successor is elected and qualified. 2 Each Trustee/Director is a director or trustee of each of the four registered investment companies within the DFA Fund Complex, which includes the DFAIDG, DIG, DFAITC and DEM. Each disinterested Trustee/Director also serves on the Independent Review Committee of the Dimensional Funds, mutual funds registered in the provinces of Canada and managed by an affiliate of Dimensional Fund Advisors LP (the “Advisor”), Dimensional Fund Advisors Canada ULC. * Interested Trustees/Directors are described as such because they are deemed to be “interested persons,” as that term is defined under the Investment Company Act of 1940, as amended, due to their positions with the Advisor. 348 Officers Below is the name, year of birth, information regarding positions with the Funds and the principal occupation for each officer of the Funds. The address of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of the officers listed below holds the same office (except as otherwise noted) in the DFA Entities. Name and Year of Birth Position Term of Office 1 and Length of Service Principal Occupation During Past 5 Years April A. Aandal 1963 Vice President Since 2008 Vice President of all the DFA Entities. Robyn G. Alcorta 1974 Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Vice President, Business Development at Capson Physicians Insurance Company (2010-2012). Magdalia S. Armstrong 1977 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (January 2011-January 2016). Darryl D. Avery 1966 Vice President Since 2005 Vice President of all the DFA Entities. Arthur H. Barlow 1955 Vice President Since 1993 Vice President of all the DFA Entities. Director and Managing Director of Dimensional Fund Advisors Ltd (since September 2013). Director of Dimensional Funds plc and Dimensional Funds II plc (since November 2013). Lana Bergstein 1974 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Client Service Manager for Dimensional Fund Advisors LP (February 2008-January 2014). Stanley W. Black 1970 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Senior Research Associate (January 2012- January 2014) and Research Associate (2006- 2011) for Dimensional Fund Advisors LP. Aaron T. Borders 1973 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (April 2008-January 2014). Scott A. Bosworth 1968 Vice President Since 2007 Vice President of all the DFA Entities. Valerie A. Brown 1967 Vice President and Assistant Secretary Since 2001 Vice President and Assistant Secretary of all the DFA Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd., Dimensional Cayman Commodity Fund I Ltd., Dimensional Fund Advisors Pte. and Dimensional Hong Kong Limited. Director, Vice President, Director and Assistant Secretary of Dimensional Fund Advisors Canada ULC. David P. Butler 1964 Vice President Since 2007 Vice President of all the DFA Entities. Head of Global Financial Services for Dimensional Fund Advisors LP (since 2008). Douglas M. Byrkit 1970 Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (December 2010-January 2012). Hunt M. Cairns 1973 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director (January 2010-January 2014) for Dimensional Fund Advisors LP. David K. Campbell 1966 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, DC Relationship Manager for Dimensional Fund Advisors LP (October 2010-January 2016). Dennis M. Chamberlain 1972 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional Director (January 2012-January 2015) for Dimensional Fund Advisors LP; Principal for Chamberlain Financial Group (October 2010- December 2011). 349 Name and Year of Birth Position Term of Office 1 and Length of Service Principal Occupation During Past 5 Years Ryan J. Chaplinski 1971 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional Director (June 2011-January 2015) for Dimensional Fund Advisors LP; Sales Executive for Vanguard (2004-June 2011). James G. Charles 1956 Vice President Since 2011 Vice President of all the DFA Entities. Joseph H. Chi 1966 Vice President Since 2009 Vice President of all the DFA Entities. Co-Head of Portfolio Management (since March 2012) and Senior Portfolio Manager (since January 2012) for Dimensional Fund Advisors LP. Vice President of Dimensional Fund Advisors Canada ULC (since April 2016). Formerly, Portfolio Manager for Dimensional Fund Advisors LP (October 2005 to January 2012). Pil Sun Choi 1972 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Counsel for Dimensional Fund Advisors LP (April 2012-January 2014); Vice President and Counsel for AllianceBernstein L.P. (2006-2012). Stephen A. Clark 1972 Vice President Since 2004 Vice President of all the DFA Entities. Director and Vice President of Dimensional Japan Ltd (since February 2016). President and Director of Dimensional Fund Advisors Canada ULC (since February 2016), Vice President of DFA Australia Limited (since April 2008) and Director (since Oct 2016). Director of Dimensional Advisors Ltd, Dimensional Fund Advisors Pte. Ltd., and Dimensional Hong Kong Limited, (since April 2016), Vice President of Dimensional Fund Advisors Pte Ltd. (since June 2016), Head of Global Institutional Services for Dimensional Fund Advisors LP (since January 2014). Formerly, Vice President of Dimensional Fund Advisors Canada ULC (December 2010-February 2016); Head of Institutional, North America (March 2012 to December 2013) and Head of Portfolio Management (January 2006 to March 2012) for Dimensional Fund Advisors LP. Matthew B. Cobb 1971 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (September 2011-March 2013); Vice President at MullinTBG (2005-2011). Rose C. Cooke 1971 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (August 2010-March 2014). Ryan Cooper 1979 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (2003-March 2014). Jeffrey D. Cornell 1976 Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (August 2002-January 2012). Robert P. Cornell 1949 Vice President Since 2007 Vice President of all the DFA Entities. John W. Crill (Wes) 1982 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Senior Associate, Research (January 2015- January 2016); Associate, Research (January 2014-January 2015); Analyst, Research (July 2010-January 2014) for Dimensional Fund Advisors LP. 350 Name and Year of Birth Position Term of Office 1 and Length of Service Principal Occupation During Past 5 Years Christopher S. Crossan 1965 Vice President and Global Chief Compliance Officer Since 2004 Vice President and Global Chief Compliance Officer of all the DFA Entities, DFA Australia Limited and Dimensional Fund Advisors Ltd. Chief Compliance Officer and Chief Privacy Officer of Dimensional Fund Advisors Canada ULC, Chief Compliance Officer of Dimensional Fund Advisors Pte. Ltd. Formerly, Vice President and Global Chief Compliance Officer for Dimensional SmartNest (US) LLC (October 2010-2014). John T. Curnutte 1980 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager, Research Systems (November 2012- January 2016) for Dimensional Fund Advisors LP; Assistant Vice President, Oaktree Capital Management (April 2011-October 2012. John Dashtara 1980 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional Director (July 2013-January 2015) for Dimensional Fund Advisors LP; Relationship Manager for Blackrock, Inc. (July 2011-July 2013);Vice President for Towers Watson (formerly, WellsCanning) (June 2009-July 2011). James L. Davis 1956 Vice President Since 1999 Vice President of all the DFA Entities. Robert T. Deere 1957 Vice President Since 1994 Vice President of all the DFA Entities, DFA Australia Limited and Dimensional Fund Advisors Canada ULC. Johnathon K. DeKinder 1979 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director (January 2012-January 2014) and Senior Associate (August 2010-December 2011) for Dimensional Fund Advisors LP. Mark J. Dennis 1976 Vice President Since 2015 Vice President of all DFA Entities. Formerly, Regional Director (May 2011-January 2015) for Dimensional Fund Advisors LP; Vice President, Portfolio Specialist (January 2007-May 2011) for Morgan Stanley Investment Management. Massimiliano DeSantis 1971 Vice President Since 2015 Vice President of all DFA Entities. Formerly, Senior Associate, Research (November 2012- January 2015) for Dimensional Fund Advisors LP; Senior Consultant, NERA Economic Consulting, New York (May 2010-November 2012). Peter F. Dillard 1972 Vice President Since 2010 Vice President of all the DFA Entities. Chief Data Officer for Dimensional Fund Advisors LP (since January 2016). Robert W. Dintzner 1970 Vice President Since 2001 Vice President of all the DFA Entities. Karen M. Dolan 1979 Vice President Since 2014 Vice President of all the DFA Entities. Head of Marketing for Dimensional Fund Advisors LP (since February 2013). Formerly, Senior Manager of Research and Marketing for Dimensional Fund Advisors LP (June 2012-January 2013); Director of Mutual Fund Analysis at Morningstar (January 2008-May 2012). L. Todd Erskine 1959 Vice President Since 2015 Vice President of all DFA Entities. Formerly, Regional Director (May 2008-January 2015) for Dimensional Fund Advisors LP. Richard A. Eustice 1965 Vice President and Assistant Secretary Since 1998 Vice President and Assistant Secretary of all the DFA Entities and DFA Australia Limited. Chief Operating Officer for Dimensional Fund Advisors Pte. Ltd. (since April 2013). Formerly, Chief Operating Officer for Dimensional Fund Advisors Ltd. (July 2008-March 2013). 351 Name and Year of Birth Position Term of Office 1 and Length of Service Principal Occupation During Past 5 Years Gretchen A. Flicker 1971 Vice President Since 2004 Vice President of all the DFA Entities. Jed S. Fogdall 1974 Vice President Since 2008 Vice President of all the DFA Entities. Co-Head of Portfolio Management (since March 2012) and Senior Portfolio Manager (since January 2012) of Dimensional Fund Advisors LP. Vice President of Dimensional Fund Advisors Canada ULC (since April 2016). Formerly, Portfolio Manager of Dimensional Fund Advisors LP (September 2004- January 2012). Edward A. Foley 1976 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (August 2011-January 2014); Senior Vice President of First Trust Advisors L.P. (2007-July 2011). Deborah J.G. Foster 1959 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior Associate (May 2011-January 2015) for Dimensional Fund Advisors LP. Jeremy P. Freeman 1970 Vice President Since 2009 Vice President of all the DFA Entities. Kimberly A. Ginsburg 1970 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Vice President for Dimensional SmartNest (US) LLC (January 2012-November 2014); Senior Vice President for Morningstar (July 2004-July 2011). Mark R. Gochnour 1967 Vice President Since 2007 Vice President of all the DFA Entities. Tom M. Goodrum 1968 Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Managing Director at BlackRock (2004-January 2012). Henry F. Gray 1967 Vice President Since 2000 Vice President of all the DFA Entities. John T. Gray 1974 Vice President Since 2007 Vice President of all the DFA Entities. Christian Gunther 1975 Vice President Since 2011 Vice President of all the DFA Entities. Senior Trader for Dimensional Fund Advisors LP (since 2012). Formerly, Senior Trader (2009-2012). Robert W. Hawkins 1974 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Counsel for Dimensional Fund Advisors LP (January 2011-January 2014). Joel H. Hefner 1967 Vice President Since 2007 Vice President of all the DFA Entities. Kevin B. Hight 1967 Vice President Since 2005 Vice President of all the DFA Entities. Gregory K. Hinkle 1958 Vice President, Chief Financial Officer, and Treasurer Since 2016 Vice President, Chief Financial Officer, and Treasurer of all the DFA Entities. Interim Chief Financial Officer, interim Treasurer and Vice President of Dimensional Advisors Ltd., Dimensional Hong Kong Limited, Dimensional Cayman Commodity Fund I Ltd., Dimensional Fund Advisors Canada ULC, Dimensional Fund Advisors Pte. Ltd, DFA Australia Ltd. Formerly, interim Chief Financial Officer and interim Treasurer (April 2016-September 2016), and Controller (August 2015-September 2016) of all the DFA Entities); Vice President of T. Rowe Price Group, Inc. and Director of Investment Treasury and Treasurer of the T. Rowe Price Funds (March 2008-July 2015). 352 Name and Year of Birth Position Term of Office 1 and Length of Service Principal Occupation During Past 5 Years Christine W. Ho 1967 Vice President Since 2004 Vice President of all the DFA Entities. Michael C. Horvath 1960 Vice President Since 2011 Vice President of all the DFA Entities. Formerly, Managing Director, Co-Head Global Consultant Relations at BlackRock (2004-2011). Mark A. Hunter 1971 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior Compliance Officer (November 2010- January 2015) for Dimensional Fund Advisors LP. Alan R. Hutchison 1977 Vice President Since 2016 Vice President of all the DFA Entities. Portfolio Manager for Dimensional Fund Advisors LP (January 2013-Present). Formerly, Investment Associate for Dimensional Fund Advisors LP (January 2010-January 2013). Shahryar S. Jaberzadeh 1983 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (April 2006-January 2016). Jeremy R. James 1977 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager, IT Service Management (October 2014- January 2016); Manager, Managed DC Systems (October 2005-October 2014) for Dimensional Fund Advisors LP. Jeff J. Jeon 1973 Vice President Since 2004 Vice President of all the DFA Entities and Dimensional Cayman Commodity Fund I Ltd. Garret D. Jones 1971 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Manager of Sales and Marketing Systems (January 2011-January 2014) for Dimensional Fund Advisors LP. Stephen W. Jones 1968 Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Facilities Manager for Dimensional Fund Advisors LP (October 2008-January 2012). Scott P. Kaup 1975 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior Manager, Investment Operations (January 2014-January 2015) and Investment Operations Manager (May 2008-January 2014) for Dimensional Fund Advisors LP. David M. Kavanaugh 1978 Vice President Since 2014 Vice President of all the DFA Entities. Head of Operations for Financial Advisor Services for Dimensional Fund Advisors LP (since July 2014). Formerly, Counsel of Dimensional Fund Advisors LP (August 2011-January 2014); Associate at Andrews Kurth LLP (2006-2011). Patrick M. Keating 1954 Vice President Since 2003 Vice President of DFAIDG, DIG, DFAITC, DEM, Dimensional Holdings Inc., Dimensional Fund Advisors LP and Dimensional Japan Ltd. Chief Operating Officer and Director of Dimensional Japan Ltd. Formerly, Vice President of DFA Securities LLC, Dimensional Cayman Commodity Fund I Ltd. and Dimensional Advisors Ltd (until February 2015); Chief Operating Officer of Dimensional Holdings Inc., DFA Securities LLC, Dimensional Fund Advisors LP, Dimensional Cayman Commodity Fund I Ltd., Dimensional Advisors Ltd. and Dimensional Fund Advisors Pte. Ltd. (until February 2015); Director, Vice President, and Chief Privacy Officer of Dimensional Fund Advisors Canada ULC (until February 2015); Director of DFA Australia Limited, Dimensional Fund Advisors Ltd. and Dimensional Advisors Ltd. (until February 2015); and Director and Vice President of Dimensional Hong Kong Limited and Dimensional Fund Advisors Pte. Ltd. (until February 2015). 353 Name and Year of Birth Position Term of Office 1 and Length of Service Principal Occupation During Past 5 Years Andrew K. Keiper 1977 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (October 2004-January 2013). David M. Kershner 1971 Vice President Since 2010 Vice President of all the DFA Entities. Portfolio Manager for Dimensional Fund Advisors LP (since June 2004). Arun C. Keswani 1975 Vice President Since 2016 Vice President of all the DFA Entities. Senior Portfolio Manager for Dimensional Fund Advisors LP (January 2015-Present). Formerly, Portfolio Manager (January 2013-January 2015) and Investment Associate (October 2011-January 2013) for Dimensional Fund Advisors LP; Investment Banking Associate at Morgan Stanley (August 2010-September 2011). Kimberly L. Kiser 1972 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Creative Director for Dimensional Fund Advisors LP (September 2012-January 2014); Vice President and Global Creative Director at Morgan Stanley (2007-2012); Visiting Assistant Professor, Graduate Communications Design at Pratt Institute (2004-2012). Natalia Y. Knych 1971 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager, RFP, Institutional (January 2015- January 2016); Senior Associate, Institutional (April 2007-January 2015) for Dimensional Fund Advisors LP. Timothy R. Kohn 1971 Vice President Since 2011 Vice President of all the DFA Entities. Head of Defined Contribution Sales for Dimensional Fund Advisors LP (since August 2010). Joseph F. Kolerich 1971 Vice President Since 2004 Vice President of all the DFA Entities. Senior Portfolio Manager of Dimensional Fund Advisors LP (since January 2012). Formerly, Portfolio Manager for Dimensional (April 2001-January 2012). Mark D. Krasniewski 1981 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Senior Associate, Investment Analytics and Data (January 2012-December 2012) and Systems Developer (June 2007-December 2011) for Dimensional Fund Advisors LP. Kahne L. Krause 1966 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director (May 2010-January 2014) for Dimensional Fund Advisors LP. Stephen W. Kurad 1968 Vice President Since 2011 Vice President of all the DFA Entities. Michael F. Lane 1967 Vice President Since 2004 Vice President of all the DFA Entities. Formerly, Chief Executive Officer for Dimensional SmartNest (US) LLC (July 2012-November 2014). Francis R. Lao 1969 Vice President Since 2011 Vice President of all the DFA Entities. Formerly, Vice President-Global Operations at Janus Capital Group (2005-2011). David F. LaRusso 1978 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Senior Trader (January 2010-December 2012) for Dimensional Fund Advisors LP. Juliet H. Lee 1971 Vice President Since 2005 Vice President of all the DFA Entities. Marlena I. Lee 1980 Vice President Since 2011 Vice President of all the DFA Entities. Paul A. Lehman 1971 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional Director (July 2013-January 2015) for Dimensional Fund Advisors LP; Chief Investment Officer (April 2005-April 2013) for First Citizens Bancorporation. 354 Name and Year of Birth Position Term of Office 1 and Length of Service Principal Occupation During Past 5 Years John B. Lessley 1960 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (January 2008-January 2013). Joy L. Lopez 1971 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior Tax Manager (February 2013-January 2015) for Dimensional Fund Advisors LP; Vice President and Tax Manager, North America (August 2006-April 2012) for Pacific Investment Management Company. Apollo D. Lupescu 1969 Vice President Since 2009 Vice President of all the DFA Entities. Timothy P. Luyet 1972 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior Manager, Marketing Operations (January 2014-January 2015), Manager, Client Systems (October 2011-January 2014) and RFP Manager (April 2010-October 2011) for Dimensional Fund Advisors LP. Peter Magnusson 1969 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (January 2011-January 2014). Kenneth M. Manell 1972 Vice President Since 2010 Vice President of all the DFA Entities and Dimensional Cayman Commodity Fund I Ltd. Aaron M. Marcus 1970 Vice President Since 2008 Vice President of all DFA Entities and Head of Global Human Resources for Dimensional Fund Advisors LP. Duane R. Mattson 1965 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior Compliance Officer (May 2012-January 2015) for Dimensional Fund Advisors LP; Chief Compliance Officer (April 2010-April 2012) for Al Frank Asset Management. Bryan R. McClune 1975 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director of Dimensional Fund Advisors LP (January 2009-January 2014). Philip P. McInnis 1984 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director (January 2009-January 2014) and Senior Associate (2011) for Dimensional Fund Advisors LP. Francis L. McNamara 1959 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager, Project Management Office for Dimensional Fund Advisors LP (October 2006- January 2016). Travis A. Meldau 1981 Vice President Since 2015 Vice President of all the DFA Entities. Portfolio Manager (since September 2011) for Dimensional Fund Advisors LP. Formerly, Portfolio Manager for Wells Capital Management (October 2004- September 2011). Tracy R. Mitchell 1974 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (September 2013-January 2016); Managing Director, Client Services, Charles Schwab (December 2009-August 2013). Jonathan G. Nelson 1971 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Manager, Investment Systems (2011-January 2013) for Dimensional Fund Advisors LP. 355 Name and Year of Birth Position Term of Office 1 and Length of Service Principal Occupation During Past 5 Years Catherine L. Newell 1964 Vice President and Secretary Vice President since 1997 and Secretary since 2000 Vice President and Secretary of all the DFA Entities. Director, Vice President and Secretary of DFA Australia Limited and Dimensional Fund Advisors Ltd. (since February 2002, April 1997, and May 2002, respectively). Vice President and Secretary of Dimensional Fund Advisors Canada ULC (since June 2003), Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan Ltd (since February 2012), Dimensional Advisors Ltd (since March 2012), Dimensional Fund Advisors Pte. Ltd. (since June 2012). Director of Dimensional Funds plc and Dimensional Funds II plc (since 2002 and 2006, respectively). Director of Dimensional Japan Ltd., Dimensional Advisors Ltd., Dimensional Fund Advisors Pte. Ltd. and Dimensional Hong Kong Limited (since August 2012 and July 2012). Formerly, Vice President and Secretary of Dimensional SmartNest (US) LLC (October 2010-November 2014). John R. Nicholson 1977 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional Director (June 2011-January 2015) for Dimensional Fund Advisors LP; Sales Executive for Vanguard (July 2008-May 2011). Pamela B. Noble 1964 Vice President Since 2011 Vice President of all the DFA Entities. Formerly, Portfolio Manager for Dimensional Fund Advisors LP (2008-2010). Selwyn Notelovitz 1961 Vice President and Deputy Chief Compliance Officer Since 2013 Vice President and Deputy Chief Compliance Officer of all the DFA Entities. Deputy Chief Compliance Officer of Dimensional Fund Advisors LP (since December 2012). Formerly, Chief Compliance Officer of Wellington Management Company, LLP (2004-2011). Carolyn L. O 1974 Vice President Since 2010 Vice President of all the DFA Entities, Dimensional Cayman Commodity Fund I Ltd., and Dimensional Fund Advisors Canada ULC (since April 2016). Deputy General Counsel, Funds (since 2011). Gerard K. O’Reilly 1976 Vice President and Co-Chief Investment Officer Vice President since 2007 and Co-Chief Investment Officer since 2014 Vice President and Co-Chief Investment Officer of all the DFA Entities, Dimensional Fund Advisors Canada ULC, and Dimensional Japan Ltd. Director of Dimensional Funds plc and Dimensional Fund II plc. Randy C. Olson 1980 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Senior Compliance Officer for Dimensional Fund Advisors LP (July 2014-January 2016); Vice President Regional Head of Investment Compliance, Asia, PIMCO Asia Private Limited (July 2012-July 2014); Country Compliance Officer, Janus Capital, Singapore Private Limited (May 2011-June 2012). Daniel C. Ong 1973 Vice President Since 2009 Vice President of all the DFA Entities. Portfolio Manager for Dimensional Fund Advisors LP (since July 2005). Kyle K. Ozaki 1978 Vice President Since 2010 Vice President of all the DFA Entities. Matthew A. Pawlak 1977 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (2012-January 2013); Senior Consultant (June 2011-December 2011) and Senior Investment Analyst and Consultant (July 2008-June 2011) at Hewitt EnnisKnupp. 356 Name and Year of Birth Position Term of Office 1 and Length of Service Principal Occupation During Past 5 Years Mary T. Phillips 1981 Vice President Since 2016 Vice President of all the DFA Entities. Senior Portfolio Manager (January 2015-present). Formerly, Portfolio Manager (April 2014-January 2015) and Investment Associate for Dimensional Fund Advisors LP (July 2012-March 2014). Jeffrey L. Pierce 1984 Vice President Since 2015 Vice President of all the DFA Entities. Senior Manager, Advisor Benchmarking (since January 2015) for Dimensional Fund Advisors LP. Formerly, Manager, Advisor Benchmarking (April 2012-December 2014) for Dimensional Fund Advisors LP; Senior Manager, Research and Consulting (October 2010-April 2012) for Crain Communications Inc. Olivian T. Pitis 1974 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional Director (May 2011-January 2015) for Dimensional Fund Advisors LP. Brian P. Pitre 1976 Vice President Since 2015 Vice President of all the DFA Entities. Counsel for Dimensional Fund Advisors LP (since February 2015). Formerly, Chief Financial Officer and General Counsel for Relentless (March 2014- January 2015); Vice President of all the DFA Entities (January 2013-March 2014); Counsel for Dimensional Fund Advisors LP (January 2009- March 2014). David A. Plecha 1961 Vice President Since 1993 Vice President of all the DFA Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd. and Dimensional Fund Advisors Canada ULC. Allen Pu 1970 Vice President Since 2011 Vice President of all the DFA Entities. Senior Portfolio Manager for Dimensional Fund Advisors LP (since January 2015). Formerly, Portfolio Manager for Dimensional Fund Advisors LP (2006-January 2015). David J. Rapozo 1967 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (January 2011-January 2014). Mark A. Regier 1969 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Planning and Analysis Manager for Dimensional Fund Advisors LP (July 2007-January 2014). Cory T. Riedberger 1979 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional Director (March 2011-January 2015) for Dimensional Fund Advisors LP. Savina B. Rizova 1981 Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Research Associate (June 2011-January 2012) for Dimensional Fund Advisors LP. Michael F. Rocque 1968 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior Fund Accounting Manager (July 2013- January 2015) for Dimensional Fund Advisors LP; Senior Financial Consultant and Chief Accounting Officer (July 2002-July 2013) for MFS Investment Management. L. Jacobo Rodríguez 1971 Vice President Since 2005 Vice President of all the DFA Entities. Austin S. Rosenthal 1978 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Vice President for Dimensional SmartNest (US) LLC (September 2010-November 2014). Oliver J. Rowe 1960 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Senior Manager, Human Resources for Dimensional Fund Advisors LP (January 2012- January 2014); Director of Human Resources at Spansion, Inc. (March 2009-December 2011). 357 Name and Year of Birth Position Term of Office 1 and Length of Service Principal Occupation During Past 5 Years Joseph S. Ruzicka 1987 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Manager Investment Analytics and Data (January 2014-January 2015), Senior Associate, Investment Analytics and Data (January 2013- January 2014), Associate, Investment Analytics and Data (January 2012-January 2013), and Investment Data Analyst (April 2010-January 2012) for Dimensional Fund Advisors LP. Julie A. Saft 1959 Vice President Since 2010 Vice President of all the DFA Entities. Joel P. Schneider 1980 Vice President Since 2015 Vice President of all the DFA Entities. Portfolio Manager (since 2013) for Dimensional Fund Advisors LP. Formerly, Investment Associate (April 2011-January 2013) for Dimensional Fund Advisors LP. Ashish Shrestha 1978 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional Director (September 2009-January 2015) for Dimensional Fund Advisors LP. Bruce A. Simmons 1965 Vice President Since 2009 Vice President of all the DFA Entities. Ted R. Simpson 1968 Vice President Since 2007 Vice President of all the DFA Entities. Bhanu P. Singh 1981 Vice President Since 2014 Vice President of all the DFA Entities. Senior Portfolio Manager for Dimensional Fund Advisors LP (since January 2015). Formerly, Portfolio Manager (January 2012-January 2015) and Investment Associate for Dimensional Fund Advisors LP (August 2010-December 2011). Bryce D. Skaff 1975 Vice President Since 2007 Vice President of all the DFA Entities. Lukas J. Smart 1977 Vice President Since 2014 Vice President of all the DFA Entities. Portfolio Manager of Dimensional Fund Advisors LP (since January 2010). Andrew D. Smith 1968 Vice President Since 2011 Vice President of all the DFA Entities. Grady M. Smith 1956 Vice President Since 2004 Vice President of all the DFA Entities and Dimensional Fund Advisors Canada ULC. Matthew Snider 1976 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (September 2011-January 2016); Sales Executive, Vanguard (May 2008-August 2011). Lawrence R. Spieth 1947 Vice President Since 2004 Vice President of all the DFA Entities. Charlene L. St. John 1965 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Senior Manager for Dimensional Fund Advisors LP (September 2014-January 2016); Vice President of Marketing, Forward Management/ Salient (January 2008-February 2014). Brent M. Stone 1971 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Project Manager (September 2012-December 2015) and Manager, Corporate Systems for Dimensional Fund Advisors LP (January 2011- September 2012). Richard H. Tatlow V 1971 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (April 2010-January 2013). Blake T. Tatsuta 1973 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Manager, Investment Analytics and Data (2012- January 2013) and Research Assistant (2002- 2011) for Dimensional Fund Advisors LP. 358 Name and Year of Birth Position Term of Office 1 and Length of Service Principal Occupation During Past 5 Years James J. Taylor 1983 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Accounting Manager for Dimensional Fund Advisors LP (November 2009-January 2016). Erik T. Totten 1980 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional Director (2010-January 2013) for Dimensional Fund Advisors LP. John H. Totten 1978 Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (January 2008-January 2012). Robert C. Trotter 1958 Vice President Since 2009 Vice President of all the DFA Entities. Dave C. Twardowski 1982 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Research Associate (June 2011-January 2015) for Dimensional Fund Advisors LP. Karen E. Umland 1966 Vice President Since 1997 Vice President of all the DFA Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd., and Dimensional Fund Advisors Canada ULC. Benjamin C. Walker 1979 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director for Dimensional Fund Advisors LP (September 2008-January 2014). Brian J. Walsh 1970 Vice President Since 2009 Vice President of all the DFA Entities. Portfolio Manager for Dimensional Fund Advisors LP (since 2004). Jessica Walton 1974 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional Director (January 2012-January 2015) for Dimensional Fund Advisors LP; Director of Marketing and Investor Relations for Treaty Oak Capital Management (July 2011-October 2011); Vice President for Rockspring Capital (October 2010-July 2011). Griffin S. Watkins 1985 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional Director (January 2014-January 2016) and Senior Associate (January 2011-December 2013).for Dimensional Fund Advisors LP. Timothy P. Wei 1968 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Counsel for Dimensional Fund Advisors LP (July 2014-January 2016); Assistant General Counsel, Teacher Retirement System of Texas (October 2008-June 2014). Weston J. Wellington 1951 Vice President Since 1997 Vice President of all the DFA Entities. Ryan J. Wiley 1976 Vice President Since 2007 Vice President of all the DFA Entities. Kristina M. Williams 1975 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Client Service Supervisor for Dowling & Yahnke (July 2014-January 2016); Head of Operations for The Elements Financial Group (January 2013-June 2014); Head of Operations for Vericimetry Advisors LLC (July 2011-December 2012). Jeremy J. Willis 1976 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager, Client Systems for Dimensional Fund Advisors LP (May 2012-January 2016); Vice President, Implementations, Citigroup (August 2006-October 2011). 359 Name and Year of Birth Position Term of Office 1 and Length of Service Principal Occupation During Past 5 Years Stacey E. Winning 1981 Vice President Since 2015 Vice President of all the DFA Entities. Head of Global Recruiting and Development (since June 2014) for Dimensional Fund Advisors LP. Formerly, Senior Manager, Recruiting (December 2012-June 2014) for Dimensional Fund Advisors LP; Co-Head of Global Recruiting (May 2009- November 2012) for Two Sigma Investments. Cecelia K. Wong 1981 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Client Service Manager for Dimensional Fund Advisors LP (June 2005-January 2016). Craig A. Wright 1982 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Accounting Manager for Dimensional Fund Advisors LP (November 2011-January 2016); Senior Associate, PricewaterhouseCoopers LP (July 2009-November 2011). Joseph L. Young 1978 Vice President Since 2011 Vice President of all the DFA Entities. 1 Each officer holds office for an indefinite term at the pleasure of the Board of Directors and until his or her successor is elected and qualified. 360 VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the Fund uses in voting proxies relating to securities held in the portfolio is available (1) without charge, upon request, by calling collect: (512) 306-7400; (2) from the Advisor’s website at http://us.dimensional.com; and (3) on the SEC’s website at http://www.sec.gov. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC’s website at http://www.sec.gov and from the Advisor’s website at http://us.dimensional.com and reflects the twelve-month period beginning July 1st and ending June 30th. 361 NOTICE TO SHAREHOLDERS(Unaudited)For shareholders that do not have an October 31, 2016 tax year end, this notice is for informational purposes only. For shareholders with and October 31,2016 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year November 1, 2015 to October 31, 2016, eachPortfolio is designating the following items with regard to distributions paid during the fiscal year. All designations are based on financial information availableas of the date of this annual report and, accordingly are subject to change. For each item, it is the intention of the Portfolio to designate the maximum amountpermitted under the Internal Revenue Code and the regulations thereunder.DFA Investment Dimensions Group Inc.NetInvestmentIncomeDistributionsShort-TermCapital GainDistributionsLong-TermCapital GainDistributionsReturnofCapitalTax-ExemptInterestTotalDistributionsQualifyingForCorporateDividendsReceivedDeduction(1)QualifyingDividendIncome(2)U.S.GovernmentInterest(3)ForeignTaxCredit(4)ForeignSourceIncome(5)QualifyingInterestIncome(6)QualifyingShort-TermCapitalGain(7)Enhanced U.S. Large CompanyPortfolio...................... 10% 24% 66% — —100% — — 12% — — 100% 100%US Large Cap Equity Portfolio.....100% — — — — 100% 100% 100% — — — 100% 100%U.S. Large Cap Value Portfolio..... 36% — 64% — —100% 100% 100% — — — 100% 100%U.S. Targeted Value Portfolio...... 24% 3% 73% — —100% 100% 100% — — — 100% 100%U.S. Small Cap Value Portfolio..... 20% — 80% — —100% 100% 100% — — — 100% 100%U.S. Core Equity 1 Portfolio....... 62% — 38% — —100% 100% 100% — — — 100% 100%U.S. Core Equity 2 Portfolio....... 49% — 51% — —100% 100% 100% — — — 100% 100%U.S. Vector Equity Portfolio........ 33% — 67% — —100% 100% 100% — — — 100% 100%U.S. Small Cap Portfolio.......... 21% — 79% — —100% 100% 100% — — — 100% 100%U.S. Micro Cap Portfolio.......... 14% — 86% — —100% 100% 100% — — — 100% 100%DFA Real Estate SecuritiesPortfolio......................100% — — — — 100% 100% 100% — — — 100% 100%Large Cap International Portfolio . . . 100% — — — — 100% 100% 100% — 6% 100% 100% 100%International Core Equity Portfolio . . 100% — — — — 100% 100% 100% — 6% 100% 100% 100%International Small CompanyPortfolio...................... 57% — 43% — —100% 100% 100% — 6% 100% 100% 100%Japanese Small CompanyPortfolio......................100% — — — — 100% 100% 100% — 9% 100% 100% 100%Asia Pacific Small CompanyPortfolio......................100% — — — — 100% 100% 100% — 2% 100% 100% 100%United Kingdom Small CompanyPortfolio...................... 46% — 54% — —100% 100% 100% — — 100% 100% 100%Continental Small CompanyPortfolio......................100% — — — — 100% 100% 100% — 10% 100% 100% 100%DFA International Real EstateSecurities Portfolio.............100% — — — — 100% 100% 100% — 2% 100% 100% 100%DFA Global Real Estate SecuritiesPortfolio......................100% — — — — 100% 100% 100% — — — 100% 100%DFA International Small Cap ValuePortfolio...................... 66% — 34% — —100% 100% 100% — 6% 100% 100% 100%International Vector EquityPortfolio...................... 89% — 11% — —100% 100% 100% — 5% 100% 100% 100%World ex U.S. Value Portfolio......100% — — — — 100% 100% 100% — 5% 100% 100% 100%World ex U.S. Targeted ValuePortfolio**....................100% — — — — 100% 100% 100% — 9% 100% 100% 100% 362 DFA Investment Dimensions Group Inc.NetInvestmentIncomeDistributionsShort-TermCapital GainDistributionsLong-TermCapital GainDistributionsReturnofCapitalTax-ExemptInterestTotalDistributionsQualifyingForCorporateDividendsReceivedDeduction(1)QualifyingDividendIncome(2)U.S.GovernmentInterest(3)ForeignTaxCredit(4)ForeignSourceIncome(5)QualifyingInterestIncome(6)QualifyingShort-TermCapitalGain(7)World ex U.S. Core EquityPortfolio**....................100% — — — — 100% 100% 100% — 6% 100% 100% 100%World Core Equity Portfolio (formerlyDimensional Retirement EquityFund II)...................... 98% — 2% — —100% 100% 100% — 4% 54% 100% 100%Selectively Hedged Global EquityPortfolio...................... 88% 2% 10% — —100% 100% 100% — 3% 53% 100% 100%Emerging Markets Portfolio........100% — — — — 100% 100% 100% — 7% 100% 100% 100%Emerging Markets Small CapPortfolio...................... 75% — 25% — —100% 100% 100% — 3% 100% 100% 100%Emerging Markets Value Portfolio . . 100% — — — — 100% 100% 100% — 7% 100% 100% 100%Emerging Markets Core EquityPortfolio......................100% — — — — 100% 100% 100% — 6% 100% 100% 100%DFA Commodity StrategyPortfolio...................... 97% 1% 2% — —100% 100% 100% 24% — — 100% 100%Dimensional Investment GroupInc...........................100% — — — — 100% 100% 100% — 5% 100% 100% 100%DFA International Value Portfolio . . . 72% — 28% — — 100% 100% 100% — — — 100% 100%U.S. Large Company Portfolio..... 10% 24% 66% — —100% 0% 0% 12% — — 100% 100%(1) Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary income distributions (the total of short-termcapital gain and net investment income distributions).(2) The percentage in this column represents the amount of “Qualifying Dividend Income” as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentageof ordinary income distributions (the total of short-term capital gain and net investment income distributions). Please note that these percentages are designated only, refer to your 1099 for actualqualified dividend income.(3) “U.S. Government Interest” represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as apercentage of total ordinary income distributions (the total of short-term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations isexempt from state income tax.(4) “Foreign Tax Credit” represents dividends which qualify for the foreign tax credit pass through and is reflected as a percentage of investment company taxable income.(5) “Foreign Source Income” represents the portion of dividends derived from foreign sources, and is reflected as a percentage of investment companytaxable income.(6) The percentage in this column represents the amount of “Qualifying Interest Income” as created by The American Jobs Creation Act of 2004. The information is reflected as a percentageordinary income distributions (the total of short-term capital gain and net investment income distributions).(7) The percentage in this column represents the amount of “Qualifying Short-Term Capital Gain” as created by The American Jobs Creation Act of 2004. The information is reflected as apercentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). 363 [THIS PAGE INTENTIONALLY LEFT BLANK] [THIS PAGE INTENTIONALLY LEFT BLANK] [THIS PAGE INTENTIONALLY LEFT BLANK] DFA103116-001A 00185755 SEMI-ANNUAL REPORT six months ended: April 30, 2017 (Unaudited) DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL INVESTMENT GROUP INC. THE DFA INVESTMENT TRUST COMPANY DIMENSIONAL EMERGING MARKETS VALUE FUND Dimensional Fund Advisors 6300 Bee Cave Road, Building One Austin, TX 78746 May 2017 Dear Fellow Shareholder, Thank you for trusting us with your savings. All of us at Dimensional are dedicated to helping you achieve your investment goals, a responsibility we do not take lightly. We believe the scientific underpinning of our investment approach and our efficient implementation enables us to deliver portfolios with better outcomes. By offering consistent and well-diversified investment solutions across regions and asset classes, investors and the professionals advising them can more confidently create asset allocations that satisfy their desired profiles and long-term goals. We live in an evolving world with new data, new trading technologies, and new client needs emerging all the time. Since our founding in 1981, Dimensional has been fully committed to being on the cutting edge of incorporating knowledge and technology for even better solutions — always centered on investors’ needs. Sincerely, David Butler Co-Chief Executive Officer and Head of Global Financial Advisor Services Eduardo Repetto Co-Chief Executive Officer and Co-Chief Investment Officer [THIS PAGE INTENTIONALLY LEFT BLANK] 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 ............................................................. 2 Disclosure of Portfolio Holdings ........................................................... 8 Schedules of Investments/Summary Schedules of Portfolio Holdings Enhanced U.S. Large Company Portfolio ............................................... 11 U.S. Large Cap Equity Portfolio ....................................................... 14 U.S. Large Cap Value Portfolio ........................................................ 17 U.S. Targeted Value Portfolio ......................................................... 18 U.S. Small Cap Value Portfolio ........................................................ 21 U.S. Core Equity 1 Portfolio .......................................................... 24 U.S. Core Equity 2 Portfolio .......................................................... 27 U.S. Vector Equity Portfolio ........................................................... 30 U.S. Small Cap Portfolio ............................................................. 33 U.S. Micro Cap Portfolio ............................................................. 36 DFA Real Estate Securities Portfolio ................................................... 39 Large Cap International Portfolio ...................................................... 41 International Core Equity Portfolio ..................................................... 45 International Small Company Portfolio .................................................. 49 Global Small Company Portfolio ....................................................... 50 Japanese Small Company Portfolio .................................................... 51 Asia Pacific Small Company Portfolio .................................................. 51 United Kingdom Small Company Portfolio ............................................... 52 Continental Small Company Portfolio ................................................... 52 DFA International Real Estate Securities Portfolio ........................................ 53 DFA Global Real Estate Securities Portfolio ............................................. 57 DFA International Small Cap Value Portfolio ............................................. 59 International Vector Equity Portfolio .................................................... 63 World ex U.S. Value Portfolio ......................................................... 67 World ex U.S. Targeted Value Portfolio ................................................. 68 World ex U.S. Core Equity Portfolio .................................................... 73 World Core Equity Portfolio ........................................................... 79 Selectively Hedged Global Equity Portfolio .............................................. 80 Emerging Markets Portfolio ........................................................... 81 Emerging Markets Small Cap Portfolio ................................................. 81 Emerging Markets Value Portfolio ..................................................... 81 Emerging Markets Core Equity Portfolio ................................................ 82 Statements of Assets and Liabilities ....................................................... 86 Statements of Operations ................................................................ 93 Statements of Changes in Net Assets ...................................................... 100 Financial Highlights ..................................................................... 110 Notes to Financial Statements ............................................................ 132 Section 19(a) Notice .................................................................... 167 DFA Investment Dimensions Group Inc. - DFA Commodity Strategy Portfolio Consolidated Disclosure of Fund Expenses ................................................. 169 Consolidated Disclosure of Portfolio Holdings ............................................... 170 Consolidated Schedule of Investments ..................................................... 171 i TABLE OF CONTENTS CONTINUED Page Consolidated Statement of Assets and Liabilities ............................................. 176 Consolidated Statement of Operations ..................................................... 177 Consolidated Statements of Changes in Net Assets .......................................... 178 Consolidated Financial Highlights ......................................................... 179 Consolidated Notes to Financial Statements ................................................. 180 Dimensional Investment Group Inc. Disclosure of Fund Expenses ............................................................. 193 Disclosure of Portfolio Holdings ........................................................... 195 Schedule of Investments/Summary Schedule of Portfolio Holdings DFA International Value Portfolio ...................................................... 196 U.S. Large Company Portfolio ........................................................ 197 Statements of Assets and Liabilities ....................................................... 200 Statements of Operations ................................................................ 201 Statements of Changes in Net Assets ...................................................... 202 Financial Highlights ..................................................................... 203 Notes to Financial Statements ............................................................ 206 Section 19(a) Notice .................................................................... 216 The DFA Investment Trust Company Disclosure of Fund Expenses ............................................................. 217 Disclosure of Portfolio Holdings ........................................................... 220 Summary Schedules of Portfolio Holdings The U.S. Large Cap Value Series ..................................................... 221 The DFA International Value Series .................................................... 224 The Japanese Small Company Series .................................................. 228 The Asia Pacific Small Company Series ................................................ 231 The United Kingdom Small Company Series ............................................. 233 The Continental Small Company Series ................................................ 236 The Canadian Small Company Series .................................................. 239 The Emerging Markets Series ........................................................ 242 The Emerging Markets Small Cap Series ............................................... 246 Statements of Assets and Liabilities ....................................................... 250 Statements of Operations ................................................................ 252 Statements of Changes in Net Assets ...................................................... 254 Financial Highlights ..................................................................... 257 Notes to Financial Statements ............................................................ 262 Dimensional Emerging Markets Value Fund Disclosure of Fund Expenses ............................................................. 274 Disclosure of Portfolio Holdings ........................................................... 275 Summary Schedule of Portfolio Holdings ................................................... 276 Statement of Assets and Liabilities ........................................................ 280 Statement of Operations ................................................................. 281 Statements of Changes in Net Assets ...................................................... 282 Financial Highlights ..................................................................... 283 Notes to Financial Statements ............................................................ 284 Voting Proxies on Fund Portfolio Securities .................................................. 292 Board Approval of Investment Management Agreements ....................................... 293 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. ii DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL INVESTMENT GROUP INC. THE DFA INVESTMENT TRUST COMPANY DIMENSIONAL EMERGING MARKETS VALUE FUND DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES Schedules of Investments/Summary Schedules of Portfolio Holdings Investment Abbreviations ADR American Depositary Receipt P.L.C. Public Limited Company USD United States Dollars GBP British Pounds NZD New Zealand Dollars Investment Footnotes † See Note B to Financial Statements. †† Securities that have generally been fair value factored. See Note B to Financial Statements. ** Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category headings have been calculated as a percentage of total investments. “Other Securities” are those securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent more than 1.0% of the net assets of the Fund. Some of the individual securities within this category may include Total or Partial Securities on Loan and/or Non-Income Producing Securities. * Non-Income Producing Securities. # Total or Partial Securities on Loan. ^ Denominated in USD, unless otherwise noted. @ Security purchased with cash proceeds from Securities on Loan. ‡ Security pledged as collateral for the Open Futures Contracts. § Affiliated Fund. Financial Highlights (A) Computed using average shares outstanding. (B) Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund(s). (C) Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. (D) Non-Annualized (E) Annualized All Statements, Schedules and Notes to Financial Statements — Amounts designated as — are either zero or rounded to zero. REIT Real Estate Investment Trust SEC Securities and Exchange Commission (a) Commencement of Operations. 1 DFA INVESTMENT DIMENSIONS GROUP INC. 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, 2017 EXPENSE TABLES Beginning Account Value 11/01/16 Ending Account Value 04/30/17 Annualized Expense Ratio* Expenses Paid During Period* Enhanced U.S. Large Company Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,133.30 0.22% $1.16 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,023.70 0.22% $1.10 2 DISCLOSURE OF FUND EXPENSES CONTINUED Beginning Account Value 11/01/16 Ending Account Value 04/30/17 Annualized Expense Ratio* Expenses Paid During Period* U.S. Large Cap Equity Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,140.80 0.17% $0.90 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,023.95 0.17% $0.85 U.S. Large Cap Value Portfolio** Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,151.90 0.27% $1.44 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 $1,164.70 0.47% $2.52 Class R2 Shares .............................$1,000.00 $1,164.40 0.62% $3.33 Institutional Class Shares .....................$1,000.00 $1,165.50 0.37% $1.99 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 $1,177.30 0.52% $2.81 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 $1,147.00 0.18% $0.96 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 $1,149.00 0.21% $1.12 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 $1,164.10 0.32% $1.72 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,023.21 0.32% $1.61 3 DISCLOSURE OF FUND EXPENSES CONTINUED Beginning Account Value 11/01/16 Ending Account Value 04/30/17 Annualized Expense Ratio* Expenses Paid During Period* U.S. Small Cap Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,175.50 0.37% $2.00 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,022.96 0.37% $1.86 U.S. Micro Cap Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,189.40 0.52% $2.82 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,022.22 0.52% $2.61 DFA Real Estate Securities Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,036.60 0.18% $0.91 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 $1,111.90 0.24% $1.26 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,023.60 0.24% $1.20 International Core Equity Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,119.40 0.32% $1.68 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,023.21 0.32% $1.61 International Small Company Portfolio*** Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,126.00 0.53% $2.79 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,022.17 0.53% $2.66 Global Small Company Portfolio**** Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,057.00 0.49% $2.50 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,022.36 0.49% $2.46 Japanese Small Company Portfolio** Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,068.80 0.53% $2.72 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,022.17 0.53% $2.66 4 DISCLOSURE OF FUND EXPENSES CONTINUED Beginning Account Value 11/01/16 Ending Account Value 04/30/17 Annualized Expense Ratio* Expenses Paid During Period* Asia Pacific Small Company Portfolio** Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,048.20 0.54% $2.74 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 $1,204.40 0.59% $3.22 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,021.87 0.59% $2.96 Continental Small Company Portfolio** Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,180.90 0.54% $2.92 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 $1,037.90 0.28% $1.41 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,023.41 0.28% $1.40 DFA Global Real Estate Securities Portfolio***** Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,035.80 0.24% $1.21 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 $1,132.90 0.68% $3.60 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 $1,123.60 0.48% $2.53 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,022.41 0.48% $2.41 World ex U.S. Value Portfolio*** Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,117.00 0.52% $2.73 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,022.22 0.52% $2.61 5 DISCLOSURE OF FUND EXPENSES CONTINUED Beginning Account Value 11/01/16 Ending Account Value 04/30/17 Annualized Expense Ratio* Expenses Paid During Period* World ex U.S. Targeted Value Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,139.00 0.70% $3.71 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,021.32 0.70% $3.51 World ex U.S. Core Equity Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,113.30 0.41% $2.15 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,022.76 0.41% $2.06 World Core Equity Portfolio*** Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,130.80 0.35% $1.85 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 $1,133.00 0.34% $1.80 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 $1,091.70 0.53% $2.75 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,022.17 0.53% $2.66 Emerging Markets Small Cap Portfolio** Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,098.30 0.72% $3.75 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,021.22 0.72% $3.61 Emerging Markets Value Portfolio** Actual Fund Return Class R2 Shares .............................$1,000.00 $1,114.00 0.81% $4.25 Institutional Class Shares .....................$1,000.00 $1,114.90 0.56% $2.94 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 6 DISCLOSURE OF FUND EXPENSES CONTINUED Beginning Account Value 11/01/16 Ending Account Value 04/30/17 Annualized Expense Ratio* Expenses Paid During Period* Emerging Markets Core Equity Portfolio Actual Fund Return Institutional Class Shares .....................$1,000.00 $1,096.80 0.56% $2.91 Hypothetical 5% Annual Return Institutional Class Shares .....................$1,000.00 $1,022.02 0.56% $2.81 * Expenses are equal to the fund’s annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (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 Funds (Affiliated Investment Companies). *** The Portfolio is a Fund of Funds. The expenses shown reflect the direct expenses of the Fund of Funds and the Fund of Funds’ portion of the expenses of its Master Funds (Affiliated Investment Companies). **** Global Small Company Portfolio commenced operations on January 18, 2017. Expenses are equal to the fund’s annualized expense ratio for the period, multiplied by the average account value over the period, multiplied by the number of days since inception (102), then divided by the number of days in the year (365) to reflect the period. The “Ending Account Value” is derived from the fund’s share class actual return since inception. The “Hypothetical 5% Annual Return” information reflects the 181 day period for the six months ended April 30, 2017 to allow for comparability. The Portfolio is a Fund of Funds. The expenses shown reflect the direct expenses of the Fund of Funds and the Fund of Funds’ portion of the expenses of its Master Funds (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 Funds (Affiliated Investment Companies). 7 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 30, 2017. 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% 8 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 ......................39.2% Government ....................13.8% Foreign Corporate ...............22.9% Foreign Government .............21.1% Supranational ...................3.0% 100.0% DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS U.S. Large Cap Equity Portfolio Consumer Discretionary ..........15.3% Consumer Staples ...............8.7% Energy ........................5.4% Financials ......................14.8% Health Care ....................13.0% Industrials ......................12.2% Information Technology ...........21.1% Materials .......................3.8% Real Estate .....................0.3% Telecommunication Services ......2.7% Utilities ........................2.7% 100.0% U.S. Targeted Value Portfolio Consumer Discretionary ..........14.9% Consumer Staples ...............2.6% Energy ........................8.5% Financials ......................26.5% Health Care ....................5.1% Industrials ......................22.0% Information Technology ...........13.0% Materials .......................5.5% Real Estate .....................0.5% Telecommunication Services ......0.9% Utilities ........................0.5% 100.0% U.S. Small Cap Value Portfolio Consumer Discretionary ..........15.3% Consumer Staples ...............4.7% Energy ........................9.4% Financials ......................27.1% Health Care ....................4.5% Industrials ......................17.9% Information Technology ...........14.1% Materials .......................5.9% Real Estate .....................0.2% Telecommunication Services ......0.9% 100.0% U.S. Core Equity 1 Portfolio Consumer Discretionary ..........15.9% Consumer Staples ...............8.0% Energy ........................4.9% Financials ......................15.5% Health Care ....................11.5% Industrials ......................13.6% Information Technology ...........20.5% Materials .......................4.5% Real Estate .....................0.3% Telecommunication Services ......2.4% Utilities ........................2.9% 100.0% U.S. Core Equity 2 Portfolio Consumer Discretionary ..........15.0% Consumer Staples ...............6.9% Energy ........................5.8% Financials ......................18.7% Health Care ....................10.9% Industrials ......................14.3% Information Technology ...........18.7% Materials .......................4.8% Real Estate .....................0.4% Telecommunication Services ......2.6% Utilities ........................1.9% 100.0% U.S. Vector Equity Portfolio Consumer Discretionary ..........14.6% Consumer Staples ...............4.6% Energy ........................7.1% Financials ......................23.7% Health Care ....................8.3% Industrials ......................16.7% Information Technology ...........15.4% Materials .......................5.4% Real Estate .....................0.4% Telecommunication Services ......2.7% Utilities ........................1.1% 100.0% U.S. Small Cap Portfolio Consumer Discretionary ..........15.9% Consumer Staples ...............4.3% Energy ........................4.4% Financials ......................21.6% Health Care ....................8.2% Industrials ......................19.3% Information Technology ...........15.1% Materials .......................5.4% Real Estate .....................0.6% Telecommunication Services ......1.1% Utilities ........................4.1% 100.0% U.S. Micro Cap Portfolio Consumer Discretionary ..........15.4% Consumer Staples ...............3.4% Energy ........................2.6% Financials ......................23.2% Health Care ....................9.1% Industrials ......................21.5% Information Technology ...........14.0% Materials .......................5.7% Real Estate .....................0.9% Telecommunication Services ......1.9% Utilities ........................2.3% 100.0% DFA Real Estate Securities Portfolio Real Estate .....................100.0% 100.0% 9 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED Large Cap International Portfolio Consumer Discretionary ..........13.4% Consumer Staples ...............10.7% Energy ........................5.8% Financials ......................21.6% Health Care ....................9.4% Industrials ......................14.7% Information Technology ...........5.1% Materials .......................10.0% Real Estate .....................1.9% Telecommunication Services ......4.2% Utilities ........................3.2% 100.0% International Core Equity Portfolio Consumer Discretionary ..........16.1% Consumer Staples ...............7.4% Energy ........................6.1% Financials ......................18.5% Health Care ....................5.9% Industrials ......................18.5% Information Technology ...........6.8% Materials .......................12.7% Real Estate .....................2.5% Telecommunication Services ......2.7% Utilities ........................2.8% 100.0% DFA International Real Estate Securities Portfolio Health Care ....................0.1% Real Estate .....................99.9% 100.0% DFA Global Real Estate Securities Portfolio Affiliated Investment Companies . . . 64.0% Real Estate .....................36.0% 100.0% DFA International Small Cap Value Portfolio Consumer Discretionary ..........15.5% Consumer Staples ...............4.6% Energy ........................6.5% Financials ......................19.3% Health Care ....................1.7% Industrials ......................24.0% Information Technology ...........5.4% Materials .......................17.8% Real Estate .....................3.0% Telecommunication Services ......0.7% Utilities ........................1.5% 100.0% International Vector Equity Portfolio Consumer Discretionary ..........15.7% Consumer Staples ...............6.6% Energy ........................7.0% Financials ......................18.4% Health Care ....................4.7% Industrials ......................19.4% Information Technology ...........7.2% Materials .......................14.3% Real Estate .....................2.6% Telecommunication Services ......2.1% Utilities ........................2.0% 100.0% World ex U.S. Targeted Value Portfolio Consumer Discretionary ..........16.1% Consumer Staples ...............5.4% Energy ........................5.5% Financials ......................17.6% Health Care ....................2.7% Industrials ......................20.5% Information Technology ...........8.1% Materials .......................16.5% Real Estate .....................4.7% Telecommunication Services ......1.1% Utilities ........................1.8% 100.0% World ex U.S. Core Equity Portfolio Consumer Discretionary ..........15.0% Consumer Staples ...............7.1% Energy ........................6.1% Financials ......................19.4% Health Care ....................5.0% Industrials ......................16.5% Information Technology ...........9.5% Materials .......................12.3% Real Estate .....................3.1% Telecommunication Services ......3.1% Utilities ........................2.9% 100.0% Emerging Markets Core Equity Portfolio Consumer Discretionary ..........11.7% Consumer Staples ...............7.8% Energy ........................5.5% Financials ......................19.4% Health Care ....................3.4% Industrials ......................9.7% Information Technology ...........20.8% Materials .......................10.3% Real Estate .....................3.6% Telecommunication Services ......4.3% Utilities ........................3.5% 100.0% 10 ENHANCED U.S. LARGE COMPANY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Face Amount^Value† (000) BONDS — (86.2%) AUSTRALIA — (6.9%) Commonwealth Bank of Australia ## 1.375%, 09/06/18 ...........3,995 $ 3,973,072 5.000%, 10/15/19 ...........3,000 3,203,271 National Australia Bank, Ltd. 1.875%, 07/23/18 ...........2,500 2,506,120 Westpac Banking Corp. 2.250%, 07/30/18 ...........3,000 3,021,033 2.250%, 01/17/19 ...........3,200 3,219,942 Other Securities .................1,514,047 TOTAL AUSTRALIA .............17,437,485 AUSTRIA — (2.0%) Oesterreichische Kontrollbank AG 1.750%, 01/24/20 ...........5,000 5,007,270 BELGIUM — (0.5%) Other Securities .................1,220,223 CANADA — (9.7%) Ontario, Province of Canada 2.000%, 09/27/18 ...........7,200 7,248,866 Quebec, Province of Canada 4.625%, 05/14/18 ...........5,000 5,163,860 Royal Bank of Canada 2.000%, 12/10/18 ...........3,000 3,011,583 Toronto-Dominion Bank (The) 1.400%, 04/30/18 ...........3,000 2,997,657 1.750%, 07/23/18 ...........2,000 2,003,782 Other Securities .................4,273,320 TOTAL CANADA ................24,699,068 DENMARK — (2.1%) Kommunekredit 1.250%, 08/27/18 ...........5,300 5,285,865 FINLAND — (1.2%) Other Securities .................2,992,161 FRANCE — (1.4%) Other Securities .................3,587,356 GERMANY — (4.5%) State of North Rhine-Westphalia 1.375%, 07/16/18 ...........2,500 2,498,415 Volkswagen Group of America Finance LLC 2.450%, 11/20/19 ...........2,000 2,006,182 Other Securities .................6,895,953 TOTAL GERMANY ..............11,400,550 Face Amount^Value† (000) IRELAND — (1.8%) Medtronic, Inc. 2.500%, 03/15/20 ...........2,500 $ 2,546,725 Other Securities .................1,923,516 TOTAL IRELAND ................4,470,241 JAPAN — (2.9%) Toyota Motor Credit Corp. 1.550%, 10/18/19 ...........2,500 2,484,402 Other Securities .................4,980,619 TOTAL JAPAN ..................7,465,021 NETHERLANDS — (9.4%) Bank Nederlandse Gemeenten NV ## 1.000%, 09/20/18 ...........5,000 4,968,095 1.875%, 06/11/19 ...........2,000 2,008,326 Cooperatieve Rabobank UA 1.700%, 03/19/18 ...........3,435 3,439,891 2.250%, 01/14/19 ...........3,700 3,726,030 Nederlandse Waterschapsbank NV 0.875%, 07/13/18 ...........3,500 3,477,656 ## 1.500%, 01/23/19 ...........2,000 1,996,594 Shell International Finance BV 1.625%, 11/10/18 ...........2,870 2,878,320 Other Securities .................1,302,569 TOTAL NETHERLANDS ..........23,797,481 NORWAY — (2.9%) Statoil ASA 2.250%, 11/08/19 ...........4,461 4,489,457 Other Securities .................2,998,951 TOTAL NORWAY ...............7,488,408 SUPRANATIONAL ORGANIZATION OBLIGATIONS — (3.0%) African Development Bank 1.625%, 10/02/18 ...........4,750 4,765,476 Council Of Europe Development Bank 1.625%, 03/10/20 ...........3,000 2,993,565 TOTAL SUPRANATIONAL ORGANIZATION OBLIGATIONS ................7,759,041 SWEDEN — (1.1%) Kommuninvest I Sverige AB 2.000%, 11/12/19 ...........2,000 2,016,882 Other Securities .................697,003 TOTAL SWEDEN ................2,713,885 SWITZERLAND — (0.5%) Other Securities .................1,400,283 11 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED Face Amount^Value† (000) UNITED KINGDOM — (2.5%) BP Capital Markets P.L.C. 2.315%, 02/13/20 ...........2,550 $ 2,574,449 Other Securities .................3,694,007 TOTAL UNITED KINGDOM .......6,268,456 UNITED STATES — (33.8%) Adobe Systems, Inc. 4.750%, 02/01/20 ...........2,150 2,317,311 Apple, Inc. 1.100%, 08/02/19 ...........3,000 2,969,898 Bank of New York Mellon Corp. (The) 2.150%, 02/24/20 ...........2,000 2,014,884 Becton Dickinson and Co. 2.675%, 12/15/19 ...........2,100 2,114,708 Bristol-Myers Squibb Co. 1.600%, 02/27/19 ...........2,500 2,497,128 Chevron Corp. 2.193%, 11/15/19 ...........3,500 3,531,678 Cisco Systems, Inc. 1.650%, 06/15/18 ...........2,800 2,808,151 Citizens Bank NA 2.450%, 12/04/19 ...........2,200 2,216,872 Dominion Resources, Inc. 2.500%, 12/01/19 ...........2,000 2,020,222 Eastman Chemical Co. 2.700%, 01/15/20 ...........2,000 2,032,220 Enterprise Products Operating LLC 5.250%, 01/31/20 ...........2,000 2,160,668 Exelon Generation Co. LLC 2.950%, 01/15/20 ...........2,000 2,030,920 Express Scripts Holding Co. 2.250%, 06/15/19 ...........2,000 2,006,256 Humana, Inc. 2.625%, 10/01/19 ...........2,000 2,025,488 Morgan Stanley 2.375%, 07/23/19 ...........2,000 2,014,102 Ryder System, Inc. 2.450%, 09/03/19 ...........2,000 2,012,646 Scripps Networks Interactive, Inc. 2.750%, 11/15/19 ...........2,000 2,023,218 Time Warner, Inc. 4.875%, 03/15/20 ...........2,000 2,145,176 Tyson Foods, Inc. 2.650%, 08/15/19 ...........2,000 2,020,316 Zimmer Biomet Holdings, Inc. 2.700%, 04/01/20 ...........2,000 2,022,012 Other Securities .................40,847,459 TOTAL UNITED STATES .........85,831,333 TOTAL BONDS .................218,824,127 Face Amount^Value† (000) U.S. TREASURY OBLIGATIONS — (13.8%) U.S. Treasury Notes 1.125%, 01/15/19 ...........8,700 $ 8,684,366 1.125%, 03/31/20 ...........26,700 26,463,251 TOTAL U.S. TREASURY OBLIGATIONS ................35,147,617 TOTAL INVESTMENT SECURITIES .................253,971,744 Shares SECURITIES LENDING COLLATERAL — (—%) §@ DFA Short Term Investment Fund .................... 114 1,323 TOTAL INVESTMENTS — (100.0%) (Cost $253,895,484)...........$253,973,067 12 ENHANCED U.S. LARGE COMPANY PORTFOLIO CONTINUED Summary of the Portfolio’s investments as of April 30, 2017, 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 ............................................... — $17,437,485 — $ 17,437,485 Austria ................................................ —5,007,270 — 5,007,270 Belgium ............................................... —1,220,223 — 1,220,223 Canada ............................................... —24,699,068 — 24,699,068 Denmark .............................................. —5,285,865 — 5,285,865 Finland ................................................ —2,992,161 — 2,992,161 France ................................................ —3,587,356 — 3,587,356 Germany .............................................. —11,400,550 — 11,400,550 Ireland ................................................ —4,470,241 — 4,470,241 Japan ................................................. —7,465,021 — 7,465,021 Netherlands ............................................ —23,797,481 — 23,797,481 Norway ................................................ —7,488,408 — 7,488,408 Supranational Organization Obligations ..................... —7,759,041 — 7,759,041 Sweden ............................................... —2,713,885 — 2,713,885 Switzerland ............................................ —1,400,283 — 1,400,283 United Kingdom ......................................... —6,268,456 — 6,268,456 United States ........................................... —85,831,333 — 85,831,333 U.S. Treasury Obligations .................................. —35,147,617 — 35,147,617 Securities Lending Collateral ................................ —1,323 — 1,323 Futures Contracts**.......................................$2,995,577 — — 2,995,577 TOTAL ..................................................$2,995,577 $253,973,067 — $256,968,644 ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 13 U.S. LARGE CAP EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value† Percentage of Net Assets** COMMON STOCKS — (96.6%) Consumer Discretionary — (14.8%) * Amazon.com, Inc..........................................18,767 $ 17,359,287 1.7% Comcast Corp. Class A .....................................287,333 11,260,580 1.1% Home Depot, Inc. (The).....................................55,364 8,642,320 0.8% Lowe’s Cos., Inc...........................................44,366 3,765,786 0.4% McDonald’s Corp..........................................26,974 3,774,472 0.4% Starbucks Corp............................................62,954 3,781,017 0.4% Walt Disney Co. (The)......................................75,950 8,779,820 0.8% Other Securities ...........................................100,513,720 9.6% Total Consumer Discretionary ....................................157,877,002 15.2% Consumer Staples — (8.4%) Altria Group, Inc...........................................87,167 6,256,847 0.6% Coca-Cola Co. (The).......................................177,393 7,654,508 0.7% CVS Health Corp..........................................48,410 3,990,920 0.4% PepsiCo, Inc..............................................64,099 7,261,135 0.7% Philip Morris International, Inc................................51,373 5,694,183 0.6% Procter & Gamble Co. (The).................................111,304 9,720,178 0.9% Wal-Mart Stores, Inc........................................87,376 6,568,928 0.6% Walgreens Boots Alliance, Inc................................46,029 3,983,350 0.4% Other Securities ...........................................38,823,691 3.7% Total Consumer Staples .........................................89,953,740 8.6% Energy — (5.2%) Chevron Corp.............................................60,073 6,409,789 0.6% Exxon Mobil Corp..........................................127,724 10,428,665 1.0% Other Securities ...........................................38,416,873 3.7% Total Energy ..................................................55,255,327 5.3% Financials — (14.3%) Bank of America Corp......................................373,238 8,711,375 0.8% * Berkshire Hathaway, Inc. Class B ............................59,826 9,883,853 1.0% Citigroup, Inc..............................................89,769 5,307,143 0.5% JPMorgan Chase & Co......................................155,585 13,535,895 1.3% Wells Fargo & Co..........................................207,376 11,165,124 1.1% Other Securities ...........................................104,413,737 10.0% Total Financials ................................................153,017,127 14.7% Health Care — (12.6%) AbbVie, Inc...............................................68,920 4,544,585 0.4% Amgen, Inc...............................................31,515 5,147,030 0.5% * Celgene Corp.............................................32,831 4,072,686 0.4% Johnson & Johnson ........................................117,807 14,545,630 1.4% Merck & Co., Inc...........................................119,459 7,445,879 0.7% Pfizer, Inc.................................................321,597 10,908,570 1.1% UnitedHealth Group, Inc.....................................41,232 7,210,652 0.7% Other Securities ...........................................80,722,884 7.7% Total Health Care ..............................................134,597,916 12.9% Industrials — (11.8%) 3MCo....................................................26,886 5,265,085 0.5% Boeing Co. (The)..........................................25,987 4,803,177 0.5% General Electric Co.........................................342,505 9,929,220 1.0% Honeywell International, Inc..................................33,512 4,394,764 0.4% 14 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** Industrials — (Continued) Union Pacific Corp.........................................45,307 $ 5,072,572 0.5% United Technologies Corp...................................43,205 5,140,963 0.5% Other Securities ...........................................90,889,275 8.7% Total Industrials ...............................................125,495,056 12.1% Information Technology — (20.4%) Accenture P.L.C. Class A ...................................31,458 3,815,855 0.4% * Alphabet, Inc. Class A ......................................10,745 9,933,967 1.0% * Alphabet, Inc. Class C .....................................11,285 10,223,759 1.0% Apple, Inc................................................215,464 30,951,404 3.0% Cisco Systems, Inc.........................................208,936 7,118,450 0.7% * Facebook, Inc. Class A .....................................68,220 10,250,055 1.0% Intel Corp.................................................241,422 8,727,405 0.8% International Business Machines Corp.........................43,508 6,973,897 0.7% Mastercard, Inc. Class A ....................................48,631 5,656,758 0.5% Microsoft Corp............................................299,894 20,530,743 2.0% Oracle Corp...............................................129,267 5,811,844 0.6% Texas Instruments, Inc......................................50,780 4,020,760 0.4% # Visa, Inc. Class A .........................................74,058 6,755,571 0.7% Other Securities ...........................................87,368,113 8.1% Total Information Technology ....................................218,138,581 20.9% Materials — (3.6%) Other Securities ...........................................38,801,265 3.7% Real Estate — (0.3%) Other Securities ...........................................2,582,318 0.2% Telecommunication Services — (2.6%) AT&T, Inc................................................377,616 14,964,922 1.4% Verizon Communications, Inc................................187,985 8,630,392 0.8% Other Securities ...........................................4,438,365 0.5% Total Telecommunication Services ................................28,033,679 2.7% Utilities — (2.6%) Other Securities ...........................................27,774,396 2.7% TOTAL COMMON STOCKS .....................................1,031,526,407 99.0% RIGHTS/WARRANTS — (0.0%) Other Securities ...........................................7,305 0.0% TOTAL INVESTMENT SECURITIES ..............................1,031,533,712 TEMPORARY CASH INVESTMENTS — (0.5%) State Street Institutional U.S. Government Money Market Fund, 0.680%................................................5,107,938 5,107,938 0.5% SECURITIES LENDING COLLATERAL — (2.9%) §@ DFA Short Term Investment Fund ............................2,686,276 31,088,275 3.0% TOTAL INVESTMENTS — (100.0%) (Cost $902,766,517).......................................$1,067,729,925 102.5% 15 U.S. LARGE CAP EQUITY PORTFOLIO CONTINUED Summary of the Portfolio’s investments as of April 30, 2017, 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 ............................. $157,877,002 — — $ 157,877,002 Consumer Staples ..................................89,953,740 — — 89,953,740 Energy ............................................55,255,327 — — 55,255,327 Financials .........................................153,017,127 — — 153,017,127 Health Care ........................................134,597,916 — — 134,597,916 Industrials .........................................125,495,056 — — 125,495,056 Information Technology ..............................218,138,581 — — 218,138,581 Materials ..........................................38,801,265 — — 38,801,265 Real Estate ........................................2,582,318 — — 2,582,318 Telecommunication Services .........................28,033,679 — — 28,033,679 Utilities ............................................27,774,396 — — 27,774,396 Rights/Warrants ...................................... — $7,305 — 7,305 Temporary Cash Investments ...........................5,107,938 — — 5,107,938 Securities Lending Collateral ........................... —31,088,275 — 31,088,275 Futures Contracts**...................................1,023 — — 1,023 TOTAL ..............................................$1,036,635,368 $31,095,580 — $1,067,730,948 ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 16 U.S. LARGE CAP VALUE PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2017 (Unaudited) Value† AFFILIATED INVESTMENT COMPANY — (100.0%) Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company ...............................................$21,064,988,669 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $14,743,776,593)......................................................$21,064,988,669 Summary of the Portfolio’s Master Fund’s investments as of April 30, 2017, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 17 U.S. TARGETED VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value† Percentage of Net Assets** COMMON STOCKS — (83.8%) Consumer Discretionary — (12.5%) # CalAtlantic Group, Inc...................................1,112,227 $ 40,284,862 0.4% # Kohl’s Corp............................................1,003,092 39,150,681 0.4% * Madison Square Garden Co. (The) Class A .................187,861 37,904,714 0.4% # Penske Automotive Group, Inc............................730,052 34,830,781 0.4% # PulteGroup, Inc.........................................3,308,268 74,998,436 0.8% Staples, Inc............................................5,235,500 51,150,835 0.5% # Toll Brothers, Inc........................................1,935,113 69,644,717 0.7% Other Securities ........................................1,076,549,460 11.2% Total Consumer Discretionary .................................1,424,514,486 14.8% Consumer Staples — (2.2%) #* Post Holdings, Inc.......................................498,951 42,006,685 0.4% Other Securities ........................................209,331,683 2.2% Total Consumer Staples .....................................251,338,368 2.6% Energy — (7.1%) #* CONSOL Energy, Inc....................................2,980,049 45,237,144 0.5% # HollyFrontier Corp......................................1,989,315 55,979,324 0.6% # Murphy Oil Corp........................................1,768,756 46,306,032 0.5% # Nabors Industries, Ltd...................................3,371,391 34,860,183 0.4% #* Transocean, Ltd........................................4,853,043 53,529,064 0.6% Other Securities ........................................577,360,487 5.8% Total Energy ...............................................813,272,234 8.4% Financials — (22.2%) Allied World Assurance Co. Holdings AG ...................916,893 48,677,849 0.5% American Financial Group, Inc............................387,636 37,720,859 0.4% Assurant, Inc...........................................583,134 56,120,816 0.6% Assured Guaranty, Ltd...................................1,438,096 54,834,600 0.6% Axis Capital Holdings, Ltd................................875,934 57,724,051 0.6% # Investors Bancorp, Inc...................................3,494,999 48,405,736 0.5% # Legg Mason, Inc........................................942,615 35,234,949 0.4% # Navient Corp...........................................2,556,220 38,854,544 0.4% Old Republic International Corp...........................1,900,386 39,299,982 0.4% # PacWest Bancorp ......................................1,146,079 56,604,842 0.6% # People’s United Financial, Inc.............................3,756,568 65,627,243 0.7% # Prosperity Bancshares, Inc...............................631,538 42,439,354 0.4% Reinsurance Group of America, Inc........................324,024 40,515,961 0.4% # RenaissanceRe Holdings, Ltd.............................423,464 60,203,877 0.6% Umpqua Holdings Corp..................................2,390,030 42,231,830 0.4% Validus Holdings, Ltd....................................783,685 43,322,107 0.5% # Zions Bancorporation ...................................916,829 36,700,665 0.4% Other Securities ........................................1,725,243,238 17.8% Total Financials .............................................2,529,762,503 26.2% Health Care — (4.3%) Other Securities ........................................486,437,667 5.0% Industrials — (18.4%) #* AECOM ..............................................1,361,250 46,568,362 0.5% # AGCO Corp............................................929,613 59,485,936 0.6% # Air Lease Corp.........................................1,011,383 38,574,148 0.4% * Colfax Corp............................................919,847 37,226,208 0.4% 18 U.S. TARGETED VALUE PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** Industrials — (Continued) #* Genesee & Wyoming, Inc. Class A ........................579,330 $ 39,255,401 0.4% Jacobs Engineering Group, Inc...........................1,286,761 70,668,914 0.7% * JetBlue Airways Corp...................................2,670,322 58,293,129 0.6% #* Kirby Corp.............................................545,422 38,506,793 0.4% ManpowerGroup, Inc....................................345,864 34,925,347 0.4% Owens Corning ........................................1,025,375 62,394,069 0.7% * Quanta Services, Inc....................................1,728,344 61,252,511 0.6% Ryder System, Inc......................................540,258 36,688,921 0.4% # Trinity Industries, Inc....................................1,557,299 41,891,343 0.4% Other Securities .......................................1,473,225,450 15.3% Total Industrials ............................................2,098,956,532 21.8% Information Technology — (10.9%) * Arrow Electronics, Inc...................................1,011,843 71,334,932 0.7% Avnet, Inc.............................................1,615,113 62,488,722 0.7% # Jabil Circuit, Inc........................................1,475,340 42,814,367 0.5% Marvell Technology Group, Ltd...........................2,487,280 37,358,946 0.4% #* Tech Data Corp........................................386,025 36,923,291 0.4% Other Securities .......................................988,439,992 10.1% Total Information Technology .................................1,239,360,250 12.8% Materials — (4.6%) # Olin Corp..............................................1,184,056 38,043,719 0.4% Reliance Steel & Aluminum Co............................819,428 64,587,315 0.7% Other Securities .......................................418,794,429 4.3% Total Materials .............................................521,425,463 5.4% Real Estate — (0.4%) Other Securities .......................................47,519,465 0.5% Telecommunication Services — (0.8%) Other Securities .......................................85,250,957 0.9% Utilities — (0.4%) Other Securities .......................................43,544,804 0.5% TOTAL COMMON STOCKS ..................................9,541,382,729 98.9% TOTAL INVESTMENT SECURITIES ...........................9,541,382,729 TEMPORARY CASH INVESTMENTS — (1.2%) State Street Institutional U.S. Government Money Market Fund, 0.680%.............................................134,136,158 134,136,158 1.4% SECURITIES LENDING COLLATERAL — (15.0%) §@ DFA Short Term Investment Fund .........................147,224,651 1,703,830,892 17.6% TOTAL INVESTMENTS — (100.0%) (Cost $9,616,092,312).....................................$11,379,349,779 117.9% 19 U.S. TARGETED VALUE PORTFOLIO CONTINUED Summary of the Portfolio’s investments as of April 30, 2017, 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 ..................................$1,423,271,725 $ 1,242,761 — $ 1,424,514,486 Consumer Staples .......................................251,338,368 — — 251,338,368 Energy ................................................813,272,234 — — 813,272,234 Financials ..............................................2,529,762,503 — — 2,529,762,503 Health Care ............................................486,437,667 — — 486,437,667 Industrials ..............................................2,098,956,532 — — 2,098,956,532 Information Technology ..................................1,239,360,250 — — 1,239,360,250 Materials ...............................................521,425,463 — — 521,425,463 Real Estate ............................................47,519,465 — — 47,519,465 Telecommunication Services ..............................85,250,957 — — 85,250,957 Utilities ................................................43,544,804 — — 43,544,804 Temporary Cash Investments ...............................134,136,158 — — 134,136,158 Securities Lending Collateral ................................ —1,703,830,892 — 1,703,830,892 Futures Contracts**.......................................517,857 — — 517,857 TOTAL ..................................................$9,674,793,983 $1,705,073,653 — $11,379,867,636 ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 20 U.S. SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value† Percentage of Net Assets** COMMON STOCKS — (87.5%) Consumer Discretionary — (13.4%) # Aaron’s, Inc............................................2,630,659 $ 94,545,884 0.7% # DeVry Education Group, Inc...............................2,279,058 86,262,345 0.6% # Marriott Vacations Worldwide Corp.........................735,327 81,018,329 0.6% #* TRI Pointe Group, Inc....................................5,761,788 71,734,261 0.5% Other Securities ........................................1,828,925,138 12.7% Total Consumer Discretionary .................................2,162,485,957 15.1% Consumer Staples — (4.1%) #* Darling Ingredients, Inc...................................6,016,808 91,034,305 0.6% # Fresh Del Monte Produce, Inc.............................1,805,623 110,684,690 0.8% # Seaboard Corp.........................................18,363 77,749,126 0.5% # Universal Corp..........................................835,660 61,379,227 0.4% Other Securities ........................................325,566,472 2.3% Total Consumer Staples ......................................666,413,820 4.6% Energy — (8.2%) # Nabors Industries, Ltd....................................6,698,859 69,266,202 0.5% #* Oasis Petroleum, Inc.....................................7,863,821 93,894,023 0.7% # Patterson-UTI Energy, Inc................................3,900,459 84,425,435 0.6% # PBF Energy, Inc. Class A ................................3,373,654 75,299,957 0.5% #* Rowan Cos. P.L.C. Class A ...............................4,891,454 68,822,758 0.5% * Whiting Petroleum Corp..................................11,805,777 97,987,949 0.7% Other Securities ........................................838,435,433 5.8% Total Energy ................................................1,328,131,757 9.3% Financials — (23.7%) # American Equity Investment Life Holding Co.................3,211,831 76,184,631 0.5% Argo Group International Holdings, Ltd......................1,082,821 71,412,045 0.5% Aspen Insurance Holdings, Ltd............................1,997,554 104,571,952 0.7% # Associated Banc-Corp ...................................4,440,682 110,572,982 0.8% CNO Financial Group, Inc.................................4,510,009 95,025,890 0.7% # Fulton Financial Corp....................................5,522,644 101,892,782 0.7% # Hancock Holding Co.....................................2,234,490 104,350,683 0.7% Hanover Insurance Group, Inc. (The).......................1,198,891 105,826,109 0.8% Iberiabank Corp.........................................1,066,802 84,650,739 0.6% Kemper Corp...........................................1,702,554 66,995,500 0.5% # MB Financial, Inc........................................1,998,996 84,977,320 0.6% # Old National Bancorp....................................3,969,135 66,681,468 0.5% # Selective Insurance Group, Inc............................1,755,082 92,668,330 0.7% # Washington Federal, Inc..................................2,995,613 100,952,158 0.7% Wintrust Financial Corp...................................1,581,628 112,074,160 0.8% Other Securities ........................................2,450,653,747 17.0% Total Financials .............................................3,829,490,496 26.8% Health Care — (3.9%) #* LifePoint Health, Inc.....................................1,220,067 75,827,164 0.5% Other Securities ........................................563,126,487 4.0% Total Health Care ...........................................638,953,651 4.5% Industrials — (15.7%) # Aircastle, Ltd...........................................2,623,128 61,958,283 0.4% #* DigitalGlobe, Inc........................................2,340,325 75,358,465 0.5% #* Esterline Technologies Corp..............................1,083,684 99,102,902 0.7% 21 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** Industrials — (Continued) # GATX Corp............................................1,651,625 $ 98,932,337 0.7% SkyWest, Inc...........................................1,687,220 62,764,584 0.4% # Terex Corp.............................................2,506,053 87,661,734 0.6% * WESCO International, Inc................................1,329,218 81,015,837 0.6% Other Securities ........................................1,972,083,511 13.9% Total Industrials .............................................2,538,877,653 17.8% Information Technology — (12.4%) * CACI International, Inc. Class A ...........................849,691 100,263,538 0.7% # Convergys Corp........................................3,776,945 85,019,032 0.6% #* Cree, Inc..............................................3,027,240 66,236,011 0.5% # MKS Instruments, Inc....................................1,201,698 94,032,868 0.7% #* Sanmina Corp..........................................2,606,192 97,080,652 0.7% # SYNNEX Corp..........................................847,108 91,851,920 0.7% #* Tech Data Corp.........................................1,054,751 100,886,933 0.7% # Vishay Intertechnology, Inc...............................4,923,147 80,493,453 0.6% Other Securities ........................................1,282,645,960 8.8% Total Information Technology .................................1,998,510,367 14.0% Materials — (5.1%) # Carpenter Technology Corp...............................1,553,161 63,058,337 0.4% # Commercial Metals Co...................................4,169,164 77,713,217 0.5% Domtar Corp...........................................2,221,439 88,080,056 0.6% # Hecla Mining Co........................................12,535,408 68,317,974 0.5% Other Securities ........................................532,835,962 3.8% Total Materials ..............................................830,005,546 5.8% Real Estate — (0.2%) Other Securities ........................................27,093,537 0.2% Telecommunication Services — (0.8%) Telephone & Data Systems, Inc...........................2,493,615 68,474,668 0.5% Other Securities ........................................57,602,565 0.4% Total Telecommunication Services .............................126,077,233 0.9% Utilities — (0.0%) Other Securities ........................................6,919,066 0.0% TOTAL COMMON STOCKS ..................................14,152,959,083 99.0% TOTAL INVESTMENT SECURITIES ...........................14,152,959,083 TEMPORARY CASH INVESTMENTS — (0.8%) State Street Institutional U.S. Government Money Market Fund, 0.680%.............................................126,007,973 126,007,973 0.9% SECURITIES LENDING COLLATERAL — (11.7%) §@ DFA Short Term Investment Fund .........................164,232,188 1,900,659,111 13.3% TOTAL INVESTMENTS — (100.0%) (Cost $12,611,886,187)....................................$16,179,626,167 113.2% 22 U.S. SMALL CAP VALUE PORTFOLIO CONTINUED Summary of the Portfolio’s investments as of April 30, 2017, 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 ......................... $2,161,413,947 $ 1,072,010 — $ 2,162,485,957 Consumer Staples .............................666,413,820 — — 666,413,820 Energy .......................................1,328,131,757 — — 1,328,131,757 Financials ....................................3,829,490,496 — — 3,829,490,496 Health Care ...................................638,953,651 — — 638,953,651 Industrials ....................................2,538,877,653 — — 2,538,877,653 Information Technology .........................1,998,510,367 — — 1,998,510,367 Materials .....................................830,005,546 — — 830,005,546 Real Estate ...................................27,093,537 — — 27,093,537 Telecommunication Services .....................126,077,233 — — 126,077,233 Utilities .......................................6,919,066 — — 6,919,066 Temporary Cash Investments ......................126,007,973 — — 126,007,973 Securities Lending Collateral ....................... —1,900,659,111 — 1,900,659,111 Futures Contracts**..............................1,189,504 — — 1,189,504 TOTAL .........................................$14,279,084,550 $1,901,731,121 — $16,180,815,671 ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 23 U.S. CORE EQUITY 1 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value† Percentage of Net Assets** COMMON STOCKS — (90.3%) Consumer Discretionary — (14.3%) * Amazon.com, Inc........................................284,735 $ 263,377,028 1.4% Comcast Corp. Class A ..................................4,057,379 159,008,683 0.9% Home Depot, Inc. (The)..................................852,036 133,002,820 0.7% McDonald’s Corp........................................527,922 73,872,125 0.4% Starbucks Corp.........................................1,007,502 60,510,570 0.3% Walt Disney Co. (The)...................................910,925 105,302,930 0.6% Other Securities ........................................2,087,736,478 11.4% Total Consumer Discretionary .................................2,882,810,634 15.7% Consumer Staples — (7.2%) Altria Group, Inc.........................................1,353,494 97,153,799 0.5% Coca-Cola Co. (The)....................................2,498,932 107,828,916 0.6% CVS Health Corp........................................645,839 53,242,967 0.3% PepsiCo, Inc............................................1,007,642 114,145,686 0.6% Philip Morris International, Inc.............................687,129 76,161,378 0.4% Procter & Gamble Co. (The)..............................1,243,715 108,613,631 0.6% Wal-Mart Stores, Inc.....................................1,321,553 99,354,355 0.5% Other Securities ........................................789,902,551 4.4% Total Consumer Staples ......................................1,446,403,283 7.9% Energy — (4.4%) Chevron Corp...........................................925,612 98,762,800 0.6% Exxon Mobil Corp.......................................1,701,638 138,938,743 0.8% Other Securities ........................................646,170,976 3.4% Total Energy ................................................883,872,519 4.8% Financials — (14.0%) Bank of America Corp....................................5,599,136 130,683,834 0.7% * Berkshire Hathaway, Inc. Class B ..........................930,687 153,758,799 0.9% Citigroup, Inc...........................................1,581,065 93,472,563 0.5% JPMorgan Chase & Co...................................2,148,927 186,956,649 1.0% Wells Fargo & Co.......................................2,909,420 156,643,173 0.9% Other Securities ........................................2,105,877,671 11.4% Total Financials .............................................2,827,392,689 15.4% Health Care — (10.4%) AbbVie, Inc.............................................1,092,274 72,024,548 0.4% Amgen, Inc.............................................349,369 57,058,945 0.3% * Celgene Corp...........................................544,650 67,563,832 0.4% Gilead Sciences, Inc.....................................809,650 55,501,507 0.3% Johnson & Johnson .....................................1,287,481 158,965,279 0.9% Merck & Co., Inc........................................1,335,662 83,251,812 0.5% Pfizer, Inc..............................................3,582,107 121,505,069 0.7% UnitedHealth Group, Inc..................................598,591 104,681,594 0.6% Other Securities ........................................1,366,312,205 7.3% Total Health Care ...........................................2,086,864,791 11.4% Industrials — (12.3%) 3MCo.................................................417,065 81,673,839 0.5% Boeing Co. (The).......................................406,553 75,143,191 0.4% General Electric Co......................................2,874,270 83,325,087 0.5% Honeywell International, Inc...............................427,001 55,996,911 0.3% Union Pacific Corp.......................................498,031 55,759,551 0.3% 24 U.S. CORE EQUITY 1PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** Industrials — (Continued) United Parcel Service, Inc. Class B ........................476,456 $ 51,199,962 0.3% United Technologies Corp................................532,026 63,305,774 0.4% Other Securities ........................................2,010,062,083 10.8% Total Industrials .............................................2,476,466,398 13.5% Information Technology — (18.5%) Accenture P.L.C. Class A ................................431,332 52,320,572 0.3% * Alphabet, Inc. Class A ...................................108,011 99,858,330 0.6% * Alphabet, Inc. Class C ...................................113,508 102,833,708 0.6% Apple, Inc..............................................3,766,502 541,058,012 3.0% Cisco Systems, Inc......................................2,849,851 97,094,424 0.5% * Facebook, Inc. Class A ..................................1,117,863 167,958,916 0.9% Intel Corp..............................................3,555,626 128,535,880 0.7% International Business Machines Corp......................633,170 101,490,819 0.6% Mastercard, Inc. Class A .................................674,690 78,479,941 0.4% Microsoft Corp..........................................4,408,179 301,783,934 1.7% Oracle Corp............................................1,459,376 65,613,545 0.4% Texas Instruments, Inc...................................682,286 54,023,405 0.3% # Visa, Inc. Class A .......................................1,083,518 98,838,512 0.5% Other Securities ........................................1,832,740,366 9.8% Total Information Technology .................................3,722,630,364 20.3% Materials — (4.1%) Other Securities ........................................826,133,600 4.5% Real Estate — (0.3%) Other Securities ........................................60,949,410 0.3% Telecommunication Services — (2.2%) AT&T, Inc..............................................5,343,722 211,771,703 1.2% Verizon Communications, Inc.............................2,848,582 130,778,400 0.7% Other Securities ........................................94,451,861 0.5% Total Telecommunication Services .............................437,001,964 2.4% Utilities — (2.6%) Other Securities ........................................526,870,407 2.9% TOTAL COMMON STOCKS ..................................18,177,396,059 99.1% RIGHTS/WARRANTS — (0.0%) Other Securities ........................................286,870 0.0% TOTAL INVESTMENT SECURITIES ...........................18,177,682,929 TEMPORARY CASH INVESTMENTS — (0.7%) State Street Institutional U.S. Government Money Market Fund, 0.680%.............................................140,211,829 140,211,829 0.8% SECURITIES LENDING COLLATERAL — (9.0%) §@ DFA Short Term Investment Fund .........................156,034,311 1,805,785,077 9.8% TOTAL INVESTMENTS — (100.0%) (Cost $14,584,804,362)....................................$20,123,679,835 109.7% 25 U.S. CORE EQUITY 1PORTFOLIO CONTINUED Summary of the Portfolio’s investments as of April 30, 2017, 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 ......................... $2,882,744,962 $ 65,672 — $ 2,882,810,634 Consumer Staples .............................1,446,403,283 — — 1,446,403,283 Energy .......................................883,872,519 — — 883,872,519 Financials ....................................2,827,392,689 — — 2,827,392,689 Health Care ...................................2,086,864,791 — — 2,086,864,791 Industrials ....................................2,476,466,398 — — 2,476,466,398 Information Technology .........................3,722,630,364 — — 3,722,630,364 Materials .....................................826,133,600 — — 826,133,600 Real Estate ...................................60,949,410 — — 60,949,410 Telecommunication Services .....................437,001,964 — — 437,001,964 Utilities .......................................526,870,407 — — 526,870,407 Rights/Warrants ................................. —286,870 — 286,870 Temporary Cash Investments ......................140,211,829 — — 140,211,829 Securities Lending Collateral ....................... —1,805,785,077 — 1,805,785,077 Futures Contracts**..............................328,629 — — 328,629 TOTAL .........................................$18,317,870,845 $1,806,137,619 — $20,124,008,464 ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 26 U.S. CORE EQUITY 2 PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value† Percentage of Net Assets** COMMON STOCKS — (89.8%) Consumer Discretionary — (13.5%) * Amazon.com, Inc........................................119,448 $ 110,488,206 0.6% * Charter Communications, Inc. Class A ......................203,447 70,221,767 0.4% Comcast Corp. Class A ..................................5,459,654 213,963,840 1.1% Ford Motor Co..........................................4,256,529 48,822,388 0.3% General Motors Co......................................1,628,062 56,396,068 0.3% Home Depot, Inc. (The)..................................339,073 52,929,295 0.3% Time Warner, Inc........................................819,384 81,340,250 0.4% Walt Disney Co. (The)...................................949,440 109,755,264 0.6% Other Securities ........................................2,263,239,381 10.8% Total Consumer Discretionary .................................3,007,156,459 14.8% Consumer Staples — (6.2%) Coca-Cola Co. (The)....................................1,420,248 61,283,701 0.3% CVS Health Corp........................................951,257 78,421,627 0.4% PepsiCo, Inc............................................441,915 50,060,131 0.3% Procter & Gamble Co. (The)..............................1,360,960 118,852,637 0.6% Wal-Mart Stores, Inc.....................................1,850,588 139,127,206 0.7% Walgreens Boots Alliance, Inc.............................825,718 71,457,636 0.4% Other Securities ........................................854,738,027 4.1% Total Consumer Staples ......................................1,373,940,965 6.8% Energy — (5.2%) Chevron Corp...........................................1,234,214 131,690,634 0.7% Exxon Mobil Corp.......................................1,978,605 161,553,098 0.8% Other Securities ........................................860,795,876 4.2% Total Energy ................................................1,154,039,608 5.7% Financials — (16.7%) American Express Co....................................831,568 65,901,764 0.3% Bank of America Corp....................................6,518,226 152,135,395 0.8% * Berkshire Hathaway, Inc. Class B ..........................456,755 75,460,494 0.4% Citigroup, Inc...........................................1,745,438 103,190,295 0.5% Goldman Sachs Group, Inc. (The).........................282,295 63,177,621 0.3% JPMorgan Chase & Co...................................2,916,097 253,700,439 1.3% U.S. Bancorp...........................................1,202,817 61,680,456 0.3% Wells Fargo & Co.......................................4,176,562 224,866,098 1.1% Other Securities ........................................2,738,205,713 13.4% Total Financials .............................................3,738,318,275 18.4% Health Care — (9.8%) Abbott Laboratories .....................................1,267,250 55,302,790 0.3% Allergan P.L.C..........................................211,621 51,605,897 0.3% Amgen, Inc.............................................327,896 53,551,975 0.3% Johnson & Johnson .....................................1,239,975 153,099,713 0.8% Medtronic P.L.C.........................................642,842 53,413,742 0.3% Merck & Co., Inc........................................1,222,425 76,193,750 0.4% Pfizer, Inc..............................................4,993,637 169,384,167 0.8% UnitedHealth Group, Inc..................................617,082 107,915,300 0.5% Other Securities ........................................1,464,069,534 7.1% Total Health Care ...........................................2,184,536,868 10.8% 27 U.S. CORE EQUITY 2PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** Industrials — (12.9%) CSX Corp..............................................987,114 $ 50,184,876 0.3% Delta Air Lines, Inc......................................1,137,994 51,710,447 0.3% General Electric Co......................................3,181,174 92,222,234 0.5% Union Pacific Corp......................................671,012 75,126,504 0.4% United Technologies Corp................................592,959 70,556,191 0.4% Other Securities ........................................2,533,390,439 12.3% Total Industrials .............................................2,873,190,691 14.2% Information Technology — (16.8%) * Alphabet, Inc. Class A ...................................95,859 88,623,563 0.4% * Alphabet, Inc. Class C ...................................100,541 91,086,124 0.5% Apple, Inc..............................................3,188,839 458,076,722 2.3% Cisco Systems, Inc......................................4,695,731 159,983,555 0.8% * Facebook, Inc. Class A ..................................583,793 87,714,898 0.4% Intel Corp..............................................5,141,165 185,853,115 0.9% Microsoft Corp..........................................3,539,615 242,322,043 1.2% Oracle Corp............................................1,400,777 62,978,934 0.3% QUALCOMM, Inc.......................................1,310,728 70,438,523 0.4% # Visa, Inc. Class A .......................................643,473 58,697,607 0.3% Other Securities ........................................2,248,556,129 11.0% Total Information Technology .................................3,754,331,213 18.5% Materials — (4.3%) Dow Chemical Co. (The).................................878,752 55,185,626 0.3% Other Securities ........................................913,043,000 4.5% Total Materials ..............................................968,228,626 4.8% Real Estate — (0.4%) Other Securities ........................................79,231,879 0.4% Telecommunication Services — (2.3%) AT&T, Inc..............................................7,593,543 300,932,109 1.5% Verizon Communications, Inc.............................1,954,061 89,710,941 0.5% Other Securities ........................................131,346,600 0.6% Total Telecommunication Services .............................521,989,650 2.6% Utilities — (1.7%) Other Securities ........................................381,026,785 1.9% TOTAL COMMON STOCKS ..................................20,035,991,019 98.9% RIGHTS/WARRANTS — (0.0%) Other Securities ........................................312,987 0.0% TOTAL INVESTMENT SECURITIES ...........................20,036,304,006 TEMPORARY CASH INVESTMENTS — (1.0%) State Street Institutional U.S. Government Money Market Fund, 0.680%.............................................229,150,804 229,150,804 1.1% SECURITIES LENDING COLLATERAL — (9.2%) §@ DFA Short Term Investment Fund .........................177,643,414 2,055,867,234 10.2% TOTAL INVESTMENTS — (100.0%) (Cost $15,787,650,725)....................................$22,321,322,044 110.2% 28 U.S. CORE EQUITY 2PORTFOLIO CONTINUED Summary of the Portfolio’s investments as of April 30, 2017, 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 ......................... $3,006,972,559 $ 183,900 — $ 3,007,156,459 Consumer Staples .............................1,373,940,965 — — 1,373,940,965 Energy .......................................1,154,039,608 — — 1,154,039,608 Financials ....................................3,738,318,275 — — 3,738,318,275 Health Care ...................................2,184,536,868 — — 2,184,536,868 Industrials ....................................2,873,190,691 — — 2,873,190,691 Information Technology .........................3,754,331,213 — — 3,754,331,213 Materials .....................................968,228,626 — — 968,228,626 Real Estate ...................................79,231,879 — — 79,231,879 Telecommunication Services .....................521,989,650 — — 521,989,650 Utilities .......................................381,026,785 — — 381,026,785 Rights/Warrants ................................. —312,987 — 312,987 Temporary Cash Investments ......................229,150,804 — — 229,150,804 Securities Lending Collateral ....................... —2,055,867,234 — 2,055,867,234 Futures Contracts**..............................1,280,785 — — 1,280,785 TOTAL .........................................$20,266,238,708 $2,056,364,121 — $22,322,602,829 ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 29 U.S. VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value† Percentage of Net Assets** COMMON STOCKS — (86.1%) Consumer Discretionary — (12.6%) * Charter Communications, Inc. Class A ........................37,711 $ 13,016,329 0.3% Comcast Corp. Class A ....................................530,175 20,777,558 0.5% Ford Motor Co............................................1,060,195 12,160,437 0.3% General Motors Co........................................390,610 13,530,730 0.3% Goodyear Tire & Rubber Co. (The)..........................241,087 8,734,582 0.2% Time Warner, Inc..........................................94,912 9,421,914 0.2% Walt Disney Co. (The).....................................118,253 13,670,047 0.3% Other Securities ..........................................550,500,954 12.3% Total Consumer Discretionary ...................................641,812,551 14.4% Consumer Staples — (4.0%) CVS Health Corp..........................................102,304 8,433,942 0.2% Procter & Gamble Co. (The)................................103,497 9,038,393 0.2% Wal-Mart Stores, Inc.......................................198,213 14,901,653 0.3% Walgreens Boots Alliance, Inc...............................96,800 8,377,072 0.2% Other Securities ..........................................161,592,087 3.7% Total Consumer Staples ........................................202,343,147 4.6% Energy — (6.1%) Chevron Corp............................................222,498 23,740,537 0.5% Exxon Mobil Corp.........................................296,620 24,219,023 0.6% # Tesoro Corp..............................................121,066 9,650,171 0.2% Valero Energy Corp........................................125,201 8,089,237 0.2% Other Securities ..........................................244,718,752 5.5% Total Energy ..................................................310,417,720 7.0% Financials — (20.4%) Bank of America Corp......................................1,204,998 28,124,653 0.6% Citigroup, Inc.............................................312,527 18,476,596 0.4% Fifth Third Bancorp ........................................403,189 9,849,907 0.2% Goldman Sachs Group, Inc. (The)...........................44,550 9,970,290 0.2% # Huntington Bancshares, Inc.................................748,332 9,623,550 0.2% JPMorgan Chase & Co.....................................550,713 47,912,031 1.1% KeyCorp .................................................482,222 8,795,729 0.2% Principal Financial Group, Inc...............................157,281 10,243,712 0.2% Regions Financial Corp.....................................613,306 8,432,957 0.2% Wells Fargo & Co.........................................846,080 45,552,947 1.0% Other Securities ..........................................843,924,088 19.1% Total Financials ...............................................1,040,906,460 23.4% Health Care — (7.1%) Allergan P.L.C............................................38,459 9,378,612 0.2% Anthem, Inc..............................................52,191 9,284,257 0.2% Johnson & Johnson .......................................108,631 13,412,670 0.3% Merck & Co., Inc..........................................149,737 9,333,107 0.2% Pfizer, Inc................................................602,303 20,430,118 0.5% UnitedHealth Group, Inc....................................78,101 13,658,303 0.3% Other Securities ..........................................288,749,532 6.5% Total Health Care .............................................364,246,599 8.2% Industrials — (14.4%) General Electric Co........................................299,460 8,681,345 0.2% Owens Corning ...........................................129,690 7,891,636 0.2% 30 U.S. VECTOR EQUITY PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** Industrials — (Continued) Union Pacific Corp........................................79,133 $ 8,859,731 0.2% * United Rentals, Inc........................................117,421 12,876,387 0.3% United Technologies Corp..................................89,909 10,698,272 0.3% #* XPO Logistics, Inc.........................................197,780 9,768,354 0.2% Other Securities ..........................................674,687,627 15.1% Total Industrials ...............................................733,463,352 16.5% Information Technology — (13.3%) * Alphabet, Inc. Class A .....................................10,302 9,524,405 0.2% * Alphabet, Inc. Class C .....................................10,827 9,808,829 0.2% Apple, Inc................................................329,973 47,400,621 1.1% Cisco Systems, Inc........................................479,871 16,349,205 0.4% Intel Corp................................................578,019 20,895,387 0.5% Jabil Circuit, Inc...........................................302,067 8,765,984 0.2% * Micron Technology, Inc.....................................650,355 17,995,323 0.4% Microsoft Corp............................................278,222 19,047,078 0.4% # Visa, Inc. Class A .........................................116,012 10,582,615 0.2% Western Digital Corp.......................................113,626 10,120,668 0.2% Other Securities ..........................................507,044,176 11.4% Total Information Technology ....................................677,534,291 15.2% Materials — (4.7%) Other Securities ..........................................239,103,797 5.4% Real Estate — (0.3%) Other Securities ..........................................17,279,091 0.4% Telecommunication Services — (2.3%) AT&T, Inc................................................1,501,915 59,520,891 1.4% # CenturyLink, Inc..........................................526,869 13,524,727 0.3% Verizon Communications, Inc...............................259,639 11,920,026 0.3% Other Securities ..........................................34,415,828 0.7% Total Telecommunication Services ...............................119,381,472 2.7% Utilities — (0.9%) Other Securities ..........................................47,896,602 1.1% TOTAL COMMON STOCKS ....................................4,394,385,082 98.9% RIGHTS/WARRANTS — (0.0%) Other Securities ..........................................61,222 0.0% TOTAL INVESTMENT SECURITIES .............................4,394,446,304 TEMPORARY CASH INVESTMENTS — (0.9%) State Street Institutional U.S. Government Money Market Fund, 0.680%...............................................45,293,421 45,293,421 1.0% SECURITIES LENDING COLLATERAL — (13.0%) §@ DFA Short Term Investment Fund ...........................57,408,502 664,388,590 15.0% TOTAL INVESTMENTS — (100.0%) (Cost $3,682,199,124).......................................$5,104,128,315 114.9% 31 U.S. VECTOR EQUITY PORTFOLIO CONTINUED Summary of the Portfolio’s investments as of April 30, 2017, 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 .......................... $641,738,783 $ 73,768 — $ 641,812,551 Consumer Staples ..............................202,343,147 — — 202,343,147 Energy ........................................310,417,720 — — 310,417,720 Financials ......................................1,040,906,460 — — 1,040,906,460 Health Care ....................................364,246,599 — — 364,246,599 Industrials .....................................733,463,352 — — 733,463,352 Information Technology ..........................677,534,291 — — 677,534,291 Materials ......................................239,103,797 — — 239,103,797 Real Estate ....................................17,279,091 — — 17,279,091 Telecommunication Services ......................119,381,472 — — 119,381,472 Utilities ........................................47,896,602 — — 47,896,602 Rights/Warrants .................................. —61,222 — 61,222 Temporary Cash Investments .......................45,293,421 — — 45,293,421 Securities Lending Collateral ........................ —664,388,590 — 664,388,590 Futures Contracts**...............................290,316 — — 290,316 TOTAL ..........................................$4,439,895,051 $664,523,580 — $5,104,418,631 ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 32 U.S. SMALL CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value† Percentage of Net Assets** COMMON STOCKS — (80.6%) Consumer Discretionary — (12.8%) #* Deckers Outdoor Corp...................................656,986 $ 39,149,796 0.3% #* Grand Canyon Education, Inc.............................499,376 37,533,100 0.2% Jack in the Box, Inc......................................398,413 40,626,174 0.3% # Papa John’s International, Inc.............................463,838 36,671,032 0.2% # Tenneco, Inc...........................................542,557 34,197,368 0.2% * Visteon Corp...........................................340,599 35,064,667 0.2% # Wendy’s Co. (The)......................................2,743,838 40,444,172 0.3% Other Securities ........................................2,207,934,857 14.0% Total Consumer Discretionary .................................2,471,621,166 15.7% Consumer Staples — (3.4%) # Sanderson Farms, Inc....................................381,768 44,201,099 0.3% Other Securities ........................................617,491,672 3.9% Total Consumer Staples ......................................661,692,771 4.2% Energy — (3.6%) Other Securities ........................................687,429,522 4.4% Financials — (17.4%) Associated Banc-Corp ...................................1,434,291 35,713,846 0.2% # BancorpSouth, Inc.......................................1,310,621 39,908,409 0.3% BGC Partners, Inc. Class A ...............................3,104,312 35,327,071 0.2% Cathay General Bancorp .................................1,123,773 42,759,563 0.3% Evercore Partners, Inc. Class A ...........................512,710 37,812,362 0.2% FNB Corp..............................................3,227,757 45,963,260 0.3% # Fulton Financial Corp....................................2,124,462 39,196,324 0.3% Hancock Holding Co.....................................781,269 36,485,262 0.2% # Mercury General Corp....................................593,604 36,500,710 0.2% # Pinnacle Financial Partners, Inc............................528,359 33,814,976 0.2% # Primerica, Inc...........................................596,328 49,972,286 0.3% PrivateBancorp, Inc......................................706,570 40,818,549 0.3% ProAssurance Corp......................................648,045 40,113,985 0.3% # Selective Insurance Group, Inc............................718,693 37,946,990 0.2% # Sterling Bancorp ........................................1,887,128 43,875,726 0.3% TCF Financial Corp......................................2,136,334 35,270,874 0.2% #* Texas Capital Bancshares, Inc.............................524,404 39,907,144 0.3% # UMB Financial Corp.....................................496,964 36,024,920 0.2% # United Bankshares, Inc...................................913,459 36,447,012 0.2% # Valley National Bancorp ..................................3,472,172 40,832,743 0.3% # Wintrust Financial Corp...................................515,201 36,507,143 0.2% Other Securities ........................................2,540,370,172 16.2% Total Financials .............................................3,361,569,327 21.4% Health Care — (6.6%) # Chemed Corp...........................................168,025 33,836,874 0.2% #* Integra LifeSciences Holdings Corp........................771,372 35,459,971 0.2% * Masimo Corp...........................................391,510 40,223,737 0.3% #* NuVasive, Inc...........................................476,938 34,582,774 0.2% Other Securities ........................................1,135,892,970 7.2% Total Health Care ...........................................1,279,996,326 8.1% 33 U.S. SMALL CAP PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** Industrials — (15.6%) * Beacon Roofing Supply, Inc...............................682,180 $ 33,815,663 0.2% #* Dycom Industries, Inc....................................329,337 34,797,747 0.2% EMCOR Group, Inc......................................527,088 34,650,765 0.2% EnerSys ..............................................433,616 36,037,826 0.2% Kennametal, Inc........................................850,849 35,378,301 0.2% * MasTec, Inc............................................933,917 41,232,436 0.3% # Timken Co. (The).......................................810,462 39,104,791 0.3% Valmont Industries, Inc...................................238,545 36,342,331 0.2% Other Securities ........................................2,710,307,991 17.3% Total Industrials .............................................3,001,667,851 19.1% Information Technology — (12.2%) # Belden, Inc.............................................500,667 34,896,490 0.2% #* Cirrus Logic, Inc........................................662,556 42,635,479 0.3% #* Coherent, Inc...........................................276,406 59,593,134 0.4% * Entegris, Inc............................................1,400,987 34,744,478 0.2% MKS Instruments, Inc....................................528,185 41,330,476 0.3% Other Securities ........................................2,133,473,902 13.5% Total Information Technology .................................2,346,673,959 14.9% Materials — (4.4%) * Louisiana-Pacific Corp...................................1,719,416 44,257,768 0.3% Other Securities ........................................799,578,267 5.1% Total Materials ..............................................843,836,035 5.4% Real Estate — (0.5%) Other Securities ........................................96,252,837 0.6% Telecommunication Services — (0.9%) Other Securities ........................................165,874,639 1.1% Utilities — (3.2%) # Black Hills Corp.........................................500,581 34,049,520 0.2% Southwest Gas Holdings, Inc..............................430,070 36,022,663 0.2% # WGL Holdings, Inc......................................421,322 34,742,212 0.2% Other Securities ........................................523,186,006 3.4% Total Utilities 628,000,401 4.0% TOTAL COMMON STOCKS ..................................15,544,614,834 98.9% TOTAL INVESTMENT SECURITIES ...........................15,544,614,834 TEMPORARY CASH INVESTMENTS — (1.1%) State Street Institutional U.S. Government Money Market Fund, 0.680%........................................211,738,229 211,738,229 1.3% SECURITIES LENDING COLLATERAL — (18.3%) §@ DFA Short Term Investment Fund .........................304,056,330 3,518,843,904 22.4% TOTAL INVESTMENTS — (100.0%) (Cost $15,605,036,262)....................................$19,275,196,967 122.6% 34 U.S. SMALL CAP PORTFOLIO CONTINUED Summary of the Portfolio’s investments as of April 30, 2017, 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 ......................... $2,471,052,761 $ 568,405 — $ 2,471,621,166 Consumer Staples .............................661,692,771 — — 661,692,771 Energy .......................................687,425,053 4,469 — 687,429,522 Financials ....................................3,361,569,327 — — 3,361,569,327 Health Care ...................................1,279,996,326 — — 1,279,996,326 Industrials ....................................3,001,667,851 — — 3,001,667,851 Information Technology .........................2,346,673,959 — — 2,346,673,959 Materials .....................................843,836,035 — — 843,836,035 Real Estate ...................................96,252,837 — — 96,252,837 Telecommunication Services .....................165,874,639 — — 165,874,639 Utilities .......................................628,000,401 — — 628,000,401 Temporary Cash Investments ......................211,738,229 — — 211,738,229 Securities Lending Collateral ....................... —3,518,843,904 — 3,518,843,904 Futures Contracts**..............................2,410,255 — — 2,410,255 TOTAL .........................................$15,758,190,444 $3,519,416,778 — $19,277,607,222 ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 35 U.S. MICRO CAP PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value† Percentage of Net Assets** COMMON STOCKS — (85.2%) Consumer Discretionary — (13.2%) * American Axle & Manufacturing Holdings, Inc..................826,992 $ 14,546,789 0.3% # Bob Evans Farms, Inc......................................234,571 15,655,269 0.3% Caleres, Inc..............................................489,203 14,098,830 0.3% # Children’s Place, Inc. (The).................................120,831 13,871,399 0.2% #* iRobot Corp..............................................241,122 19,227,068 0.3% La-Z-Boy, Inc.............................................546,869 15,257,645 0.3% Nutrisystem, Inc...........................................347,024 18,548,433 0.3% #* Select Comfort Corp.......................................443,759 13,712,153 0.2% # Sonic Corp...............................................598,492 16,087,465 0.3% Other Securities ..........................................753,625,451 12.8% Total Consumer Discretionary ...................................894,630,502 15.3% Consumer Staples — (2.9%) # Coca-Cola Bottling Co. Consolidated .........................73,233 15,515,143 0.3% # WD-40 Co...............................................145,060 15,209,541 0.3% Other Securities ..........................................163,677,122 2.7% Total Consumer Staples ........................................194,401,806 3.3% Energy — (2.2%) Other Securities ..........................................152,157,494 2.6% Financials — (19.8%) # Ameris Bancorp ..........................................359,211 16,918,838 0.3% Astoria Financial Corp......................................689,448 14,057,845 0.2% # Boston Private Financial Holdings, Inc........................934,943 14,585,111 0.3% FBL Financial Group, Inc. Class A ...........................252,835 16,813,527 0.3% # First Financial Bancorp ....................................530,631 14,671,947 0.3% #* Green Dot Corp. Class A ...................................513,948 17,623,277 0.3% Horace Mann Educators Corp...............................408,077 15,772,176 0.3% # Stewart Information Services Corp...........................308,986 14,658,296 0.3% #* Walker & Dunlop, Inc......................................342,436 15,358,255 0.3% Other Securities ..........................................1,205,089,598 20.4% Total Financials ...............................................1,345,548,870 23.0% Health Care — (7.7%) #* Cambrex Corp............................................265,240 15,741,994 0.3% * Merit Medical Systems, Inc..................................505,117 17,022,443 0.3% #* Omnicell, Inc.............................................390,314 16,159,000 0.3% Other Securities ..........................................477,334,259 8.1% Total Health Care .............................................526,257,696 9.0% Industrials — (18.3%) # AAON, Inc...............................................449,295 16,466,662 0.3% # Apogee Enterprises, Inc....................................293,243 15,981,743 0.3% Brink’s Co. (The)..........................................233,711 14,349,855 0.3% Comfort Systems USA, Inc..................................380,897 13,978,920 0.2% Exponent, Inc.............................................266,014 16,266,756 0.3% Forward Air Corp..........................................308,222 16,388,164 0.3% Insperity, Inc..............................................229,047 20,923,443 0.4% # Korn/Ferry International ....................................428,819 13,893,736 0.2% #* Meritor, Inc...............................................962,823 17,147,878 0.3% #* Trex Co., Inc.............................................189,783 13,890,218 0.2% # Wabash National Corp.....................................661,379 15,066,214 0.3% Other Securities ..........................................1,073,642,176 18.2% Total Industrials ...............................................1,247,995,765 21.3% 36 U.S. MICRO CAP PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** Information Technology — (11.9%) #* Advanced Energy Industries, Inc.............................204,036 $ 15,057,857 0.3% Cabot Microelectronics Corp................................275,151 21,558,081 0.4% #* ExlService Holdings, Inc....................................333,971 15,933,756 0.3% # Methode Electronics, Inc...................................410,752 18,299,002 0.3% #* OSI Systems, Inc..........................................218,318 16,897,813 0.3% * Rogers Corp.............................................149,440 15,383,354 0.3% Other Securities ..........................................709,261,605 12.0% Total Information Technology ....................................812,391,468 13.9% Materials — (4.9%) * Ferro Corp...............................................915,672 16,408,842 0.3% * Headwaters, Inc..........................................771,171 18,323,023 0.3% Innospec, Inc.............................................257,508 16,995,528 0.3% # Kaiser Aluminum Corp.....................................167,047 14,100,437 0.2% # Quaker Chemical Corp.....................................132,575 19,170,345 0.3% Stepan Co...............................................185,079 15,694,699 0.3% Other Securities ..........................................231,306,551 4.0% Total Materials ................................................331,999,425 5.7% Real Estate — (0.8%) Other Securities ..........................................54,429,862 0.9% Telecommunication Services — (1.6%) #* General Communication, Inc. Class A ........................439,260 16,445,894 0.3% # Shenandoah Telecommunications Co........................502,216 16,070,912 0.2% Other Securities ..........................................75,543,592 1.3% Total Telecommunication Services ...............................108,060,398 1.8% Utilities — (1.9%) # American States Water Co..................................394,734 17,573,558 0.3% # California Water Service Group .............................488,796 17,450,017 0.3% Other Securities ..........................................95,107,399 1.6% Total Utilities .................................................130,130,974 2.2% TOTAL COMMON STOCKS ....................................5,798,004,260 99.0% TOTAL INVESTMENT SECURITIES .............................5,798,004,260 TEMPORARY CASH INVESTMENTS — (0.8%) State Street Institutional U.S. Government Money Market Fund, 0.680%...............................................54,273,730 54,273,730 0.9% SECURITIES LENDING COLLATERAL — (14.0%) §@ DFA Short Term Investment Fund ...........................82,329,938 952,804,374 16.3% TOTAL INVESTMENTS — (100.0%) (Cost $4,866,553,909).......................................$6,805,082,364 116.2% 37 U.S. MICRO CAP PORTFOLIO CONTINUED Summary of the Portfolio’s investments as of April 30, 2017, 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 .................................... $894,619,023 $ 11,479 — $ 894,630,502 Consumer Staples .........................................194,401,806 — — 194,401,806 Energy ...................................................152,141,002 16,492 — 152,157,494 Financials ................................................1,345,548,870 — — 1,345,548,870 Health Care ...............................................526,257,696 — — 526,257,696 Industrials ................................................1,247,995,765 — — 1,247,995,765 Information Technology .....................................812,391,468 — — 812,391,468 Materials .................................................331,999,425 — — 331,999,425 Real Estate ...............................................54,429,862 — — 54,429,862 Telecommunication Services ................................108,060,398 — — 108,060,398 Utilities ...................................................130,130,974 — — 130,130,974 Temporary Cash Investments ..................................54,273,730 — — 54,273,730 Securities Lending Collateral .................................. —952,804,374 — 952,804,374 Futures Contracts**..........................................721,978 — — 721,978 TOTAL .....................................................$5,852,971,997 $952,832,345 — $6,805,804,342 ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 38 DFA REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value† Percentage of Net Assets** COMMON STOCKS — (93.1%) Real Estate — (93.1%) Alexandria Real Estate Equities, Inc.........................842,788 $ 94,822,078 1.2% American Campus Communities, Inc........................1,255,493 59,497,813 0.8% # American Homes 4 Rent Class A ...........................2,072,453 47,770,042 0.6% Apartment Investment & Management Co. Class A ............1,491,202 65,225,176 0.8% # AvalonBay Communities, Inc...............................1,306,173 247,963,882 3.1% Boston Properties, Inc.....................................1,485,349 188,045,183 2.4% Brixmor Property Group, Inc................................2,888,376 57,045,426 0.7% Camden Property Trust ...................................831,494 68,456,901 0.9% CubeSmart .............................................1,710,433 43,342,372 0.5% DCT Industrial Trust, Inc...................................894,750 45,238,560 0.6% # Digital Realty Trust, Inc....................................1,511,514 173,582,268 2.2% Douglas Emmett, Inc......................................1,378,225 51,917,736 0.7% Duke Realty Corp........................................3,372,012 93,505,893 1.2% # EPR Properties ..........................................603,716 43,896,190 0.6% Equinix, Inc.............................................729,425 304,680,823 3.9% Equity LifeStyle Properties, Inc.............................780,714 63,167,570 0.8% Equity Residential ........................................3,481,321 224,823,710 2.8% Essex Property Trust, Inc..................................629,004 153,772,608 1.9% # Extra Space Storage, Inc..................................1,196,092 90,340,829 1.1% Federal Realty Investment Trust ............................683,759 89,497,216 1.1% Forest City Realty Trust, Inc. Class A ........................2,292,067 51,800,714 0.7% Gaming and Leisure Properties, Inc.........................1,870,000 65,076,000 0.8% GGP, Inc................................................5,475,114 118,317,214 1.5% HCP, Inc................................................4,450,308 139,517,156 1.8% Highwoods Properties, Inc.................................963,479 49,021,812 0.6% Hospitality Properties Trust ................................1,558,020 49,591,777 0.6% # Host Hotels & Resorts, Inc.................................7,137,258 128,113,781 1.6% Hudson Pacific Properties, Inc..............................1,467,570 50,425,705 0.6% # Iron Mountain, Inc........................................2,379,313 82,704,920 1.0% Kilroy Realty Corp........................................928,148 65,462,279 0.8% Kimco Realty Corp.......................................4,041,002 81,991,931 1.0% Liberty Property Trust ....................................1,442,711 58,530,785 0.7% # Macerich Co. (The)......................................1,438,568 89,809,800 1.1% Mid-America Apartment Communities, Inc....................1,102,863 109,415,038 1.4% National Retail Properties, Inc..............................1,396,299 58,951,744 0.7% # Omega Healthcare Investors, Inc...........................1,865,077 61,547,541 0.8% Prologis, Inc.............................................5,028,044 273,575,874 3.5% Public Storage ..........................................1,402,330 293,619,855 3.7% Realty Income Corp......................................2,484,586 144,975,593 1.8% Regency Centers Corp....................................1,599,666 101,066,898 1.3% # Senior Housing Properties Trust ............................2,256,754 48,565,346 0.6% Simon Property Group, Inc.................................3,041,839 502,694,313 6.4% # SL Green Realty Corp.....................................968,768 101,652,826 1.3% Sun Communities, Inc.....................................661,430 55,302,162 0.7% UDR, Inc................................................2,540,787 94,872,987 1.2% Ventas, Inc..............................................3,368,039 215,588,176 2.7% VEREIT, Inc.............................................9,261,049 77,514,980 1.0% Vornado Realty Trust .....................................1,639,064 157,743,519 2.0% Welltower, Inc...........................................3,448,237 246,342,051 3.1% # WP Carey, Inc...........................................959,557 60,068,268 0.8% Other Securities .........................................1,944,499,335 25.0% TOTAL COMMON STOCKS ...................................7,784,952,656 98.7% TOTAL INVESTMENT SECURITIES ............................7,784,952,656 39 DFA REAL ESTATE SECURITIES PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** TEMPORARY CASH INVESTMENTS — (1.2%) State Street Institutional U.S. Government Money Market Fund, 0.680%..............................................102,157,416 $ 102,157,416 1.3% SECURITIES LENDING COLLATERAL — (5.7%) §@ DFA Short Term Investment Fund ..........................41,124,224 475,930,650 6.0% TOTAL INVESTMENTS — (100.0%) (Cost $6,140,307,059)......................................$8,363,040,722 106.0% Summary of the Portfolio’s investments as of April 30, 2017, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Real Estate ...............................................$7,784,952,656 — — $7,784,952,656 Temporary Cash Investments ..................................102,157,416 — — 102,157,416 Securities Lending Collateral .................................. —$475,930,650 — 475,930,650 Futures Contracts**..........................................708,491 — — 708,491 TOTAL .....................................................$7,887,818,563 $475,930,650 — $8,363,749,213 ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 40 LARGE CAP INTERNATIONAL PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value†† Percentage of Net Assets** COMMON STOCKS — (91.7%) AUSTRALIA — (5.9%) # Australia & New Zealand Banking Group, Ltd...................717,809 $ 17,571,231 0.4% BHP Billiton, Ltd...........................................982,411 17,490,780 0.4% # Commonwealth Bank of Australia ............................455,055 29,721,420 0.7% CSL, Ltd.................................................127,603 12,653,120 0.3% # National Australia Bank, Ltd.................................626,468 15,901,096 0.4% # Westpac Banking Corp.....................................765,898 20,077,830 0.5% Other Securities ..........................................146,445,025 3.6% TOTAL AUSTRALIA ...........................................259,860,502 6.3% AUSTRIA — (0.2%) Other Securities ..........................................10,834,391 0.3% BELGIUM — (1.3%) # Anheuser-Busch InBev SA/NV ..............................243,093 27,413,677 0.7% Other Securities ..........................................28,911,717 0.7% TOTAL BELGIUM .............................................56,325,394 1.4% CANADA — (7.9%) Royal Bank of Canada .....................................246,120 16,852,743 0.4% Toronto-Dominion Bank (The)...............................270,619 12,733,496 0.3% Other Securities ..........................................318,158,411 7.7% TOTAL CANADA ..............................................347,744,650 8.4% DENMARK — (1.4%) Novo Nordisk A.S. Class B .................................411,533 16,023,801 0.3% Other Securities ..........................................45,984,787 1.2% TOTAL DENMARK ............................................62,008,588 1.5% FINLAND — (0.9%) Other Securities ..........................................39,223,542 0.9% FRANCE — (8.4%) Air Liquide SA ............................................107,672 12,972,988 0.3% # Airbus SE ................................................164,233 13,285,234 0.3% # AXASA .................................................422,810 11,280,624 0.3% BNP Paribas SA ..........................................283,980 20,042,508 0.5% # L’Oreal SA ...............................................64,588 12,862,672 0.3% # LVMH Moet Hennessy Louis Vuitton SE ......................79,335 19,585,332 0.5% # Sanofi ...................................................263,467 24,895,993 0.6% Total SA .................................................377,642 19,385,571 0.5% # Vinci SA .................................................138,360 11,793,599 0.3% Other Securities ..........................................225,574,839 5.4% TOTAL FRANCE ..............................................371,679,360 9.0% GERMANY — (7.2%) Allianz SE ...............................................82,245 15,657,606 0.4% BASF SE ................................................241,542 23,530,764 0.6% # Bayer AG ................................................196,088 24,262,568 0.6% Daimler AG ..............................................251,127 18,712,548 0.5% Deutsche Telekom AG .....................................880,657 15,447,423 0.4% SAPSE .................................................193,973 19,429,491 0.5% 41 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** GERMANY — (Continued) Siemens AG .............................................158,545 $ 22,742,150 0.6% Other Securities ..........................................178,341,676 4.1% TOTAL GERMANY ............................................318,124,226 7.7% HONG KONG — (2.8%) AIA Group, Ltd............................................3,116,200 21,568,576 0.5% Other Securities ..........................................100,751,521 2.5% TOTAL HONG KONG ..........................................122,320,097 3.0% IRELAND — (0.5%) Other Securities ..........................................19,995,878 0.5% ISRAEL — (0.4%) Other Securities ..........................................19,306,272 0.5% ITALY — (1.9%) Other Securities ..........................................82,854,156 2.0% JAPAN — (20.8%) KDDI Corp...............................................524,700 13,911,922 0.4% SoftBank Group Corp......................................258,360 19,597,295 0.5% Sumitomo Mitsui Financial Group, Inc.........................322,440 11,972,395 0.3% Toyota Motor Corp.........................................544,869 29,488,721 0.7% Other Securities ..........................................845,212,176 20.4% TOTAL JAPAN ................................................920,182,509 22.3% NETHERLANDS — (2.8%) Unilever NV ..............................................256,547 13,439,327 0.3% Other Securities ..........................................108,125,654 2.6% TOTAL NETHERLANDS ........................................121,564,981 2.9% NEW ZEALAND — (0.2%) Other Securities ..........................................7,882,428 0.2% NORWAY — (0.6%) Other Securities ..........................................27,274,883 0.7% PORTUGAL — (0.1%) Other Securities ..........................................6,288,712 0.1% SINGAPORE — (1.0%) Other Securities ..........................................45,991,865 1.1% SPAIN — (2.8%) # Banco Santander SA ......................................3,030,791 19,751,428 0.5% Other Securities ..........................................103,490,645 2.5% TOTAL SPAIN ................................................123,242,073 3.0% SWEDEN — (2.6%) Other Securities ..........................................114,356,933 2.8% SWITZERLAND — (7.0%) Nestle SA ................................................786,239 60,556,490 1.5% Novartis AG ..............................................442,365 34,055,498 0.8% Roche Holding AG ........................................184,245 48,210,336 1.2% 42 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** SWITZERLAND — (Continued) Other Securities .......................................... $166,932,274 4.0% TOTAL SWITZERLAND ........................................309,754,598 7.5% UNITED KINGDOM — (15.0%) BP P.L.C. Sponsored ADR .................................686,863 23,573,121 0.6% British American Tobacco P.L.C.............................344,767 23,293,590 0.6% # British American Tobacco P.L.C. Sponsored ADR ..............175,004 11,907,272 0.3% # Diageo P.L.C. Sponsored ADR ..............................115,851 13,604,383 0.3% GlaxoSmithKline P.L.C.....................................566,003 11,392,420 0.3% # GlaxoSmithKline P.L.C. Sponsored ADR ......................402,851 16,476,606 0.4% * Glencore P.L.C...........................................3,170,885 12,462,015 0.3% HSBC Holdings P.L.C......................................1,829,707 15,088,344 0.4% # HSBC Holdings P.L.C. Sponsored ADR ......................577,438 23,773,122 0.6% Reckitt Benckiser Group P.L.C..............................160,900 14,824,915 0.4% Royal Dutch Shell P.L.C. Class A ............................468,172 12,157,688 0.3% Royal Dutch Shell P.L.C. Sponsored ADR, Class A .............346,136 18,064,851 0.4% # Royal Dutch Shell P.L.C. Sponsored ADR, Class B .............358,960 19,426,915 0.5% Unilever P.L.C. Sponsored ADR .............................254,623 13,072,345 0.3% Other Securities ..........................................433,321,688 10.3% TOTAL UNITED KINGDOM .....................................662,439,275 16.0% UNITED STATES — (0.0%) Other Securities ..........................................67,462 0.0% TOTAL COMMON STOCKS ....................................4,049,322,775 98.1% PREFERRED STOCKS — (0.5%) GERMANY — (0.5%) Other Securities ..........................................21,743,766 0.5% TOTAL PREFERRED STOCKS ..................................21,743,766 0.5% RIGHTS/WARRANTS — (0.0%) TOTAL INVESTMENT SECURITIES .............................4,071,066,541 Value† SECURITIES LENDING COLLATERAL — (7.8%) §@ DFA Short Term Investment Fund ...........................29,622,436 342,820,452 8.3% TOTAL INVESTMENTS — (100.0%) (Cost $3,834,337,349).......................................$4,413,886,993 106.9% 43 LARGE CAP INTERNATIONAL PORTFOLIO CONTINUED Summary of the Portfolio’s investments as of April 30, 2017, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Australia ......................................... $5,457,016 $ 254,403,486 — $ 259,860,502 Austria ........................................... —10,834,391 — 10,834,391 Belgium ..........................................286,610 56,038,784 — 56,325,394 Canada ..........................................347,744,650 — — 347,744,650 Denmark .........................................2,339,637 59,668,951 — 62,008,588 Finland ...........................................1,769,986 37,453,556 — 39,223,542 France ...........................................8,861,850 362,817,510 — 371,679,360 Germany .........................................21,726,215 296,398,011 — 318,124,226 Hong Kong .......................................749,285 121,570,812 — 122,320,097 Ireland ...........................................4,705,728 15,290,150 — 19,995,878 Israel ............................................7,011,448 12,294,824 — 19,306,272 Italy .............................................4,450,416 78,403,740 — 82,854,156 Japan ............................................37,730,465 882,452,044 — 920,182,509 Netherlands .......................................26,066,201 95,498,780 — 121,564,981 New Zealand ...................................... —7,882,428 — 7,882,428 Norway ..........................................807,018 26,467,865 — 27,274,883 Portugal .......................................... —6,288,712 — 6,288,712 Singapore ........................................ —45,991,865 — 45,991,865 Spain ............................................13,388,948 109,853,125 — 123,242,073 Sweden .......................................... —114,356,933 — 114,356,933 Switzerland .......................................26,367,747 283,386,851 — 309,754,598 United Kingdom ...................................207,151,470 455,287,805 — 662,439,275 United States ..................................... —67,462 — 67,462 Preferred Stocks Germany ......................................... —21,743,766 — 21,743,766 Securities Lending Collateral .......................... —342,820,452 — 342,820,452 Futures Contracts**..................................581,869 — — 581,869 TOTAL ............................................. $717,196,559 $3,697,272,303 — $4,414,468,862 ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 44 INTERNATIONAL CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value†† Percentage of Net Assets** COMMON STOCKS — (90.4%) AUSTRALIA — (5.4%) # Australia & New Zealand Banking Group, Ltd.................2,056,866 $ 50,349,978 0.3% BHP Billiton, Ltd.........................................2,778,611 49,470,205 0.3% # Commonwealth Bank of Australia ..........................695,403 45,419,485 0.2% Macquarie Group, Ltd.....................................602,362 41,844,170 0.2% # National Australia Bank, Ltd...............................1,864,442 47,323,522 0.2% # Westpac Banking Corp...................................2,102,187 55,108,322 0.3% Other Securities .........................................948,974,676 4.4% TOTAL AUSTRALIA ..........................................1,238,490,358 5.9% AUSTRIA — (0.6%) Other Securities .........................................132,312,880 0.6% BELGIUM — (1.2%) Other Securities .........................................271,326,230 1.3% CANADA — (7.7%) Bank of Montreal ........................................512,923 36,340,595 0.2% # Bank of Nova Scotia (The)................................943,453 52,484,290 0.3% # Royal Bank of Canada ...................................699,021 47,868,958 0.2% Other Securities .........................................1,621,757,660 7.7% TOTAL CANADA ............................................1,758,451,503 8.4% CHINA — (0.0%) Other Securities .........................................1,513,491 0.0% DENMARK — (1.7%) Other Securities .........................................388,369,799 1.9% FINLAND — (1.6%) UPM-Kymmene Oyj ......................................1,573,268 41,450,374 0.2% Other Securities .........................................323,368,827 1.5% TOTAL FINLAND 364,819,201 1.7% FRANCE — (6.7%) BNP Paribas SA .........................................981,305 69,257,739 0.3% # Cie Generale des Etablissements Michelin ...................371,701 48,618,879 0.2% Orange SA .............................................2,984,136 46,186,477 0.2% Societe Generale SA .....................................754,381 41,364,717 0.2% Total SA ...............................................1,746,012 89,628,376 0.4% Other Securities .........................................1,241,841,461 6.0% TOTAL FRANCE .............................................1,536,897,649 7.3% GERMANY — (6.5%) Allianz SE ..............................................223,516 42,552,439 0.2% BASF SE ...............................................772,900 75,295,092 0.4% Bayer AG ..............................................326,759 40,430,891 0.2% Bayerische Motoren Werke AG ............................505,276 48,274,957 0.2% Daimler AG .............................................1,216,771 90,666,819 0.4% # Deutsche Telekom AG ...................................3,408,551 59,788,690 0.3% # E.ON SE ...............................................5,371,567 41,873,432 0.2% Fresenius SE & Co. KGaA ................................594,150 48,203,539 0.2% Other Securities .........................................1,036,123,166 5.0% TOTAL GERMANY ...........................................1,483,209,025 7.1% 45 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** HONG KONG — (2.8%) AIA Group, Ltd..........................................6,136,600 $ 42,474,079 0.2% CK Hutchison Holdings, Ltd................................3,807,408 47,544,188 0.2% Other Securities .........................................555,974,674 2.7% TOTAL HONG KONG ........................................645,992,941 3.1% IRELAND — (0.5%) Other Securities .........................................112,362,473 0.5% ISRAEL — (0.7%) Other Securities .........................................149,048,367 0.7% ITALY — (2.6%) Assicurazioni Generali SpA ...............................2,476,453 39,227,046 0.2% Other Securities .........................................556,899,855 2.6% TOTAL ITALY ...............................................596,126,901 2.8% JAPAN — (21.5%) Hitachi, Ltd.............................................6,497,000 35,891,817 0.2% Honda Motor Co., Ltd.....................................1,287,400 37,470,623 0.2% Mitsubishi UFJ Financial Group, Inc.........................7,664,200 48,564,916 0.3% Sumitomo Mitsui Financial Group, Inc.......................995,670 36,969,836 0.2% Toyota Motor Corp.......................................2,458,894 133,077,196 0.7% # Toyota Motor Corp. Sponsored ADR ........................408,823 44,210,119 0.2% Other Securities .........................................4,562,039,047 21.5% TOTAL JAPAN ..............................................4,898,223,554 23.3% NETHERLANDS — (2.5%) # Akzo Nobel NV ..........................................456,161 39,896,798 0.2% Koninklijke Ahold Delhaize NV .............................2,136,192 44,251,745 0.2% Other Securities .........................................483,392,166 2.3% TOTAL NETHERLANDS ......................................567,540,709 2.7% NEW ZEALAND — (0.4%) Other Securities .........................................79,939,369 0.4% NORWAY — (0.8%) Other Securities .........................................177,481,460 0.8% PORTUGAL — (0.2%) Other Securities .........................................53,627,665 0.3% SINGAPORE — (1.1%) Other Securities .........................................239,010,084 1.1% SPAIN — (2.3%) # Banco Santander SA .....................................8,636,362 56,282,495 0.3% Iberdrola SA ............................................6,319,526 45,429,592 0.2% Other Securities .........................................427,022,035 2.0% TOTAL SPAIN ...............................................528,734,122 2.5% SWEDEN — (2.8%) Other Securities .........................................628,616,755 3.0% SWITZERLAND — (5.8%) Nestle SA ..............................................2,417,067 186,163,615 0.9% Novartis AG ............................................500,288 38,514,704 0.2% 46 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** SWITZERLAND —(Continued) Novartis AG Sponsored ADR .............................935,984 $ 72,098,848 0.4% Roche Holding AG .....................................169,071 44,239,842 0.2% * Syngenta AG ..........................................92,858 43,154,212 0.2% Other Securities .......................................939,325,135 4.4% TOTAL SWITZERLAND .....................................1,323,496,356 6.3% UNITED KINGDOM — (15.0%) BP P.L.C. Sponsored ADR ..............................2,580,234 88,553,639 0.4% * Glencore P.L.C.........................................9,379,540 36,862,891 0.2% # HSBC Holdings P.L.C. Sponsored ADR ....................2,608,732 107,401,496 0.5% Lloyds Banking Group P.L.C..............................47,201,041 42,411,317 0.2% # Rio Tinto P.L.C. Sponsored ADR .........................944,661 37,616,401 0.2% Royal Dutch Shell P.L.C. Sponsored ADR, Class A ..........1,148,264 59,927,898 0.3% # Royal Dutch Shell P.L.C. Sponsored ADR, Class B ..........1,245,058 67,382,539 0.3% # Vodafone Group P.L.C. Sponsored ADR ...................1,397,631 36,603,949 0.2% Other Securities .......................................2,944,077,550 14.0% TOTAL UNITED KINGDOM ..................................3,420,837,680 16.3% UNITED STATES — (0.0%) Other Securities .......................................1,096,180 0.0% TOTAL COMMON STOCKS ..................................20,597,524,752 98.0% PREFERRED STOCKS — (0.5%) GERMANY — (0.5%) Volkswagen AG ........................................298,637 47,407,640 0.2% Other Securities .......................................51,508,808 0.3% TOTAL GERMANY .........................................98,916,448 0.5% UNITED KINGDOM — (0.0%) Other Securities .......................................12,411 0.0% TOTAL PREFERRED STOCKS ...............................98,928,859 0.5% RIGHTS/WARRANTS — (0.0%) ITALY — (0.0%) Other Securities .......................................25,788 0.0% UNITED KINGDOM — (0.0%) Other Securities .......................................1,492,782 0.0% TOTAL RIGHTS/WARRANTS ................................1,518,570 0.0% TOTAL INVESTMENT SECURITIES ...........................20,697,972,181 Value† SECURITIES LENDING COLLATERAL — (9.1%) §@ DFA Short Term Investment Fund .........................179,696,811 2,079,631,191 9.9% TOTAL INVESTMENTS — (100.0%) (Cost $20,359,776,803).................................$22,777,603,372 108.4% 47 INTERNATIONAL CORE EQUITY PORTFOLIO CONTINUED Summary of the Portfolio’s investments as of April 30, 2017, 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 ...................................... $36,599,605 $ 1,201,890,753 — $ 1,238,490,358 Austria .......................................58,737 132,254,143 — 132,312,880 Belgium ......................................7,221,705 264,104,525 — 271,326,230 Canada ......................................1,758,421,395 30,108 — 1,758,451,503 China ........................................ —1,513,491 — 1,513,491 Denmark .....................................23,025,546 365,344,253 — 388,369,799 Finland .......................................4,812,269 360,006,932 — 364,819,201 France .......................................74,753,385 1,462,144,264 — 1,536,897,649 Germany .....................................84,939,307 1,398,269,718 — 1,483,209,025 Hong Kong ....................................1,069,708 644,923,233 — 645,992,941 Ireland .......................................21,979,811 90,382,662 — 112,362,473 Israel ........................................25,398,528 123,649,839 — 149,048,367 Italy ..........................................14,515,421 581,611,480 — 596,126,901 Japan ........................................107,870,081 4,790,353,473 — 4,898,223,554 Netherlands ...................................69,358,485 498,182,224 — 567,540,709 New Zealand ..................................159,402 79,779,967 — 79,939,369 Norway .......................................11,959,568 165,521,892 — 177,481,460 Portugal ......................................237,810 53,389,855 — 53,627,665 Singapore .................................... —239,010,084 — 239,010,084 Spain ........................................31,443,782 497,290,340 — 528,734,122 Sweden ......................................3,425,338 625,191,417 — 628,616,755 Switzerland ...................................145,766,070 1,177,730,286 — 1,323,496,356 United Kingdom ...............................676,622,503 2,744,215,177 — 3,420,837,680 United States .................................. 112 1,096,068 — 1,096,180 Preferred Stocks Germany ..................................... —98,916,448 — 98,916,448 United Kingdom ............................... —12,411 — 12,411 Rights/Warrants Italy .......................................... —25,788 — 25,788 United Kingdom ............................... —1,492,782 — 1,492,782 Securities Lending Collateral ....................... —2,079,631,191 — 2,079,631,191 Futures Contracts**..............................1,156,615 — — 1,156,615 TOTAL .........................................$3,100,795,183 $19,677,964,804 — $22,778,759,987 ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 48 INTERNATIONAL SMALL COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2017 (Unaudited) Value† AFFILIATED INVESTMENT COMPANIES — (100.0%) Investment in The Continental Small Company Series of The DFA Investment Trust Company ............................................... $4,543,221,548 Investment in The Japanese Small Company Series of The DFA Investment Trust Company ...............................................2,838,253,953 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company ...............................................2,045,443,066 Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company ...............................................1,357,746,980 Investment in The Canadian Small Company Series of The DFA Investment Trust Company ...............................................1,186,604,610 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $10,153,529,078)...................................................... $11,971,270,157 Summary of the Portfolio’s investments as of April 30, 2017, 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 ...........................$11,971,270,157 — — $11,971,270,157 Futures Contracts**......................................1,368,363 — — 1,368,363 TOTAL ................................................$11,972,638,520 — — $11,972,638,520 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 49 GLOBAL SMALL COMPANY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2017 (Unaudited) Shares Value† AFFILIATED INVESTMENT COMPANIES — (100.0%) Investment in U.S. Small Cap Portfolio of DFA Investment Dimensions Group Inc........................................154,221 $ 5,305,191 Investment in The Continental Small Company Series of The DFA Investment Trust Company .........................................1,456,234 Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company .........................................1,201,988 Investment in The Japanese Small Company Series of The DFA Investment Trust Company .........................................907,053 Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company .........................................660,544 Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company .........................................428,824 Investment in The Canadian Small Company Series of The DFA Investment Trust Company .........................................385,099 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $10,000,471).................................................... $10,344,933 Summary of the Fund’s investments as of April 30, 2017, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Affiliated Investment Companies ..................................$10,344,933 — — $10,344,933 TOTAL ........................................................$10,344,933 — — $10,344,933 See accompanying Notes to Financial Statements. 50 SCHEDULE OF INVESTMENTS April 30, 2017 (Unaudited) JAPANESE SMALL COMPANY PORTFOLIO Value† AFFILIATED INVESTMENT COMPANY — (100.0%) Investment in The Japanese Small Company Series of The DFA Investment Trust Company .................................................$538,996,477 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $444,382,828)...........................................................$538,996,477 Summary of the Portfolio’s Master Fund’s investments as of April 30, 2017, based on their valuation inputs, is located within this report (See Security Valuation Note). ASIA PACIFIC SMALL COMPANY PORTFOLIO Value† AFFILIATED INVESTMENT COMPANY — (100.0%) Investment in The Asia Pacific Small Company Series of The DFA Investment Trust Company .................................................$282,927,979 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $286,808,761)...........................................................$282,927,979 Summary of the Portfolio’s Master Fund’s investments as of April 30, 2017, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 51 SCHEDULE OF INVESTMENTS April 30, 2017 (Unaudited) UNITED KINGDOM SMALL COMPANY PORTFOLIO Value† AFFILIATED INVESTMENT COMPANY — (100.0%) Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company ..................................................$43,125,135 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $34,523,163).............................................................$43,125,135 Summary of the Portfolio’s Master Fund’s investments as of April 30, 2017, based on their valuation inputs, is located within this report (See Security Valuation Note). CONTINENTAL SMALL COMPANY PORTFOLIO Value† AFFILIATED INVESTMENT COMPANY — (100.0%) Investment in The Continental Small Company Series of The DFA Investment Trust Company .................................................$386,548,508 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $296,628,007)...........................................................$386,548,508 Summary of the Portfolio’s Master Fund’s investments as of April 30, 2017, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 52 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value†† Percentage of Net Assets** COMMON STOCKS — (95.9%) AUSTRALIA — (18.3%) Dexus Property Group .....................................11,710,255 $ 89,418,831 1.9% Goodman Group ..........................................21,220,425 128,844,037 2.7% Investa Office Fund .......................................7,519,794 26,734,530 0.6% Scentre Group ............................................58,558,424 188,938,843 4.0% Stockland ................................................29,284,761 106,284,493 2.2% Vicinity Centres ...........................................39,802,744 85,791,549 1.8% # Westfield Corp............................................22,271,419 151,456,139 3.2% Other Securities ..........................................118,704,483 2.5% TOTAL AUSTRALIA ...........................................896,172,905 18.9% BELGIUM — (1.9%) Cofinimmo SA ............................................245,183 29,674,025 0.6% Other Securities ..........................................64,659,786 1.4% TOTAL BELGIUM .............................................94,333,811 2.0% CANADA — (5.1%) H&R REIT ...............................................1,684,870 28,586,202 0.6% RioCan REIT .............................................1,792,442 34,048,585 0.7% Other Securities ..........................................187,457,637 4.0% TOTAL CANADA ..............................................250,092,424 5.3% CHINA — (0.3%) Other Securities ..........................................13,596,036 0.3% FRANCE — (6.0%) Fonciere Des Regions .....................................421,103 37,582,947 0.8% # Gecina SA ...............................................456,238 64,890,000 1.4% # ICADE ..................................................460,846 34,220,547 0.7% # Klepierre ................................................2,536,495 99,557,112 2.1% Unibail-Rodamco SE ......................................154,462 37,933,182 0.8% Other Securities ..........................................20,479,117 0.4% TOTAL FRANCE ..............................................294,662,905 6.2% GERMANY — (2.4%) GPT Group (The).........................................21,837,047 85,777,635 1.8% Other Securities ..........................................32,396,734 0.7% TOTAL GERMANY ............................................118,174,369 2.5% GREECE — (0.0%) Other Securities ..........................................898,875 0.0% HONG KONG — (4.7%) Link REIT ................................................25,235,805 181,394,237 3.8% Other Securities ..........................................49,640,637 1.1% TOTAL HONG KONG ..........................................231,034,874 4.9% IRELAND — (0.1%) Other Securities ..........................................5,923,985 0.1% ITALY — (0.3%) Other Securities ..........................................13,782,924 0.3% 53 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** JAPAN — (21.0%) # Advance Residence Investment Corp.........................15,716 $ 41,372,199 0.9% Daiwa House REIT Investment Corp.........................14,803 37,424,445 0.8% Frontier Real Estate Investment Corp.........................5,902 25,761,492 0.5% # GLP J-Reit ..............................................28,026 31,584,493 0.7% Japan Hotel REIT Investment Corp...........................45,578 31,065,315 0.7% Japan Prime Realty Investment Corp.........................9,848 36,973,481 0.8% Japan Real Estate Investment Corp..........................15,108 79,556,533 1.7% # Japan Retail Fund Investment Corp..........................30,552 59,685,405 1.3% # Kenedix Office Investment Corp.............................5,365 30,397,526 0.6% Nippon Building Fund, Inc..................................16,267 86,510,910 1.8% # Nomura Real Estate Master Fund, Inc........................45,356 65,372,349 1.4% # Orix JREIT, Inc...........................................30,297 48,045,116 1.0% # United Urban Investment Corp..............................35,141 53,092,827 1.1% Other Securities ..........................................399,494,289 8.3% TOTAL JAPAN ................................................1,026,336,380 21.6% MALAYSIA — (0.6%) Other Securities ..........................................28,351,480 0.6% MEXICO — (1.9%) # Fibra Uno Administracion S.A. de C.V........................30,974,520 53,984,622 1.1% Other Securities ..........................................36,877,195 0.8% TOTAL MEXICO ..............................................90,861,817 1.9% NETHERLANDS — (6.2%) Unibail-Rodamco SE ......................................978,160 240,178,975 5.0% # Wereldhave NV ..........................................612,390 28,198,004 0.6% Other Securities ..........................................33,430,129 0.7% TOTAL NETHERLANDS .......................................301,807,108 6.3% NEW ZEALAND — (0.9%) Other Securities ..........................................41,437,876 0.9% SINGAPORE — (7.4%) Ascendas REIT ...........................................27,808,000 50,966,492 1.1% CapitaLand Commercial Trust ..............................27,456,100 31,909,426 0.7% CapitaLand Mall Trust .....................................28,275,700 39,871,500 0.8% # Mapletree Commercial Trust ................................22,421,937 25,601,257 0.5% # Suntec REIT .............................................27,816,000 35,224,833 0.7% Other Securities ..........................................175,395,106 3.8% TOTAL SINGAPORE ..........................................358,968,614 7.6% SOUTH AFRICA — (3.7%) Growthpoint Properties, Ltd.................................26,707,715 51,185,224 1.1% Redefine Properties, Ltd....................................57,986,898 47,727,586 1.0% Resilient REIT, Ltd........................................3,159,707 27,527,902 0.6% Other Securities ..........................................55,877,782 1.1% TOTAL SOUTH AFRICA .......................................182,318,494 3.8% SPAIN — (1.0%) Merlin Properties Socimi SA ................................4,056,833 47,974,126 1.0% Other Securities ..........................................1,411,446 0.0% TOTAL SPAIN ................................................49,385,572 1.0% 54 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** TAIWAN — (0.2%) Other Securities .......................................... $11,890,387 0.2% TURKEY — (0.6%) Other Securities ..........................................27,712,629 0.6% UNITED KINGDOM — (13.3%) British Land Co. P.L.C. (The)...............................11,852,980 100,787,697 2.1% Derwent London P.L.C.....................................1,296,652 49,427,864 1.0% Great Portland Estates P.L.C................................4,219,977 37,811,444 0.8% Hammerson P.L.C.........................................9,766,520 74,307,342 1.6% # Intu Properties P.L.C.......................................11,626,258 41,524,417 0.9% Land Securities Group P.L.C................................9,292,927 133,090,190 2.8% Segro P.L.C..............................................11,826,836 74,390,079 1.6% Shaftesbury P.L.C.........................................3,248,018 39,200,284 0.8% Other Securities ..........................................98,404,346 2.1% TOTAL UNITED KINGDOM .....................................648,943,663 13.7% TOTAL COMMON STOCKS ....................................4,686,687,128 98.7% RIGHTS/WARRANTS — (0.0%) UNITED KINGDOM — (0.0%) Other Securities ..........................................3,210 0.0% TOTAL INVESTMENT SECURITIES .............................4,686,690,338 Value† SECURITIES LENDING COLLATERAL — (4.1%) §@ DFA Short Term Investment Fund ...........................17,302,487 200,241,680 4.2% TOTAL INVESTMENTS — (100.0%) (Cost $4,650,415,625).......................................$4,886,932,018 102.9% 55 DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED Summary of the Portfolio’s investments as of April 30, 2017, 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 ......................................... — $896,172,905 — $ 896,172,905 Belgium .......................................... —94,333,811 — 94,333,811 Canada ..........................................$250,092,424 — — 250,092,424 China ............................................ —13,596,036 — 13,596,036 France ........................................... —294,662,905 — 294,662,905 Germany ......................................... —118,174,369 — 118,174,369 Greece ........................................... —898,875 — 898,875 Hong Kong ....................................... —231,034,874 — 231,034,874 Ireland ........................................... —5,923,985 — 5,923,985 Italy ............................................. —13,782,924 — 13,782,924 Japan ............................................ —1,026,336,380 — 1,026,336,380 Malaysia ......................................... —28,351,480 — 28,351,480 Mexico ...........................................90,861,817 — — 90,861,817 Netherlands ....................................... —301,807,108 — 301,807,108 New Zealand ...................................... —41,437,876 — 41,437,876 Singapore ........................................ —358,968,614 — 358,968,614 South Africa ...................................... —182,318,494 — 182,318,494 Spain ............................................ —49,385,572 — 49,385,572 Taiwan ........................................... —11,890,387 — 11,890,387 Turkey ........................................... —27,712,629 — 27,712,629 United Kingdom ................................... —648,943,663 — 648,943,663 Rights/Warrants ..................................... United Kingdom ................................... —3,210 — 3,210 Securities Lending Collateral .......................... —200,241,680 — 200,241,680 Futures Contracts**..................................248,637 — — 248,637 TOTAL .............................................$341,202,878 $4,545,977,777 — $4,887,180,655 ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 56 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value†† Percentage of Net Assets** COMMON STOCKS — (34.9%) UNITED STATES — (34.9%) Alexandria Real Estate Equities, Inc..........................225,859 $ 25,411,396 0.5% American Campus Communities, Inc.........................331,281 15,699,407 0.3% # American Homes 4 Rent Class A ............................559,906 12,905,843 0.2% Apartment Investment & Management Co. Class A .............389,828 17,051,077 0.3% AvalonBay Communities, Inc................................339,061 64,367,340 1.2% Boston Properties, Inc......................................379,814 48,084,452 0.9% Brixmor Property Group, Inc.................................756,959 14,949,940 0.3% Camden Property Trust ....................................217,559 17,911,632 0.3% DCT Industrial Trust, Inc....................................238,194 12,043,089 0.2% # Digital Realty Trust, Inc.....................................393,694 45,211,819 0.8% Douglas Emmett, Inc.......................................360,262 13,571,070 0.2% Duke Realty Corp.........................................882,749 24,478,630 0.4% Equinix, Inc...............................................189,336 79,085,647 1.4% # Equity LifeStyle Properties, Inc..............................203,333 16,451,673 0.3% Equity Residential .........................................905,209 58,458,397 1.1% Essex Property Trust, Inc...................................161,862 39,570,403 0.7% Extra Space Storage, Inc...................................312,604 23,610,980 0.4% Federal Realty Investment Trust .............................179,184 23,453,394 0.4% Forest City Realty Trust, Inc. Class A .........................599,278 13,543,683 0.2% Gaming and Leisure Properties, Inc..........................490,010 17,052,348 0.3% GGP, Inc.................................................1,417,759 30,637,772 0.6% HCP, Inc.................................................1,156,484 36,255,773 0.7% Highwoods Properties, Inc..................................268,882 13,680,716 0.3% # Hospitality Properties Trust .................................417,259 13,281,354 0.2% # Host Hotels & Resorts, Inc..................................1,825,161 32,761,640 0.6% Hudson Pacific Properties, Inc...............................376,306 12,929,874 0.2% Iron Mountain, Inc.........................................622,011 21,621,102 0.4% # Kilroy Realty Corp.........................................242,746 17,120,875 0.3% # Kimco Realty Corp........................................1,056,721 21,440,869 0.4% Liberty Property Trust ......................................364,940 14,805,616 0.3% Macerich Co. (The)........................................303,682 18,958,867 0.3% Mid-America Apartment Communities, Inc.....................280,339 27,812,385 0.5% National Retail Properties, Inc...............................368,450 15,555,959 0.3% # Omega Healthcare Investors, Inc............................488,455 16,119,015 0.3% Prologis, Inc..............................................1,307,447 71,138,191 1.3% Public Storage ............................................364,123 76,240,074 1.4% Realty Income Corp........................................651,802 38,032,647 0.7% Regency Centers Corp.....................................377,260 23,835,262 0.4% Senior Housing Properties Trust .............................581,155 12,506,456 0.2% Simon Property Group, Inc..................................796,159 131,573,236 2.4% # SL Green Realty Corp......................................249,710 26,202,070 0.5% Sun Communities, Inc......................................173,919 14,541,368 0.3% UDR, Inc.................................................662,635 24,742,791 0.4% Ventas, Inc...............................................873,893 55,937,891 1.0% VEREIT, Inc..............................................2,418,808 20,245,423 0.4% Vornado Realty Trust ......................................420,190 40,439,086 0.7% # Welltower, Inc............................................895,148 63,949,373 1.2% WP Carey, Inc............................................250,768 15,698,077 0.3% Other Securities ..........................................505,661,158 8.8% TOTAL COMMON STOCKS ....................................1,996,637,140 35.8% 57 DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** AFFILIATED INVESTMENT COMPANIES — (62.0%) UNITED STATES — (62.0%) DFA International Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc.........................392,297,043 $1,957,562,246 35.1% DFA Real Estate Securities Portfolio of DFA Investment Dimensions Group Inc..................................45,970,822 1,591,969,556 28.6% TOTAL UNITED STATES ......................................3,549,531,802 63.7% TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES ..............................................3,549,531,802 63.7% TOTAL INVESTMENT SECURITIES ............................5,546,168,942 Value† SECURITIES LENDING COLLATERAL — (3.1%) §@ DFA Short Term Investment Fund ..........................15,098,658 174,736,767 3.1% TOTAL INVESTMENTS — (100.0%) (Cost $5,053,660,152)......................................$5,720,905,709 102.6% Summary of the Portfolio’s investments as of April 30, 2017, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks United States .............................................$1,996,637,140 — — $1,996,637,140 Affiliated Investment Companies United States .............................................3,549,531,802 — — 3,549,531,802 Securities Lending Collateral .................................. —$174,736,767 — 174,736,767 TOTAL .....................................................$5,546,168,942 $174,736,767 — $5,720,905,709 See accompanying Notes to Financial Statements. 58 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value†† Percentage of Net Assets** COMMON STOCKS — (94.0%) AUSTRALIA — (6.3%) BlueScope Steel, Ltd......................................6,590,807 $ 57,583,469 0.4% Downer EDI, Ltd.........................................14,879,724 65,386,575 0.5% Other Securities .........................................834,905,657 5.7% TOTAL AUSTRALIA ..........................................957,875,701 6.6% AUSTRIA — (1.2%) * Raiffeisen Bank International AG ...........................2,178,103 49,652,504 0.4% Wienerberger AG ........................................2,688,169 62,936,242 0.4% Other Securities .........................................71,106,294 0.5% TOTAL AUSTRIA ............................................183,695,040 1.3% BELGIUM — (1.3%) Other Securities .........................................203,374,130 1.4% CANADA — (7.8%) # Canadian Western Bank ..................................2,271,634 44,648,870 0.3% Laurentian Bank of Canada ................................1,182,799 48,384,672 0.3% #* Precision Drilling Corp....................................11,731,771 46,667,533 0.3% Other Securities .........................................1,042,976,502 7.2% TOTAL CANADA .............................................1,182,677,577 8.1% CHINA — (0.1%) Other Securities .........................................6,776,512 0.0% DENMARK — (2.0%) Jyske Bank A.S..........................................1,229,946 65,772,509 0.4% Sydbank A.S............................................1,536,298 55,882,180 0.4% TDC A.S................................................9,555,576 51,260,563 0.4% Other Securities .........................................125,819,135 0.8% TOTAL DENMARK ...........................................298,734,387 2.0% FINLAND — (2.2%) # Cargotec Oyj Class B .....................................1,045,879 62,318,208 0.4% # Kesko Oyj Class B .......................................1,476,131 69,134,262 0.5% Other Securities .........................................205,197,138 1.4% TOTAL FINLAND .............................................336,649,608 2.3% FRANCE — (4.6%) Arkema SA .............................................888,342 94,060,305 0.7% # Lagardere SCA ..........................................1,403,866 42,972,857 0.3% #* Nexans SA .............................................749,010 41,638,847 0.3% Rexel SA ...............................................4,203,935 75,075,272 0.5% Other Securities .........................................450,920,786 3.0% TOTAL FRANCE .............................................704,668,067 4.8% GERMANY — (7.1%) Aareal Bank AG .........................................1,773,002 71,311,591 0.5% # Aurubis AG .............................................1,167,679 81,603,780 0.6% Lanxess AG .............................................1,446,504 104,446,868 0.7% Osram Licht AG .........................................1,096,994 73,486,982 0.5% Rheinmetall AG ..........................................1,061,111 97,399,009 0.7% 59 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** GERMANY — (Continued) Salzgitter AG ............................................1,332,610 $ 45,614,637 0.3% Other Securities .........................................608,039,198 4.1% TOTAL GERMANY ...........................................1,081,902,065 7.4% GREECE — (0.0%) Other Securities .........................................1,871 0.0% HONG KONG — (3.3%) Other Securities .........................................506,553,651 3.5% IRELAND — (0.3%) Other Securities .........................................51,341,307 0.4% ISRAEL — (0.7%) Other Securities .........................................108,500,576 0.7% ITALY — (3.8%) Banco BPM SpA .........................................29,050,631 84,842,452 0.6% # BPER Banca ............................................15,129,358 82,767,610 0.6% Unipol Gruppo Finanziario SpA .............................12,433,370 55,450,099 0.4% Other Securities .........................................355,912,690 2.4% TOTAL ITALY ...............................................578,972,851 4.0% JAPAN — (24.2%) Other Securities .........................................3,685,782,669 25.3% NETHERLANDS — (2.0%) # APERAM SA ............................................1,295,977 65,155,416 0.5% # ASM International NV .....................................776,380 46,730,691 0.3% SBM Offshore NV ........................................4,524,261 74,533,617 0.5% Other Securities .........................................114,285,010 0.8% TOTAL NETHERLANDS .......................................300,704,734 2.1% NEW ZEALAND — (0.5%) Other Securities .........................................66,985,410 0.5% NORWAY — (0.8%) Other Securities .........................................121,388,062 0.8% PORTUGAL — (0.3%) Other Securities .........................................41,670,802 0.3% SINGAPORE — (1.2%) Other Securities .........................................183,003,415 1.3% SPAIN — (2.3%) Acciona SA .............................................768,947 63,438,580 0.4% Acerinox SA ............................................3,037,459 42,312,970 0.3% Other Securities .........................................247,649,639 1.7% TOTAL SPAIN ...............................................353,401,189 2.4% SWEDEN — (2.9%) Holmen AB Class B ......................................1,053,254 44,382,026 0.3% Other Securities .........................................395,495,327 2.7% TOTAL SWEDEN ............................................439,877,353 3.0% 60 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** SWITZERLAND — (4.6%) Baloise Holding AG ......................................474,208 $ 69,535,733 0.5% Helvetia Holding AG ......................................147,590 81,956,028 0.6% Other Securities .........................................542,432,464 3.7% TOTAL SWITZERLAND .......................................693,924,225 4.8% UNITED KINGDOM — (14.5%) Beazley P.L.C...........................................12,913,461 73,569,423 0.5% Bellway P.L.C...........................................3,429,370 126,391,048 0.9% Bodycote P.L.C..........................................4,881,426 52,710,640 0.4% Bovis Homes Group P.L.C.................................4,734,227 56,450,703 0.4% Centamin P.L.C..........................................26,072,202 59,735,303 0.4% Close Brothers Group P.L.C...............................2,360,623 51,719,784 0.4% Greene King P.L.C.......................................7,264,634 70,696,049 0.5% Hiscox, Ltd..............................................7,763,844 113,855,269 0.8% Inchcape P.L.C..........................................5,770,186 63,832,659 0.4% John Wood Group P.L.C..................................8,475,299 83,312,803 0.6% Lancashire Holdings, Ltd..................................4,725,259 41,735,989 0.3% Man Group P.L.C........................................35,299,953 70,251,105 0.5% Meggitt P.L.C............................................8,482,346 50,797,078 0.4% Melrose Industries P.L.C..................................37,248,042 114,023,591 0.8% Phoenix Group Holdings ..................................5,339,666 51,067,997 0.4% Redrow P.L.C...........................................6,600,671 49,309,111 0.3% Vesuvius P.L.C..........................................6,876,493 47,276,853 0.3% Other Securities .........................................1,034,182,777 6.9% TOTAL UNITED KINGDOM ....................................2,210,918,182 15.2% UNITED STATES — (0.0%) Other Securities .........................................319,270 0.0% TOTAL COMMON STOCKS ...................................14,299,698,654 98.2% PREFERRED STOCKS — (0.1%) GERMANY — (0.1%) Other Securities .........................................14,728,561 0.1% TOTAL PREFERRED STOCKS ................................14,728,561 0.1% RIGHTS/WARRANTS — (0.0%) ITALY — (0.0%) Other Securities .........................................271,902 0.0% TOTAL RIGHTS/WARRANTS ..................................271,902 0.0% TOTAL INVESTMENT SECURITIES ............................14,314,699,117 Value† SECURITIES LENDING COLLATERAL — (5.9%) §@ DFA Short Term Investment Fund ..........................77,331,698 894,959,738 6.1% TOTAL INVESTMENTS — (100.0%) (Cost $12,870,695,163).....................................$15,209,658,855 104.4% 61 DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO CONTINUED Summary of the Portfolio’s investments as of April 30, 2017, 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 ................................... — $957,875,701 — $ 957,875,701 Austria .................................... —183,695,040 — 183,695,040 Belgium .................................... —203,374,130 — 203,374,130 Canada ....................................$1,182,500,164 177,413 — 1,182,677,577 China ..................................... —6,776,512 — 6,776,512 Denmark ................................... —298,734,387 — 298,734,387 Finland .................................... —336,649,608 — 336,649,608 France .................................... —704,668,067 — 704,668,067 Germany ................................... —1,081,902,065 — 1,081,902,065 Greece .................................... —1,871 — 1,871 Hong Kong .................................342,699 506,210,952 — 506,553,651 Ireland ..................................... —51,341,307 — 51,341,307 Israel ...................................... —108,500,576 — 108,500,576 Italy ....................................... —578,972,851 — 578,972,851 Japan ..................................... —3,685,782,669 — 3,685,782,669 Netherlands ................................ —300,704,734 — 300,704,734 New Zealand ............................... —66,985,410 — 66,985,410 Norway .................................... —121,388,062 — 121,388,062 Portugal ................................... —41,670,802 — 41,670,802 Singapore .................................. —183,003,415 — 183,003,415 Spain ...................................... —353,401,189 — 353,401,189 Sweden .................................... —439,877,353 — 439,877,353 Switzerland ................................. —693,924,225 — 693,924,225 United Kingdom ............................. —2,210,918,182 — 2,210,918,182 United States ............................... —319,270 — 319,270 Preferred Stocks Germany ................................... —14,728,561 — 14,728,561 Rights/Warrants Italy ....................................... —271,902 — 271,902 Securities Lending Collateral .................... —894,959,738 — 894,959,738 Futures Contracts**............................1,238,713 — — 1,238,713 TOTAL ......................................$1,184,081,576 $14,026,815,992 — $15,210,897,568 ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 62 INTERNATIONAL VECTOR EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value†† Percentage of Net Assets** COMMON STOCKS — (90.8%) AUSTRALIA — (5.7%) # Australia & New Zealand Banking Group, Ltd...................214,260 $ 5,244,866 0.3% BHP Billiton, Ltd...........................................314,531 5,599,889 0.3% Fortescue Metals Group, Ltd................................868,376 3,441,939 0.2% Macquarie Group, Ltd......................................56,822 3,947,248 0.2% Woodside Petroleum, Ltd...................................175,531 4,225,289 0.2% Other Securities ..........................................113,800,338 5.0% TOTAL AUSTRALIA ...........................................136,259,569 6.2% AUSTRIA — (0.7%) Other Securities ..........................................16,311,588 0.8% BELGIUM — (1.5%) Ageas ...................................................83,970 3,438,213 0.2% Other Securities ..........................................33,305,115 1.5% TOTAL BELGIUM .............................................36,743,328 1.7% CANADA — (7.8%) Suncor Energy, Inc........................................133,753 4,191,742 0.2% Other Securities ..........................................183,102,221 8.3% TOTAL CANADA ..............................................187,293,963 8.5% CHINA — (0.0%) Other Securities ..........................................522,183 0.0% DENMARK — (1.9%) Other Securities ..........................................44,458,076 2.0% FINLAND — (2.0%) # Stora Enso Oyj Class R ....................................285,475 3,387,986 0.2% UPM-Kymmene Oyj .......................................258,374 6,807,295 0.3% Other Securities ..........................................36,733,168 1.6% TOTAL FINLAND ..............................................46,928,449 2.1% FRANCE — (6.1%) BNP Paribas SA ..........................................73,561 5,191,728 0.2% Cie de Saint-Gobain .......................................98,275 5,302,607 0.3% Orange SA ...............................................225,492 3,490,016 0.2% Rexel SA ................................................238,651 4,261,909 0.2% STMicroelectronics NV .....................................210,594 3,380,805 0.2% Total SA .................................................240,139 12,327,102 0.6% Other Securities ..........................................111,238,269 4.9% TOTAL FRANCE ..............................................145,192,436 6.6% GERMANY — (5.7%) Allianz SE ...............................................25,753 4,902,794 0.2% BASF SE ................................................38,075 3,709,226 0.2% Daimler AG ..............................................89,896 6,698,536 0.3% E.ON SE ................................................588,434 4,587,070 0.2% # K+SAG .................................................146,988 3,506,883 0.2% * RWEAG ................................................247,438 4,098,373 0.2% Other Securities ..........................................107,984,270 4.9% TOTAL GERMANY ............................................135,487,152 6.2% 63 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** HONG KONG — (3.0%) Other Securities .......................................... $70,849,364 3.2% IRELAND — (0.5%) Other Securities ..........................................12,458,769 0.6% ISRAEL — (0.8%) Other Securities ..........................................18,149,414 0.8% ITALY — (2.9%) Assicurazioni Generali SpA .................................303,243 4,803,373 0.2% * Fiat Chrysler Automobiles NV ...............................452,754 5,142,606 0.3% * UniCredit SpA ............................................251,448 4,094,194 0.2% Other Securities ..........................................54,370,614 2.4% TOTAL ITALY .................................................68,410,787 3.1% JAPAN — (22.3%) Mitsubishi Chemical Holdings Corp...........................464,080 3,632,440 0.2% Mitsubishi UFJ Financial Group, Inc..........................817,300 5,178,897 0.3% Toyota Motor Corp.........................................73,263 3,965,049 0.2% Toyota Motor Corp. Sponsored ADR .........................36,827 3,982,472 0.2% Other Securities ..........................................516,578,762 23.4% TOTAL JAPAN ................................................533,337,620 24.3% NETHERLANDS — (2.6%) Koninklijke Ahold Delhaize NV ..............................219,005 4,536,743 0.2% Koninklijke DSM NV .......................................62,767 4,491,494 0.2% Other Securities ..........................................52,475,044 2.4% TOTAL NETHERLANDS ........................................61,503,281 2.8% NEW ZEALAND — (0.5%) Other Securities ..........................................10,927,198 0.5% NORWAY — (0.9%) Other Securities ..........................................20,742,959 1.0% PORTUGAL — (0.2%) Other Securities ..........................................6,127,004 0.3% SINGAPORE — (1.1%) Other Securities ..........................................27,194,279 1.2% SPAIN — (2.1%) Banco de Sabadell SA .....................................1,761,979 3,388,995 0.2% # Banco Santander SA ......................................862,819 5,622,922 0.3% Other Securities ..........................................40,529,089 1.8% TOTAL SPAIN ................................................49,541,006 2.3% SWEDEN — (2.6%) # Boliden AB ...............................................124,690 3,562,181 0.2% Other Securities ..........................................58,854,182 2.7% TOTAL SWEDEN ..............................................62,416,363 2.9% SWITZERLAND — (5.8%) Baloise Holding AG ........................................26,119 3,829,973 0.2% Clariant AG ..............................................182,599 3,697,944 0.2% Flughafen Zuerich AG .....................................16,575 3,652,757 0.2% 64 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** SWITZERLAND — (Continued) Nestle SA ...............................................110,012 $ 8,473,175 0.4% Novartis AG ..............................................52,784 4,063,580 0.2% Novartis AG Sponsored ADR ...............................73,269 5,643,911 0.3% Swiss Life Holding AG .....................................10,397 3,383,578 0.2% Other Securities ..........................................106,337,164 4.6% TOTAL SWITZERLAND ........................................139,082,082 6.3% UNITED KINGDOM — (14.1%) BP P.L.C. Sponsored ADR .................................269,445 9,247,358 0.4% # HSBC Holdings P.L.C. Sponsored ADR ......................231,447 9,528,673 0.4% Melrose Industries P.L.C...................................1,702,272 5,210,991 0.2% Royal Dutch Shell P.L.C. Sponsored ADR, Class A .............152,592 7,963,766 0.4% # Royal Dutch Shell P.L.C. Sponsored ADR, Class B .............100,626 5,445,879 0.3% * Standard Chartered P.L.C..................................355,770 3,324,811 0.2% #* Tullow Oil P.L.C...........................................1,270,443 3,446,726 0.2% Vodafone Group P.L.C. Sponsored ADR ......................142,624 3,735,327 0.2% WM Morrison Supermarkets P.L.C...........................1,327,157 4,122,680 0.2% Other Securities ..........................................285,838,180 12.9% TOTAL UNITED KINGDOM .....................................337,864,391 15.4% UNITED STATES — (0.0%) Other Securities ..........................................167,439 0.0% TOTAL COMMON STOCKS ....................................2,167,968,700 98.8% PREFERRED STOCKS — (0.4%) GERMANY — (0.4%) Volkswagen AG ..........................................25,998 4,127,097 0.2% Other Securities ..........................................5,363,848 0.3% TOTAL GERMANY ............................................9,490,945 0.5% UNITED KINGDOM — (0.0%) Other Securities ..........................................1,747 0.0% TOTAL PREFERRED STOCKS ..................................9,492,692 0.5% RIGHTS/WARRANTS — (0.0%) ITALY — (0.0%) Other Securities ..........................................6,134 0.0% UNITED KINGDOM — (0.0%) Other Securities ..........................................186,160 0.0% TOTAL RIGHTS/WARRANTS ...................................192,294 0.0% TOTAL INVESTMENT SECURITIES .............................2,177,653,686 Value† SECURITIES LENDING COLLATERAL — (8.8%) §@ DFA Short Term Investment Fund ...........................18,077,958 209,216,208 9.5% TOTAL INVESTMENTS — (100.0%) (Cost $2,081,306,051).......................................$2,386,869,894 108.8% 65 INTERNATIONAL VECTOR EQUITY PORTFOLIO CONTINUED Summary of the Portfolio’s investments as of April 30, 2017, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Australia ......................................... $2,960,204 $ 133,299,365 — $ 136,259,569 Austria ........................................... —16,311,588 — 16,311,588 Belgium ..........................................727,907 36,015,421 — 36,743,328 Canada ..........................................187,273,032 20,931 — 187,293,963 China ............................................ —522,183 — 522,183 Denmark ......................................... —44,458,076 — 44,458,076 Finland ........................................... —46,928,449 — 46,928,449 France ...........................................629,772 144,562,664 — 145,192,436 Germany .........................................4,555,380 130,931,772 — 135,487,152 Hong Kong .......................................288,280 70,561,084 — 70,849,364 Ireland ...........................................2,502,593 9,956,176 — 12,458,769 Israel ............................................1,852,867 16,296,547 — 18,149,414 Italy .............................................531,410 67,879,377 — 68,410,787 Japan ............................................8,233,934 525,103,686 — 533,337,620 Netherlands .......................................7,138,089 54,365,192 — 61,503,281 New Zealand ......................................7,022 10,920,176 — 10,927,198 Norway ..........................................344,745 20,398,214 — 20,742,959 Portugal .......................................... —6,127,004 — 6,127,004 Singapore ........................................ —27,194,279 — 27,194,279 Spain ............................................2,931,430 46,609,576 — 49,541,006 Sweden ..........................................176,450 62,239,913 — 62,416,363 Switzerland .......................................11,613,566 127,468,516 — 139,082,082 United Kingdom ...................................54,251,673 283,612,718 — 337,864,391 United States ..................................... —167,439 — 167,439 Preferred Stocks Germany ......................................... —9,490,945 — 9,490,945 United Kingdom ................................... —1,747 — 1,747 Rights/Warrants Italy ............................................. —6,134 — 6,134 United Kingdom ................................... —186,160 — 186,160 Securities Lending Collateral .......................... —209,216,208 — 209,216,208 TOTAL .............................................$286,018,354 $2,100,851,540 — $2,386,869,894 See accompanying Notes to Financial Statements. 66 WORLD EX U.S. VALUE PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2017 (Unaudited) Shares Value† AFFILIATED INVESTMENT COMPANIES — (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company .......................................$138,704,884 Investment in Dimensional Emerging Markets Value Fund .......................54,217,877 Investment in DFA International Small Cap Value Portfolio of DFA Investment Dimensions Group Inc.....................................1,130,528 23,752,386 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $196,173,983)................................................ $216,675,147 Summary of the Portfolio’s investments as of April 30, 2017, 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 .............................$216,675,147 — — $216,675,147 TOTAL ...................................................$216,675,147 — — $216,675,147 See accompanying Notes to Financial Statements. 67 WORLD EX U.S. TARGETED VALUE PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value†† Percentage of Net Assets** COMMON STOCKS — (96.7%) AUSTRALIA — (4.1%) BlueScope Steel, Ltd...........................................88,385 $ 772,214 0.2% Boral, Ltd....................................................149,841 690,699 0.2% Challenger, Ltd................................................73,657 727,502 0.2% Other Securities ..............................................13,655,620 3.6% TOTAL AUSTRALIA ...............................................15,846,035 4.2% AUSTRIA — (0.7%) Other Securities ..............................................2,779,083 0.7% BELGIUM — (1.0%) Ageas .......................................................30,934 1,266,618 0.3% Other Securities ..............................................2,587,690 0.7% TOTAL BELGIUM .................................................3,854,308 1.0% BRAZIL — (1.5%) Kroton Educacional SA .........................................178,300 839,806 0.2% Other Securities ..............................................4,853,270 1.3% TOTAL BRAZIL ...................................................5,693,076 1.5% CANADA — (6.1%) First Quantum Minerals, Ltd.....................................103,517 986,598 0.3% * Kinross Gold Corp.............................................202,343 704,098 0.2% Other Securities ..............................................21,882,732 5.7% TOTAL CANADA ..................................................23,573,428 6.2% CHILE — (0.3%) Other Securities ..............................................1,111,241 0.3% CHINA — (7.3%) * China Taiping Insurance Holdings Co., Ltd.........................278,000 692,155 0.2% Other Securities ..............................................27,286,108 7.2% TOTAL CHINA ....................................................27,978,263 7.4% COLOMBIA — (0.1%) Other Securities ..............................................269,524 0.1% DENMARK — (1.4%) Other Securities ..............................................5,235,205 1.4% FINLAND — (1.4%) Neste Oyj ....................................................17,647 719,101 0.2% Stora Enso Oyj Class R ........................................74,460 883,683 0.2% Other Securities ..............................................3,877,965 1.1% TOTAL FINLAND ..................................................5,480,749 1.5% FRANCE — (3.8%) Arkema SA ...................................................9,229 977,194 0.3% Rexel SA ....................................................50,303 898,328 0.3% SCOR SE ....................................................26,197 1,036,274 0.3% SESSA .....................................................32,900 719,082 0.2% STMicroelectronics NV .........................................87,664 1,407,328 0.4% Other Securities ..............................................9,776,416 2.4% TOTAL FRANCE ..................................................14,814,622 3.9% 68 WORLD EX U.S. TARGETED VALUE PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** GERMANY — (4.8%) Deutsche Lufthansa AG ......................................40,731 $ 702,700 0.2% Lanxess AG ................................................11,884 858,101 0.2% Osram Licht AG .............................................10,639 712,700 0.2% Rheinmetall AG .............................................8,438 774,521 0.2% * RWEAG...................................................66,040 1,093,836 0.3% Other Securities .............................................14,391,820 3.8% TOTAL GERMANY ...............................................18,533,678 4.9% HONG KONG — (2.1%) Other Securities .............................................8,030,148 2.1% INDIA — (4.6%) Other Securities .............................................17,816,902 4.7% INDONESIA — (0.9%) Other Securities .............................................3,460,196 0.9% IRELAND — (0.6%) * Bank of Ireland ..............................................6,312,004 1,588,966 0.4% Other Securities .............................................842,369 0.2% TOTAL IRELAND ................................................2,431,335 0.6% ISRAEL — (0.5%) Other Securities .............................................2,122,466 0.6% ITALY — (2.6%) Banco BPM SpA ............................................257,482 751,978 0.2% * Fiat Chrysler Automobiles NV ..................................99,560 1,130,852 0.3% Other Securities .............................................8,199,518 2.2% TOTAL ITALY ...................................................10,082,348 2.7% JAPAN — (16.7%) Other Securities .............................................64,299,721 17.0% MALAYSIA — (0.9%) Other Securities .............................................3,635,443 1.0% MEXICO — (0.8%) Other Securities .............................................3,230,238 0.9% NETHERLANDS — (1.3%) APERAM SA ...............................................14,890 748,597 0.2% ASM International NV ........................................11,881 715,123 0.2% Boskalis Westminster ........................................18,710 688,206 0.2% SBM Offshore NV ...........................................44,899 739,675 0.2% Other Securities .............................................2,185,025 0.5% TOTAL NETHERLANDS ..........................................5,076,626 1.3% NEW ZEALAND — (0.4%) Other Securities .............................................1,441,715 0.4% NORWAY — (0.9%) Subsea 7 SA ...............................................45,313 746,742 0.2% Other Securities .............................................2,835,348 0.7% TOTAL NORWAY ................................................3,582,090 0.9% 69 WORLD EX U.S. TARGETED VALUE PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** PHILIPPINES — (0.4%) Other Securities .............................................. $1,469,874 0.4% POLAND — (0.4%) Other Securities ..............................................1,608,243 0.4% PORTUGAL — (0.2%) Other Securities ..............................................675,781 0.2% SINGAPORE — (0.8%) Other Securities ..............................................2,989,116 0.8% SOUTH AFRICA — (1.9%) Other Securities ..............................................7,413,740 2.0% SOUTH KOREA — (4.5%) Other Securities ..............................................17,357,060 4.6% SPAIN — (1.6%) Banco de Sabadell SA .........................................912,089 1,754,314 0.5% Other Securities ..............................................4,293,849 1.1% TOTAL SPAIN ....................................................6,048,163 1.6% SWEDEN — (1.9%) Other Securities ..............................................7,145,341 1.9% SWITZERLAND — (3.1%) Baloise Holding AG ............................................6,236 914,419 0.3% * Dufry AG ....................................................4,813 788,643 0.2% Swiss Life Holding AG .........................................4,696 1,528,256 0.4% Other Securities ..............................................8,862,680 2.3% TOTAL SWITZERLAND ............................................12,093,998 3.2% TAIWAN — (4.8%) Other Securities ..............................................18,325,905 4.8% THAILAND — (0.9%) Other Securities ..............................................3,361,020 0.9% TURKEY — (0.4%) Other Securities ..............................................1,523,393 0.4% UNITED KINGDOM — (11.0%) Barratt Developments P.L.C.....................................150,791 1,131,475 0.3% Bellway P.L.C.................................................25,648 945,269 0.3% Berkeley Group Holdings P.L.C..................................16,899 712,757 0.2% Coca-Cola HBC AG ...........................................24,514 680,093 0.2% GKN P.L.C...................................................201,823 937,923 0.3% Hiscox, Ltd...................................................55,044 807,210 0.2% Inchcape P.L.C................................................64,830 717,182 0.2% Investec P.L.C................................................95,225 705,472 0.2% J Sainsbury P.L.C.............................................246,901 880,315 0.2% Johnson Matthey P.L.C.........................................24,288 936,877 0.3% Marks & Spencer Group P.L.C...................................205,740 976,472 0.3% Meggitt P.L.C.................................................120,877 723,880 0.2% Melrose Industries P.L.C........................................227,014 694,936 0.2% Persimmon P.L.C..............................................33,858 1,021,601 0.3% Smiths Group P.L.C............................................49,987 1,062,646 0.3% 70 WORLD EX U.S. TARGETED VALUE PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** UNITED KINGDOM — (Continued) Taylor Wimpey P.L.C...........................................358,141 $ 927,688 0.3% Travis Perkins P.L.C...........................................35,834 747,352 0.2% WM Morrison Supermarkets P.L.C...............................331,940 1,031,138 0.3% Other Securities ..............................................26,838,100 6.7% TOTAL UNITED KINGDOM .........................................42,478,386 11.2% UNITED STATES — (0.0%) Other Securities ..............................................27,267 0.0% TOTAL COMMON STOCKS .........................................372,895,727 98.6% PREFERRED STOCKS — (0.7%) BRAZIL — (0.5%) Other Securities ..............................................1,803,475 0.5% CHILE — (0.0%) Other Securities ..............................................33,025 0.0% COLOMBIA — (0.0%) Other Securities ..............................................172,267 0.1% GERMANY — (0.2%) Other Securities ..............................................721,513 0.2% INDIA — (0.0%) Other Securities ..............................................11,583 0.0% TOTAL PREFERRED STOCKS ......................................2,741,863 0.8% RIGHTS/WARRANTS — (0.0%) ITALY — (0.0%) Other Securities ..............................................1,922 0.0% MALAYSIA — (0.0%) Other Securities ..............................................4,178 0.0% PHILIPPINES — (0.0%) Other Securities .............................................. 545 0.0% TAIWAN — (0.0%) Other Securities .............................................. 204 0.0% THAILAND — (0.0%) Other Securities ..............................................1,500 0.0% UNITED KINGDOM — (0.0%) Other Securities ..............................................52,850 0.0% TOTAL RIGHTS/WARRANTS .......................................61,199 0.0% TOTAL INVESTMENT SECURITIES ..................................375,698,789 Value† SECURITIES LENDING COLLATERAL — (2.6%) §@ DFA Short Term Investment Fund ...............................860,347 9,956,793 2.6% TOTAL INVESTMENTS — (100.0%) (Cost $336,254,471).............................................$385,655,582 102.0% 71 WORLD EX U.S. TARGETED VALUE PORTFOLIO CONTINUED Summary of the Portfolio’s investments as of April 30, 2017, 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 .............................................. — $15,846,035 — $ 15,846,035 Austria ............................................... —2,779,083 — 2,779,083 Belgium .............................................. —3,854,308 — 3,854,308 Brazil ................................................ $5,693,076 — — 5,693,076 Canada ..............................................23,573,428 — — 23,573,428 Chile .................................................368,426 742,815 — 1,111,241 China ................................................1,019,423 26,958,840 — 27,978,263 Colombia .............................................269,524 — — 269,524 Denmark ............................................. —5,235,205 — 5,235,205 Finland ............................................... —5,480,749 — 5,480,749 France ............................................... —14,814,622 — 14,814,622 Germany ............................................. —18,533,678 — 18,533,678 Hong Kong ............................................ —8,030,148 — 8,030,148 India .................................................2,434 17,814,468 — 17,816,902 Indonesia ............................................. —3,460,196 — 3,460,196 Ireland ............................................... —2,431,335 — 2,431,335 Israel ................................................28,492 2,093,974 — 2,122,466 Italy .................................................. —10,082,348 — 10,082,348 Japan ................................................ —64,299,721 — 64,299,721 Malaysia .............................................. —3,635,443 — 3,635,443 Mexico ...............................................3,230,238 — — 3,230,238 Netherlands ........................................... —5,076,626 — 5,076,626 New Zealand .......................................... —1,441,715 — 1,441,715 Norway ............................................... —3,582,090 — 3,582,090 Philippines ............................................ —1,469,874 — 1,469,874 Poland ............................................... —1,608,243 — 1,608,243 Portugal .............................................. —675,781 — 675,781 Singapore ............................................ —2,989,116 — 2,989,116 South Africa ...........................................1,017,196 6,396,544 — 7,413,740 South Korea ..........................................10,785 17,346,275 — 17,357,060 Spain ................................................ —6,048,163 — 6,048,163 Sweden .............................................. —7,145,341 — 7,145,341 Switzerland ........................................... —12,093,998 — 12,093,998 Taiwan ............................................... —18,325,905 — 18,325,905 Thailand ..............................................3,349,988 11,032 — 3,361,020 Turkey ............................................... —1,523,393 — 1,523,393 United Kingdom ....................................... —42,478,386 — 42,478,386 United States .......................................... —27,267 — 27,267 Preferred Stocks Brazil ................................................1,803,475 — — 1,803,475 Chile ................................................. —33,025 — 33,025 Colombia .............................................172,267 — — 172,267 Germany ............................................. —721,513 — 721,513 India ................................................. —11,583 — 11,583 Rights/Warrants Italy .................................................. —1,922 — 1,922 Malaysia .............................................. —4,178 — 4,178 Philippines ............................................ — 545 — 545 Taiwan ............................................... — 204 — 204 Thailand .............................................. —1,500 — 1,500 United Kingdom ....................................... —52,850 — 52,850 Securities Lending Collateral ............................... —9,956,793 — 9,956,793 TOTAL .................................................$40,538,752 $345,116,830 — $385,655,582 See accompanying Notes to Financial Statements. 72 WORLD EX U.S. CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value†† Percentage of Net Assets** COMMON STOCKS — (92.1%) AUSTRALIA — (4.1%) # Australia & New Zealand Banking Group, Ltd...................147,526 $ 3,611,286 0.2% BHP Billiton, Ltd...........................................283,621 5,049,569 0.3% # Commonwealth Bank of Australia ............................52,903 3,455,302 0.2% National Australia Bank, Ltd.................................167,814 4,259,478 0.2% Westpac Banking Corp.....................................198,957 5,215,609 0.3% Other Securities ..........................................73,901,075 3.2% TOTAL AUSTRALIA ...........................................95,492,319 4.4% AUSTRIA — (0.4%) Other Securities ..........................................10,037,255 0.5% BELGIUM — (1.0%) Anheuser-Busch InBev SA/NV ..............................36,562 4,123,109 0.2% Other Securities ..........................................19,342,043 0.9% TOTAL BELGIUM .............................................23,465,152 1.1% BRAZIL — (1.2%) Other Securities ..........................................29,062,297 1.3% CANADA — (5.9%) Bank of Montreal ..........................................51,556 3,652,743 0.2% Bank of Nova Scotia (The)..................................84,596 4,706,075 0.2% # Royal Bank of Canada .....................................72,182 4,943,023 0.3% Other Securities ..........................................123,977,922 5.6% TOTAL CANADA ..............................................137,279,763 6.3% CHILE — (0.3%) Other Securities ..........................................6,723,237 0.3% CHINA — (6.0%) China Construction Bank Corp. Class H .......................9,249,000 7,507,074 0.4% China Mobile, Ltd..........................................317,500 3,380,302 0.2% Industrial & Commercial Bank of China, Ltd. Class H ............6,427,000 4,189,540 0.2% Tencent Holdings, Ltd......................................103,100 3,230,465 0.2% Other Securities ..........................................122,014,735 5.4% TOTAL CHINA ................................................140,322,116 6.4% COLOMBIA — (0.1%) Other Securities ..........................................1,961,997 0.1% CZECH REPUBLIC — (0.0%) Other Securities ..........................................558,124 0.0% DENMARK — (1.2%) Other Securities ..........................................27,829,870 1.3% EGYPT — (0.0%) Other Securities ..........................................174,122 0.0% FINLAND — (1.2%) UPM-Kymmene Oyj .......................................130,315 3,433,366 0.2% Other Securities ..........................................23,872,993 1.0% TOTAL FINLAND ..............................................27,306,359 1.2% 73 WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** FRANCE — (5.1%) # AXASA .................................................120,043 $ 3,202,762 0.2% BNP Paribas SA ..........................................70,988 5,010,133 0.2% Cie Generale des Etablissements Michelin ....................28,795 3,766,416 0.2% Orange SA ...............................................256,370 3,967,925 0.2% Sanofi ...................................................44,127 4,169,727 0.2% Total SA .................................................185,779 9,536,630 0.5% Other Securities ..........................................88,213,549 3.9% TOTAL FRANCE ..............................................117,867,142 5.4% GERMANY — (4.8%) Allianz SE ...............................................23,924 4,554,594 0.2% BASF SE ................................................66,555 6,483,717 0.3% # Bayer AG ................................................27,125 3,356,259 0.2% # Bayerische Motoren Werke AG ..............................37,367 3,570,109 0.2% Daimler AG ..............................................102,777 7,658,354 0.4% Deutsche Telekom AG .....................................323,930 5,681,989 0.3% Other Securities ..........................................81,585,711 3.6% TOTAL GERMANY ............................................112,890,733 5.2% GREECE — (0.0%) Other Securities ..........................................488,971 0.0% HONG KONG — (2.2%) AIA Group, Ltd............................................557,400 3,858,008 0.2% CK Hutchison Holdings, Ltd.................................269,200 3,361,577 0.2% Other Securities ..........................................43,036,817 1.9% TOTAL HONG KONG ..........................................50,256,402 2.3% HUNGARY — (0.1%) Other Securities ..........................................2,103,046 0.1% INDIA — (2.8%) Other Securities ..........................................65,062,192 3.0% INDONESIA — (0.6%) Other Securities ..........................................14,052,711 0.6% IRELAND — (0.4%) Other Securities ..........................................9,175,801 0.4% ISRAEL — (0.5%) Other Securities ..........................................11,279,942 0.5% ITALY — (2.0%) # EniSpA .................................................205,577 3,188,707 0.2% * UniCredit SpA ............................................247,229 4,025,496 0.2% Other Securities ..........................................39,950,303 1.8% TOTAL ITALY .................................................47,164,506 2.2% JAPAN — (16.2%) Mitsubishi UFJ Financial Group, Inc..........................600,200 3,803,223 0.2% Toyota Motor Corp.........................................218,788 11,840,972 0.6% Other Securities ..........................................361,426,018 16.4% TOTAL JAPAN ................................................377,070,213 17.2% 74 WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** MALAYSIA — (0.7%) Other Securities .......................................... $15,255,112 0.7% MEXICO — (0.8%) Other Securities ..........................................19,506,984 0.9% NETHERLANDS — (1.9%) Koninklijke Ahold Delhaize NV ..............................155,008 3,211,024 0.2% Other Securities ..........................................40,712,278 1.8% TOTAL NETHERLANDS ........................................43,923,302 2.0% NEW ZEALAND — (0.3%) Other Securities ..........................................7,265,190 0.3% NORWAY — (0.6%) Other Securities ..........................................14,294,075 0.7% PERU — (0.0%) Other Securities ..........................................351,590 0.0% PHILIPPINES — (0.3%) Other Securities ..........................................7,355,760 0.3% POLAND — (0.4%) Other Securities ..........................................8,785,367 0.4% PORTUGAL — (0.2%) Other Securities ..........................................4,442,875 0.2% RUSSIA — (0.3%) Other Securities ..........................................6,306,601 0.3% SINGAPORE — (0.8%) Other Securities ..........................................19,031,049 0.9% SOUTH AFRICA — (1.7%) Other Securities ..........................................40,251,482 1.8% SOUTH KOREA — (3.8%) Samsung Electronics Co., Ltd...............................7,245 14,203,296 0.7% Other Securities ..........................................74,314,488 3.3% TOTAL SOUTH KOREA ........................................88,517,784 4.0% SPAIN — (1.8%) Banco Bilbao Vizcaya Argentaria SA .........................426,873 3,419,942 0.2% # Banco Santander SA ......................................820,758 5,348,816 0.3% Iberdrola SA .............................................444,682 3,196,715 0.2% Other Securities ..........................................31,050,232 1.3% TOTAL SPAIN ................................................43,015,705 2.0% SWEDEN — (2.0%) Other Securities ..........................................47,537,873 2.2% SWITZERLAND — (4.3%) ABB, Ltd.................................................127,841 3,132,648 0.2% Nestle SA ................................................200,030 15,406,403 0.7% Novartis AG ..............................................56,381 4,340,495 0.2% Roche Holding AG ........................................13,790 3,608,351 0.2% 75 WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** SWITZERLAND — (Continued) * Syngenta AG .............................................8,330 $ 3,871,229 0.2% UBS Group AG ...........................................191,586 3,270,533 0.2% Other Securities ..........................................66,581,060 2.9% TOTAL SWITZERLAND ........................................100,210,719 4.6% TAIWAN — (3.7%) Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR ..................................................134,422 4,445,336 0.2% Other Securities ..........................................81,547,455 3.7% TOTAL TAIWAN ..............................................85,992,791 3.9% THAILAND — (0.6%) Other Securities ..........................................14,286,414 0.6% TURKEY — (0.3%) Other Securities ..........................................7,350,971 0.3% UNITED KINGDOM — (11.5%) BP P.L.C. Sponsored ADR .................................285,945 9,813,632 0.5% HSBC Holdings P.L.C. Sponsored ADR ......................242,758 9,994,347 0.5% Royal Dutch Shell P.L.C. Sponsored ADR, Class A .............124,731 6,509,711 0.3% # Royal Dutch Shell P.L.C. Sponsored ADR, Class B .............112,412 6,083,737 0.3% Vodafone Group P.L.C.....................................1,455,360 3,748,483 0.2% Other Securities ..........................................232,151,561 10.5% TOTAL UNITED KINGDOM .....................................268,301,471 12.3% UNITED STATES — (0.0%) Other Securities ..........................................101,498 0.0% TOTAL COMMON STOCKS ....................................2,149,708,883 98.2% PREFERRED STOCKS — (0.9%) BRAZIL — (0.6%) Other Securities ..........................................12,958,296 0.6% CHILE — (0.0%) Other Securities ..........................................177,555 0.0% COLOMBIA — (0.0%) Other Securities ..........................................321,134 0.0% GERMANY — (0.3%) Volkswagen AG ..........................................22,876 3,631,490 0.2% Other Securities ..........................................4,556,203 0.2% TOTAL GERMANY ............................................8,187,693 0.4% INDIA — (0.0%) Other Securities ..........................................24,206 0.0% UNITED KINGDOM — (0.0%) Other Securities ..........................................1,305 0.0% TOTAL PREFERRED STOCKS ..................................21,670,189 1.0% RIGHTS/WARRANTS — (0.0%) BRAZIL — (0.0%) Other Securities .......................................... 48 0.0% 76 WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** ITALY — (0.0%) Other Securities .......................................... $2,275 0.0% MALAYSIA — (0.0%) Other Securities ..........................................6,880 0.0% SOUTH KOREA — (0.0%) Other Securities ..........................................1,115 0.0% TAIWAN — (0.0%) Other Securities ..........................................5,434 0.0% THAILAND — (0.0%) Other Securities ..........................................3,253 0.0% UNITED KINGDOM — (0.0%) Other Securities ..........................................90,149 0.0% TOTAL RIGHTS/WARRANTS ...................................109,154 0.0% TOTAL INVESTMENT SECURITIES .............................2,171,488,226 Value† SECURITIES LENDING COLLATERAL — (7.0%) §@ DFA Short Term Investment Fund ...........................14,162,737 163,905,361 7.5% TOTAL INVESTMENTS — (100.0%) (Cost $2,152,705,143).......................................$2,335,393,587 106.7% Summary of the Portfolio’s investments as of April 30, 2017, 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 ................................................. $872,475 $ 94,619,844 — $ 95,492,319 Austria ................................................... —10,037,255 — 10,037,255 Belgium ..................................................122,412 23,342,740 — 23,465,152 Brazil ....................................................29,062,297 — — 29,062,297 Canada ..................................................137,279,763 — — 137,279,763 Chile .....................................................1,741,865 4,981,372 — 6,723,237 China ....................................................13,948,318 126,373,798 — 140,322,116 Colombia .................................................1,961,997 — — 1,961,997 Czech Republic ........................................... —558,124 — 558,124 Denmark .................................................206,706 27,623,164 — 27,829,870 Egypt .................................................... —174,122 — 174,122 Finland ...................................................118,181 27,188,178 — 27,306,359 France ...................................................1,799,786 116,067,356 — 117,867,142 Germany .................................................2,166,728 110,724,005 — 112,890,733 Greece ................................................... —488,971 — 488,971 Hong Kong ...............................................99,954 50,156,448 — 50,256,402 Hungary .................................................. —2,103,046 — 2,103,046 India .....................................................843,023 64,219,169 — 65,062,192 Indonesia .................................................205,094 13,847,617 — 14,052,711 Ireland ...................................................2,032,540 7,143,261 — 9,175,801 Israel ....................................................1,899,238 9,380,704 — 11,279,942 Italy .....................................................160,681 47,003,825 — 47,164,506 77 WORLD EX U.S. CORE EQUITY PORTFOLIO CONTINUED Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Japan .................................................... $2,636,336 $ 374,433,877 — $ 377,070,213 Malaysia ................................................. —15,255,112 — 15,255,112 Mexico ...................................................19,506,984 — — 19,506,984 Netherlands ...............................................3,712,352 40,210,950 — 43,923,302 New Zealand .............................................. —7,265,190 — 7,265,190 Norway ..................................................133,792 14,160,283 — 14,294,075 Peru .....................................................351,590 — — 351,590 Philippines ................................................31,959 7,323,801 — 7,355,760 Poland ................................................... —8,785,367 — 8,785,367 Portugal .................................................. —4,442,875 — 4,442,875 Russia ...................................................1,431,775 4,874,826 — 6,306,601 Singapore ................................................ —19,031,049 — 19,031,049 South Africa ...............................................3,383,005 36,868,477 — 40,251,482 South Korea ..............................................1,088,358 87,429,426 — 88,517,784 Spain ....................................................812,403 42,203,302 — 43,015,705 Sweden ..................................................52,491 47,485,382 — 47,537,873 Switzerland ...............................................4,790,191 95,420,528 — 100,210,719 Taiwan ...................................................4,662,110 81,330,681 — 85,992,791 Thailand ..................................................14,286,414 — — 14,286,414 Turkey ...................................................21,000 7,329,971 — 7,350,971 United Kingdom ...........................................61,066,567 207,234,904 — 268,301,471 United States ............................................. —101,498 — 101,498 Preferred Stocks ............................................. Brazil ....................................................12,958,296 — — 12,958,296 Chile ..................................................... —177,555 — 177,555 Colombia .................................................321,134 — — 321,134 Germany ................................................. —8,187,693 — 8,187,693 India ..................................................... —24,206 — 24,206 United Kingdom ........................................... —1,305 — 1,305 Rights/Warrants ............................................. Brazil .................................................... — 48 — 48 Italy ..................................................... —2,275 — 2,275 Malaysia ................................................. —6,880 — 6,880 South Korea .............................................. —1,115 — 1,115 Taiwan ................................................... —5,434 — 5,434 Thailand .................................................. —3,253 — 3,253 United Kingdom ........................................... —90,149 — 90,149 Securities Lending Collateral .................................. —163,905,361 — 163,905,361 TOTAL .....................................................$325,767,815 $2,009,625,772 — $2,335,393,587 See accompanying Notes to Financial Statements. 78 WORLD CORE EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2017 (Unaudited) Shares Value† AFFILIATED INVESTMENT COMPANIES — (99.9%) Investment in U.S. Core Equity 1 Portfolio of DFA Investment Dimensions Group Inc....................................11,331,620 $230,825,090 Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc....................................12,899,971 165,764,625 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc....................................2,593,690 52,081,287 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $399,516,833)...............................................448,671,002 TEMPORARY CASH INVESTMENTS — (0.1%) State Street Institutional U.S. Government Money Market Fund, 0.680% (Cost $322,101).......................................................322,101 322,101 TOTAL INVESTMENTS — (100.0%) (Cost $399,838,934)...............................................$448,993,103 Summary of the Fund’s investments as of April 30, 2017, 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 .............................$448,671,002 — — $448,671,002 Temporary Cash Investments ................................322,101 — — 322,101 TOTAL ...................................................$448,993,103 — — $448,993,103 See accompanying Notes to Financial Statements. 79 SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2017 (Unaudited) Shares Value† AFFILIATED INVESTMENT COMPANIES — (100.0%) Investment in U.S. Core Equity 2 Portfolio of DFA Investment Dimensions Group Inc.....................................7,312,954 $142,310,078 Investment in International Core Equity Portfolio of DFA Investment Dimensions Group Inc.....................................9,039,605 116,158,929 Investment in Emerging Markets Core Equity Portfolio of DFA Investment Dimensions Group Inc.....................................2,923,636 58,706,601 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANIES (Cost $270,709,066)................................................ $317,175,608 Summary of the Portfolio’s investments as of April 30, 2017, 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 ...........................$317,175,608 — — $317,175,608 Futures Contracts**......................................163,014 — — 163,014 Forward Currency Contracts**............................. —$(110,728) — (110,728) TOTAL ................................................$317,338,622 $(110,728) — $317,227,894 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 80 SCHEDULE OF INVESTMENTS April 30, 2017 (Unaudited) EMERGING MARKETS PORTFOLIO Value† AFFILIATED INVESTMENT COMPANY — (100.0%) Investment in The Emerging Markets Series of The DFA Investment Trust Company ................................................$5,688,367,394 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $4,238,392,775)........................................................$5,688,367,394 Summary of the Portfolio’s Master Fund’s investments as of April 30, 2017, based on their valuation inputs, is located within this report (See Security Valuation Note). EMERGING MARKETS SMALL CAP PORTFOLIO Value† AFFILIATED INVESTMENT COMPANY — (100.0%) Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company ................................................$6,505,830,321 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $5,780,415,651)........................................................$6,505,830,321 Summary of the Portfolio’s Master Fund’s investments as of April 30, 2017, based on their valuation inputs, is located within this report (See Security Valuation Note). EMERGING MARKETS VALUE PORTFOLIO Value† AFFILIATED INVESTMENT COMPANY — (100.0%) Investment in Dimensional Emerging Markets Value Fund ...............................$17,986,994,600 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $16,897,663,786)......................................................$17,986,994,600 Summary of the Portfolio’s Master Fund’s investments as of April 30, 2017, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 81 EMERGING MARKETS CORE EQUITY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value†† Percentage of Net Assets** COMMON STOCKS — (92.4%) BRAZIL — (5.4%) Ambev SA ADR ........................................12,546,714 $ 71,892,671 0.3% BM&FBovespa SA — Bolsa de Valores Mercadorias e Futuros .............................................10,615,945 63,580,950 0.3% Ultrapar Participacoes SA ................................2,067,950 45,879,882 0.2% Other Securities ........................................1,058,472,399 4.8% TOTAL BRAZIL .............................................1,239,825,902 5.6% CHILE — (1.3%) Other Securities ........................................304,098,060 1.4% CHINA — (15.8%) * Alibaba Group Holding, Ltd. Sponsored ADR ................928,258 107,213,799 0.5% Bank of China, Ltd. Class H ..............................150,583,702 72,839,236 0.3% China Construction Bank Corp. Class H ....................243,058,302 197,281,496 0.9% China Mobile, Ltd.......................................9,455,000 100,663,786 0.5% China Mobile, Ltd. Sponsored ADR ........................1,997,961 106,531,281 0.5% Industrial & Commercial Bank of China, Ltd. Class H ..........172,209,725 112,257,600 0.5% NetEase, Inc. ADR ......................................246,761 65,487,902 0.3% Ping An Insurance Group Co. of China, Ltd. Class H ..........15,605,500 87,738,060 0.4% Tencent Holdings, Ltd....................................10,436,500 327,010,196 1.5% Other Securities ........................................2,473,756,059 11.0% TOTAL CHINA ..............................................3,650,779,415 16.4% COLOMBIA — (0.3%) Other Securities ........................................71,270,885 0.3% CZECH REPUBLIC — (0.1%) Other Securities ........................................31,146,057 0.1% EGYPT — (0.1%) Other Securities ........................................16,612,512 0.1% GREECE — (0.2%) Other Securities ........................................55,752,682 0.2% HONG KONG — (0.0%) Other Securities ........................................795,966 0.0% HUNGARY — (0.4%) Other Securities ........................................81,775,245 0.4% INDIA — (12.9%) HDFC Bank, Ltd........................................2,994,559 71,794,694 0.3% Housing Development Finance Corp., Ltd...................3,100,726 74,022,536 0.4% Infosys, Ltd.............................................3,738,427 53,536,885 0.3% # Infosys, Ltd. Sponsored ADR .............................3,708,004 53,988,538 0.3% ITC, Ltd................................................12,536,994 54,093,595 0.3% Reliance Industries, Ltd..................................3,320,225 71,905,811 0.3% Tata Consultancy Services, Ltd............................1,537,993 54,349,867 0.3% Yes Bank, Ltd..........................................1,919,569 48,826,342 0.2% Other Securities ........................................2,500,129,079 11.0% TOTAL INDIA ...............................................2,982,647,347 13.4% 82 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** INDONESIA — (2.9%) Bank Central Asia Tbk PT .................................40,100,600 $ 53,331,430 0.3% Bank Rakyat Indonesia Persero Tbk PT .....................50,598,500 48,873,101 0.2% Other Securities .........................................560,480,111 2.5% TOTAL INDONESIA ..........................................662,684,642 3.0% MALAYSIA — (3.3%) Other Securities .........................................757,378,044 3.4% MEXICO — (3.7%) America Movil S.A.B. de C.V. Series L ADR ..................3,134,148 48,234,537 0.2% * Cemex S.A.B. de C.V. Sponsored ADR ......................6,399,701 59,005,244 0.3% Grupo Mexico S.A.B. de C.V. Series B ......................19,578,566 57,211,294 0.3% Grupo Televisa S.A.B. Sponsored ADR ......................1,922,391 46,714,101 0.2% Other Securities .........................................635,036,831 2.8% TOTAL MEXICO .............................................846,202,007 3.8% PERU — (0.1%) Other Securities .........................................26,006,050 0.1% PHILIPPINES — (1.3%) Other Securities .........................................310,250,223 1.4% POLAND — (1.6%) Polski Koncern Naftowy Orlen SA ..........................2,073,148 61,957,229 0.3% Other Securities .........................................317,221,777 1.4% TOTAL POLAND .............................................379,179,006 1.7% RUSSIA — (1.3%) Sberbank of Russia PJSC Sponsored ADR ..................4,081,901 48,663,677 0.2% Other Securities .........................................250,852,025 1.1% TOTAL RUSSIA ..............................................299,515,702 1.3% SOUTH AFRICA — (6.9%) # AngloGold Ashanti, Ltd. Sponsored ADR ....................4,151,296 47,449,313 0.2% FirstRand, Ltd...........................................18,295,995 68,259,037 0.3% MTN Group, Ltd..........................................9,901,001 93,636,938 0.4% Naspers, Ltd. Class N ....................................466,930 88,787,427 0.4% # Sanlam, Ltd.............................................9,204,888 48,882,409 0.2% Standard Bank Group, Ltd.................................6,505,944 72,245,795 0.3% # Steinhoff International Holdings NV .........................9,034,034 45,956,987 0.2% Other Securities .........................................1,128,929,937 5.1% TOTAL SOUTH AFRICA .......................................1,594,147,843 7.1% SOUTH KOREA — (15.5%) Hyundai Motor Co........................................433,085 54,775,248 0.3% LG Chem, Ltd............................................207,292 49,859,554 0.2% # LG Electronics, Inc.......................................834,743 50,671,915 0.3% NAVER Corp............................................71,470 50,230,817 0.2% Samsung Electronics Co., Ltd..............................426,639 836,394,674 3.8% SK Holdings Co., Ltd......................................247,932 52,809,989 0.3% SK Hynix, Inc............................................3,141,984 148,846,344 0.7% Other Securities .........................................2,327,329,975 10.2% TOTAL SOUTH KOREA .......................................3,570,918,516 16.0% 83 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED Shares Value†† Percentage of Net Assets** TAIWAN — (14.8%) Hon Hai Precision Industry Co., Ltd.........................55,950,504 $ 183,135,028 0.8% Taiwan Semiconductor Manufacturing Co., Ltd................41,147,652 265,068,840 1.2% Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR.................................................7,660,550 253,334,389 1.2% Other Securities .........................................2,722,258,278 12.2% TOTAL TAIWAN .............................................3,423,796,535 15.4% THAILAND — (3.0%) PTTPCL ...............................................5,479,380 61,621,244 0.3% Other Securities .........................................632,166,413 2.8% TOTAL THAILAND ...........................................693,787,657 3.1% TURKEY — (1.5%) Other Securities .........................................342,140,540 1.5% TOTAL COMMON STOCKS ...................................21,340,710,836 95.7% PREFERRED STOCKS — (2.9%) BRAZIL — (2.8%) Banco Bradesco SA ......................................5,283,085 55,609,669 0.3% Banco Bradesco SA ADR .................................7,269,077 76,688,760 0.4% Itau Unibanco Holding SA .................................10,663,754 131,900,563 0.6% Itau Unibanco Holding SA ADR ............................6,510,406 80,077,994 0.4% Other Securities .........................................291,597,416 1.2% TOTAL BRAZIL ..............................................635,874,402 2.9% CHILE — (0.0%) Other Securities .........................................3,545,969 0.0% COLOMBIA — (0.1%) Other Securities .........................................16,903,277 0.1% INDIA — (0.0%) Other Securities .........................................1,088,369 0.0% TOTAL PREFERRED STOCKS ................................657,412,017 3.0% RIGHTS/WARRANTS — (0.0%) BRAZIL — (0.0%) Other Securities .........................................68,771 0.0% MALAYSIA — (0.0%) Other Securities .........................................374,190 0.0% PHILIPPINES — (0.0%) Other Securities .........................................18,747 0.0% SOUTH KOREA — (0.0%) Other Securities .........................................65,265 0.0% TAIWAN — (0.0%) Other Securities .........................................224,205 0.0% THAILAND — (0.0%) Other Securities .........................................108,188 0.0% TOTAL RIGHTS/WARRANTS ..................................859,366 0.0% TOTAL INVESTMENT SECURITIES ............................21,998,982,219 84 EMERGING MARKETS CORE EQUITY PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** SECURITIES LENDING COLLATERAL — (4.7%) §@ DFA Short Term Investment Fund ..........................94,695,863 $ 1,095,915,225 4.9% TOTAL INVESTMENTS — (100.0%) (Cost $20,335,900,065).....................................$23,094,897,444 103.6% Summary of the Portfolio’s investments as of April 30, 2017, 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 ........................................$1,239,825,902 — — $ 1,239,825,902 Chile .........................................99,347,676 $ 204,750,384 — 304,098,060 China ........................................546,543,403 3,104,236,012 — 3,650,779,415 Colombia .....................................71,270,885 — — 71,270,885 Czech Republic ................................ —31,146,057 — 31,146,057 Egypt ........................................789,020 15,823,492 — 16,612,512 Greece ....................................... —55,752,682 — 55,752,682 Hong Kong .................................... —795,966 — 795,966 Hungary ......................................302,490 81,472,755 — 81,775,245 India .........................................108,734,104 2,873,913,243 — 2,982,647,347 Indonesia .....................................29,680,010 633,004,632 — 662,684,642 Malaysia ......................................8,479 757,369,565 — 757,378,044 Mexico .......................................846,202,007 — — 846,202,007 Peru .........................................26,006,050 — — 26,006,050 Philippines ....................................7,086,518 303,163,705 — 310,250,223 Poland ....................................... —379,179,006 — 379,179,006 Russia .......................................35,966,192 263,549,510 — 299,515,702 South Africa ...................................122,888,171 1,471,259,672 — 1,594,147,843 South Korea ..................................96,053,909 3,474,864,607 — 3,570,918,516 Taiwan .......................................280,412,577 3,143,383,958 — 3,423,796,535 Thailand ......................................693,324,691 462,966 — 693,787,657 Turkey .......................................2,550,861 339,589,679 — 342,140,540 Preferred Stocks Brazil ........................................635,874,402 — — 635,874,402 Chile ......................................... —3,545,969 — 3,545,969 Colombia .....................................16,903,277 — — 16,903,277 India .........................................75,669 1,012,700 — 1,088,369 Rights/Warrants Brazil ........................................ —68,771 — 68,771 Malaysia ...................................... —374,190 — 374,190 Philippines .................................... —18,747 — 18,747 South Korea .................................. —65,265 — 65,265 Taiwan ....................................... —224,205 — 224,205 Thailand ...................................... —108,188 — 108,188 Securities Lending Collateral ....................... —1,095,915,225 — 1,095,915,225 Futures Contracts**..............................2,813,972 — — 2,813,972 TOTAL ......................................... $4,862,660,265 $18,235,051,151 — $23,097,711,416 ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 85 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2017 (Unaudited) (Amounts in thousands, except share and per share amounts) Enhanced U.S. Large Company Portfolio U.S. Large Cap Equity Portfolio* U.S. Large Cap Value Portfolio U.S. Targeted Value Portfolio* ASSETS: Investments in Affiliated Investment Company at Value ......... — — $21,064,989 — Investments at Value (including $0, $37,058, $0 and $2,078,550 of securities on loan, respectively)........................ $253,972 $ 1,031,534 — $ 9,541,383 Temporary Cash Investments at Value & Cost ................ —5,108 — 134,136 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $1, $31,083, $0 and $1,703,529)........... 1 31,088 — 1,703,831 Segregated Cash for Futures Contracts ...................... — — —3,825 Cash ..................................................3,475 — — 4,889 Receivables: Investment Securities/Affiliated Investment Company Sold ....1,507 — — 39,117 Dividends, Interest and Tax Reclaims .....................1,394 987 — 2,440 Securities Lending Income ............................... — 11 — 419 Fund Shares Sold ...................................... 160 6,567 10,443 9,120 Futures Margin Variation ................................ — 1 — — Prepaid Expenses and Other Assets ........................ 24 36 200 132 Total Assets .......................................260,533 1,075,332 21,075,632 11,439,292 LIABILITIES: Payables: Upon Return of Securities Loaned ........................ —31,078 — 1,703,525 Investment Securities/Affiliated Investment Company Purchased ..........................................3,473 2,822 — 65,851 Fund Shares Redeemed ................................ 59 46 18,267 14,670 Due to Advisor ......................................... 24 126 2,557 2,753 Futures Margin Variation ................................ 605 — — 214 Accrued Expenses and Other Liabilities ...................... 22 47 716 536 Total Liabilities .....................................4,183 34,119 21,540 1,787,549 NET ASSETS ........................................... $256,350 $ 1,041,213 $ 21,054,092 $ 9,651,743 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R1 Shares — based on net assets of $0; $0; $0 and $53,053 and shares outstanding of 0; 0; 0 and 2,222,293, respectively ...........................................N/A N/A N/A $ 23.87 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 $179,693 and shares outstanding of 0; 0; 0 and 7,563,837, respectively ...........................................N/A N/A N/A $ 23.76 NUMBER OF SHARES AUTHORIZED ...................... N/A N/A N/A 200,000,000 Institutional Class Shares — based on net assets of $256,350; $1,041,213; $21,054,092 and $9,418,997 and shares outstanding of 19,131,400; 70,560,358; 578,208,176 and 394,442,842, respectively ...............................$ 13.40 $ 14.76 $ 36.41 $ 23.88 NUMBER OF SHARES AUTHORIZED ......................1,000,000,000 1,000,000,000 4,000,000,000 1,500,000,000 Investments in Affiliated Investment Company at Cost .......... $ — $ — $14,743,777 $ — Investments at Cost ...................................... $253,894 $ 866,575 $ — $ 7,778,427 NET ASSETS CONSIST OF: Paid-In Capital .......................................... $226,088 $ 883,728 $ 14,030,750 $ 7,475,082 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................................. 352 1,225 34,467 3,863 Accumulated Net Realized Gain (Loss)......................26,852 (8,705) 667,663 409,017 Net Unrealized Appreciation (Depreciation)...................3,058 164,965 6,321,212 1,763,781 NET ASSETS ........................................... $256,350 $ 1,041,213 $ 21,054,092 $ 9,651,743 * See Note K in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 86 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2017 (Unaudited) (Amounts in thousands, except share and per share amounts) U.S. Small Cap Value Portfolio* U.S. Core Equity 1 Portfolio* U.S. Core Equity 2 Portfolio* U.S. Vector Equity Portfolio* ASSETS: Investments at Value (including $2,263,575, $2,603,976, $2,982,708 and $864,775 of securities on loan, respectively)........................ $14,152,959 $ 18,177,683 $ 20,036,304 $ 4,394,446 Temporary Cash Investments at Value & Cost ......126,008 140,212 229,151 45,293 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $1,900,283, $1,805,496, $2,055,495 and $664,267)..........1,900,659 1,805,785 2,055,867 664,389 Segregated Cash for Futures Contracts ...........4,995 3,950 6,700 1,500 Cash ........................................11,380 1,315 1,996 1,457 Receivables: Investment Securities Sold ....................18,635 2,229 25,799 12,233 Dividends and Interest .......................3,183 14,875 15,771 2,655 Securities Lending Income .................... 493 658 785 204 Fund Shares Sold ...........................8,336 13,059 18,140 2,363 Prepaid Expenses and Other Assets .............. 136 210 194 70 Total Assets ............................16,226,784 20,159,976 22,390,707 5,124,610 LIABILITIES: Payables: Upon Return of Securities Loaned ..............1,900,168 1,805,353 2,055,323 664,258 Investment Securities Purchased ...............20,709 — 67,033 15,135 Fund Shares Redeemed ......................7,599 5,625 5,442 2,224 Due to Advisor ..............................5,796 2,535 3,276 1,082 Futures Margin Variation ...................... 280 221 375 84 Accrued Expenses and Other Liabilities ........... 892 741 899 261 Total Liabilities ..........................1,935,444 1,814,475 2,132,348 683,044 NET ASSETS ................................ $14,291,340 $ 18,345,501 $ 20,258,359 $ 4,441,566 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares — based on net assets of $14,291,340; $18,345,501; $20,258,359 and $4,441,566 and shares outstanding of 385,837,964; 900,421,377; 1,041,156,367 and 246,800,248, respectively .....................$ 37.04 $ 20.37 $ 19.46 $ 18.00 NUMBER OF SHARES AUTHORIZED ............3,400,000,000 3,000,000,000 4,600,000,000 2,000,000,000 Investments at Cost ........................... $10,585,596 $ 12,639,097 $ 13,503,005 $ 2,972,639 NET ASSETS CONSIST OF: Paid-In Capital ................................ $9,907,983 $ 12,744,167 $ 13,625,691 $ 2,948,057 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...........3,460 19,633 21,824 3,488 Accumulated Net Realized Gain (Loss)............810,959 42,490 75,885 67,800 Net Unrealized Appreciation (Depreciation)........3,568,938 5,539,211 6,534,959 1,422,221 NET ASSETS ................................ $14,291,340 $ 18,345,501 $ 20,258,359 $ 4,441,566 * See Note K in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 87 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2017 (Unaudited) (Amounts in thousands, except share and per share amounts) U.S. Small Cap Portfolio* U.S. Micro Cap Portfolio* DFA Real Estate Securities Portfolio* Large Cap International Portfolio* ASSETS: Investments at Value (including $3,797,096, $1,064,522, $573,650 and $405,915 of securities on loan, respectively)........................$ 15,544,615 $ 5,798,004 $ 7,784,953 $ 4,071,067 Temporary Cash Investments at Value & Cost ......211,738 54,274 102,157 — Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $3,518,240, $952,632, $475,841 and $342,825).............3,518,844 952,804 475,931 342,820 Segregated Cash for Futures Contracts ...........7,313 1,985 3,955 1,487 Foreign Currencies at Value ..................... — — —4,148 Cash ........................................6,091 4,449 — 33,441 Receivables: Investment Securities Sold ....................6,660 9,268 — — Dividends, Interest and Tax Reclaims ...........3,922 1,781 7,185 19,240 Securities Lending Income ....................1,359 445 79 439 Fund Shares Sold ...........................10,897 2,717 4,758 3,107 Prepaid Expenses and Other Assets .............. 129 64 92 44 Total Assets ............................19,311,568 6,825,791 8,379,110 4,475,793 LIABILITIES: Payables: Upon Return of Securities Loaned ..............3,518,123 952,605 475,836 342,767 Investment Securities Purchased ...............30,717 11,175 10,495 57 Fund Shares Redeemed ......................35,983 2,942 2,281 1,215 Due to Advisor ..............................4,442 2,357 1,047 697 Futures Margin Variation ......................1,345 381 221 78 Accrued Expenses and Other Liabilities ........... 720 402 446 272 Total Liabilities ..........................3,591,330 969,862 490,326 345,086 NET ASSETS ................................ $15,720,238 $ 5,855,929 $ 7,888,784 $ 4,130,707 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares — based on net assets of $15,720,238; $5,855,929; $7,888,784 and $4,130,707 and shares outstanding of 456,945,402; 277,885,714; 227,804,277 and 192,213,663, respectively .....................$ 34.40 $ 21.07 $ 34.63 $ 21.49 NUMBER OF SHARES AUTHORIZED ............2,000,000,000 3,000,000,000 1,700,000,000 1,500,000,000 Investments at Cost ........................... $11,875,058 $ 3,859,648 $ 5,562,309 $ 3,491,512 Foreign Currencies at Cost ...................... $ — $ — $ — $4,169 NET ASSETS CONSIST OF: Paid-In Capital ................................ $11,445,983 $ 3,629,207 $ 5,690,819 $ 3,742,861 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...........6,208 1,497 69,541 23,646 Accumulated Net Realized Gain (Loss)............595,469 285,972 (95,021) (215,927) Net Unrealized Foreign Exchange Gain (Loss)..... — — — 14 Net Unrealized Appreciation (Depreciation)........3,672,578 1,939,253 2,223,445 580,113 NET ASSETS ................................ $15,720,238 $ 5,855,929 $ 7,888,784 $ 4,130,707 * See Note K in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 88 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2017 (Unaudited) (Amounts in thousands, except share and per share amounts) International Core Equity Portfolio* International Small Company Portfolio Global Small Company Portfolio Japanese Small Company Portfolio Asia Pacific Small Company Portfolio ASSETS: Investments in Affiliated Investment Companies at Value ....................................... — $11,971,270 $ 10,345 $ 538,996 $ 282,928 Investments at Value (including $2,170,666, $0, $0, $0 and $0 of securities on loan, respectively)...... $20,697,972 — — — — Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $2,079,308, $0, $0, $0 and$0) .....................................2,079,631 — — — — Segregated Cash for Futures Contracts ............8,100 4,654 — — — Foreign Currencies at Value ......................10,746 — — — — Cash .........................................325,004 123,062 22 — — Receivables: Investment Securities Sold .....................6,308 — — — — Dividends, Interest and Tax Reclaims ............93,638 — — — — Securities Lending Income .....................3,421 — — — — Fund Shares Sold ............................20,058 4,480 110 262 — From Advisor ................................ — — 8 — — Unrealized Gain on Foreign Currency Contracts ..... 32 — — — — Deferred Offering Costs ......................... — — 23 — — Prepaid Expenses and Other Assets ............... 220 70 4 12 12 Total Assets .............................23,245,130 12,103,536 10,512 539,270 282,940 LIABILITIES: Payables: Upon Return of Securities Loaned ...............2,079,284 — — — — Investment Securities Purchased ................139,434 — 40 — — Fund Shares Redeemed .......................5,133 7,577 — 10 50 Due to Advisor ...............................4,545 3,850 — 174 93 Futures Margin Variation ....................... 454 464 — — — Unrealized Loss on Foreign Currency Contracts ..... 55 — — — — Accrued Expenses and Other Liabilities ............ 871 417 2 15 11 Total Liabilities ...........................2,229,776 12,308 42 199 154 NET ASSETS ................................. $21,015,354 $ 12,091,228 $ 10,470 $ 539,071 $ 282,786 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares — based on net assets of $21,015,354; $12,091,228; $10,470; $539,071 and $282,786 and shares outstanding of 1,635,224,061; 625,644,782; 990,694; 22,348,911 and 13,162,865, respectively .................................$ 12.85 $ 19.33 $ 10.57 $ 24.12 $ 21.48 NUMBER OF SHARES AUTHORIZED .............7,000,000,000 3,000,000,000 100,000,000 1,000,000,000 1,000,000,000 Investments in Affiliated Investment Companies at Cost ........................................ $ — $10,153,529 $ 10,000 $ 444,383 $ 286,809 Investments at Cost ............................. $18,280,468 $ — $ — $ — $ — Foreign Currencies at Cost ....................... $10,744 $ — $ — $ — $ — NET ASSETS CONSIST OF: Paid-In Capital ................................. $18,870,631 $ 10,147,577 $ 10,082 $ 476,319 $ 309,594 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)..............127,061 16,467 32 (2,191) (5,017) Accumulated Net Realized Gain (Loss).............(401,483) 108,109 11 (29,629) (17,907) Net Unrealized Foreign Exchange Gain (Loss)...... 151 (38) — (41) (3) Net Unrealized Appreciation (Depreciation).........2,418,994 1,819,113 345 94,613 (3,881) NET ASSETS ................................. $21,015,354 $ 12,091,228 $ 10,470 $ 539,071 $ 282,786 * See Note K in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 89 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2017 (Unaudited) (Amounts in thousands, except share and per share amounts) United Kingdom Small Company Portfolio Continental Small Company Portfolio DFA International Real Estate Securities Portfolio* DFA Global Real Estate Securities Portfolio* DFA International Small Cap Value Portfolio* ASSETS: Investments in Affiliated Investment Companies at Value .................................... $43,125 $ 386,549 — $ 3,549,532 — Investments at Value (including $0, $0, $195,714, $169,934 and $893,768 of securities on loan, respectively).............................. — — $4,686,690 1,996,637 $ 14,314,699 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0, $0, $200,224, $174,718 and $894,767)........... — —200,242 174,737 894,960 Segregated Cash for Futures Contracts .......... — —1,075 — 5,520 Foreign Currencies at Value ................... — —4,691 — 81,666 Cash ...................................... — —45,870 8,127 97,772 Receivables: Investment Securities/Affiliated Investment Company Sold .......................... — — 351 —38,009 Dividends, Interest and Tax Reclaims ......... — —18,909 1,857 71,685 Securities Lending Income .................. — — 466 23 2,251 Fund Shares Sold .......................... — 74 15,159 38,124 5,910 Unrealized Gain on Foreign Currency Contracts . . — — 14 — 7 Prepaid Expenses and Other Assets ............ 14 68 79 102 134 Total Assets ...........................43,139 386,691 4,973,546 5,769,139 15,512,613 LIABILITIES: Payables: Upon Return of Securities Loaned ............ — —200,184 174,713 894,710 Investment Securities/Affiliated Investment Company Purchased ..................... — —20,732 14,107 40,652 Fund Shares Redeemed .................... 21 41 2,082 3,984 5,588 Due to Advisor ............................ 12 121 961 302 7,586 Futures Margin Variation .................... — — 61 — 481 Unrealized Loss on Foreign Currency Contracts . . — — 16 — 3 Accrued Expenses and Other Liabilities ......... 5 12 254 206 890 Total Liabilities ........................ 38 174 224,290 193,312 949,910 NET ASSETS ............................... $43,101 $ 386,517 $ 4,749,256 $ 5,575,827 $ 14,562,703 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares — based on net assets of $43,101; $386,517; $4,749,256; $5,575,827 and $14,562,703 and shares outstanding of 1,393,593; 15,292,635; 952,231,946; 522,372,529 and 693,253,327, respectively ....$ 30.93 $ 25.27 $ 4.99 $ 10.67 $ 21.01 NUMBER OF SHARES AUTHORIZED ..........1,000,000,000 1,000,000,000 4,000,000,000 3,000,000,000 4,600,000,000 Investments in Affiliated Investment Companies at Cost ..................................... $34,523 $ 296,628 $ — $ 2,959,753 $ — Investments at Cost .......................... $ — $ — $4,450,191 $ 1,919,189 $ 11,975,928 Foreign Currencies at Cost .................... $ — $ — $4,656 $ — $ 82,254 NET ASSETS CONSIST OF: Paid-In Capital .............................. $33,919 $ 301,692 $ 5,164,678 $ 4,901,629 $ 11,958,612 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).......... 220 2,276 (389,673) 32,402 (27,590) Accumulated Net Realized Gain (Loss).......... 350 (7,491) (262,590) (25,450) 291,988 Net Unrealized Foreign Exchange Gain (Loss).... 10 119 40 — 73 Net Unrealized Appreciation (Depreciation)......8,602 89,921 236,801 667,246 2,339,620 NET ASSETS ............................... $43,101 $ 386,517 $ 4,749,256 $ 5,575,827 $ 14,562,703 * See Note K in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 90 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2017 (Unaudited) (Amounts in thousands, except share and per share amounts) International Vector Equity Portfolio* World ex U.S. Value Portfolio World ex U.S. Targeted Value Portfolio* World ex U.S. Core Equity Portfolio* World Core Equity Portfolio ASSETS: Investments in Affiliated Investment Companies at Value ......................................... — $216,675 — — $ 448,671 Investments at Value (including $210,226, $0, $12,345, $180,374 and $0 of securities on loan, respectively) . . . $ 2,177,654 — $ 375,699 $ 2,171,488 — Temporary Cash Investments at Value & Cost ......... — — — — 322 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $209,180, $0, $9,956, $163,878 and $0)...............................209,216 — 9,957 163,905 — Foreign Currencies at Value ........................1,173 — 1,726 3,698 — Cash ............................................7,667 216 921 10,802 — Receivables: Investment Securities Sold ........................ 664 — 716 584 — Dividends, Interest and Tax Reclaims ...............9,689 — 1,379 7,674 — Securities Lending Income ........................ 389 — 37 365 — Fund Shares Sold ...............................2,082 55 183 963 351 Unrealized Gain on Foreign Currency Contracts ........ 1 — 2 — — Prepaid Expenses and Other Assets ................. 50 11 26 55 21 Total Assets ................................2,408,585 216,957 390,646 2,359,534 449,365 LIABILITIES: Payables: Upon Return of Securities Loaned .................209,175 — 9,955 163,878 — Investment Securities Purchased ..................3,222 — 2,220 4,617 161 Fund Shares Redeemed .........................1,035 12 70 740 27 Due to Advisor .................................. 790 58 178 606 19 Unrealized Loss on Foreign Currency Contracts ........ 1 — 1 — — Accrued Expenses and Other Liabilities ............... 131 4 82 172 5 Total Liabilities ..............................214,354 74 12,506 170,013 212 NET ASSETS .................................... $2,194,231 $ 216,883 $ 378,140 $ 2,189,521 $ 449,153 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Institutional Class Shares — based on net assets of $2,194,231; $216,883; $378,140; $2,189,521 and $449,153 and shares outstanding of 183,057,375; 19,030,131; 27,726,632; 199,584,395 and 30,600,514, respectively ....................................$ 11.99 $ 11.40 $ 13.64 $ 10.97 $ 14.68 NUMBER OF SHARES AUTHORIZED ...............1,500,000,000 1,000,000,000 1,000,000,000 1,500,000,000 1,000,000,000 Investments in Affiliated Investment Companies at Cost .......................................... $ — $196,174 $ — $ — $ 399,517 Investments at Cost ............................... $1,872,126 $ — $ 326,299 $ 1,988,827 $ — Foreign Currencies at Cost ......................... $1,172 $ — $ 1,719 $ 3,706 $ — NET ASSETS CONSIST OF: Paid-In Capital ................................... $1,877,408 $ 198,784 $ 330,263 $ 2,007,781 $ 403,336 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).................13,057 1,014 1,594 10,827 (33) Accumulated Net Realized Gain (Loss)...............(1,811) (3,381) (3,125) (11,780) (3,304) Net Unrealized Foreign Exchange Gain (Loss)......... 12 (35) — 13 — Net Unrealized Appreciation (Depreciation)............305,565 20,501 49,408 182,680 49,154 NET ASSETS .................................... $2,194,231 $ 216,883 $ 378,140 $ 2,189,521 $ 449,153 * See Note K in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 91 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2017 (Unaudited) (Amounts in thousands, except share and per share amounts) Selectively Hedged Global Equity Portfolio Emerging Markets Portfolio Emerging Markets Small Cap Portfolio Emerging Markets Value Portfolio Emerging Markets Core Equity Portfolio* ASSETS: Investments in Affiliated Investment Companies at Value .......................................$ 317,176 $ 5,688,367 $ 6,505,830 $ 17,986,995 — Investments at Value (including $0, $0, $0, $0 and $1,859,446 of securities on loan, respectively).....— — — — $ 21,998,982 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0, $0, $0, $0 and $1,095,684)..................................— — — — 1,095,915 Segregated Cash for Futures Contracts ............. 830 — — —7,865 Foreign Currencies at Value ...................... — — — —88,495 Cash ..........................................19,617 — — — 193,057 Receivables: Investment Securities/Affiliated Investment Companies Sold ............................— — — — 22,609 Dividends, Interest and Tax Reclaims ............. — — — —23,047 Securities Lending Income ...................... — — — —5,172 Fund Shares Sold ............................. 727 5,047 3,371 5,516 28,427 Unrealized Gain on Forward Currency Contracts ..... 207 — — — — Unrealized Gain on Foreign Currency Contracts ...... — — — — 3 Prepaid Expenses and Other Assets ............... 13 58 51 80 196 Total Assets ..............................338,570 5,693,472 6,509,252 17,992,591 23,463,768 LIABILITIES: Payables: Upon Return of Securities Loaned ............... — — — —1,095,654 Investment Securities/Affiliated Investment Companies Purchased .......................370 — — — 51,000 Fund Shares Redeemed ....................... 23 3,662 2,610 13,942 7,353 Due to Advisor ................................ 11 1,472 2,366 5,866 8,662 Futures Margin Variation ....................... 46 — — — 267 Unrealized Loss on Forward Currency Contracts ..... 318 — — — — Unrealized Loss on Foreign Currency Contracts ...... — — — — 24 Accrued Expenses and Other Liabilities ............. 9 218 179 681 1,378 Total Liabilities ............................ 777 5,352 5,155 20,489 1,164,338 NET ASSETS .................................. $337,793 $ 5,688,120 $ 6,504,097 $ 17,972,102 $ 22,299,430 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares — based on net assets of $0; $0; $0; $24,119 and $0 and shares outstanding of 0; 0; 0; 880,642 and 0, respectively .....................N/A N/A N/A $ 27.39 N/A NUMBER OF SHARES AUTHORIZED ............. N/A N/A N/A 200,000,000 N/A Institutional Class Shares — based on net assets of $337,793; $5,688,120; $6,504,097; $17,947,983 and $22,299,430 and shares outstanding of 22,475,170; 217,226,559; 301,548,953; 651,352,264 and 1,110,693,339, respectively .....................$ 15.03 $ 26.19 $ 21.57 $ 27.55 $ 20.08 NUMBER OF SHARES AUTHORIZED .............1,000,000,000 1,500,000,000 1,500,000,000 3,000,000,000 5,000,000,000 Investments in Affiliated Investment Companies at Cost ........................................$ 270,709 $ 4,238,393 $ 5,780,416 $ 16,897,664 $ — Investments at Cost ............................. $ — $ — $ — $ — $19,240,216 Foreign Currencies at Cost ....................... $ — $ — $ — $ — $88,740 NET ASSETS CONSIST OF: Paid-In Capital .................................. $288,855 $ 4,470,840 $ 5,782,823 $ 18,398,556 $ 20,398,507 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...............45 6,345 (16,108) (31,904) 44,770 Accumulated Net Realized Gain (Loss).............2,374 (239,042) 11,922 (1,484,043) (905,520) Net Unrealized Foreign Exchange Gain (Loss).......(111) 3 46 162 99 Net Unrealized Appreciation (Depreciation)..........46,630 1,449,974 725,414 1,089,331 2,761,574 NET ASSETS .................................. $337,793 $ 5,688,120 $ 6,504,097 $ 17,972,102 $ 22,299,430 * See Note K in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 92 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2017 (Unaudited) (Amounts in thousands) Enhanced U.S. Large Company Portfolio# U.S. Large Cap Equity Portfolio# U.S. Large Cap Value Portfolio* U.S. Targeted Value Portfolio# Investment Income Net Investment Income Allocated from Affiliated Investment Company: Dividends ............................................... $ — $ — $219,975 $ — Income from Securities Lending ............................. — —1,085 — Expenses Allocated from Affiliated Investment Company ........ — —(10,911) — Total Net Investment Income Received from Affiliated Investment Company .................................. — —210,149 — Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $1, $0 and $34, respectively)............................................. $ — $9,153 $ — $ 68,372 Interest ...................................................1,672 — — — Income from Securities Lending ............................... 7 77 —2,516 Total Investment Income .................................1,679 9,230 — 70,888 Fund Expenses Investment Management Fees ................................ 250 712 24,707 16,427 Accounting & Transfer Agent Fees ............................ 9 30 167 259 S&P 500 ®Fees ............................................ 4 — — — Custodian Fees ............................................ 4 7 — 58 Shareholder Servicing Fees Class R1 Shares ......................................... — — — 24 Class R2 Shares ......................................... — — — 216 Filing Fees ................................................ 16 26 127 76 Shareholders’ Reports ....................................... 3 8 190 140 Directors’/Trustees’ Fees & Expenses .......................... 1 5 95 46 Professional Fees .......................................... 2 7 17 65 Other ..................................................... 5 21 47 123 Total Expenses ......................................... 294 816 25,350 17,434 Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C).........................(18) — (9,883) — Fees Paid Indirectly (Note C)................................. (4) — — — Net Expenses .............................................. 272 816 15,467 17,434 Net Investment Income (Loss)..............................1,407 8,414 194,682 53,454 Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**................................(237) 2,571 652,478 396,371 Futures .................................................27,341 — 12,107 11,155 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ................... 68 110,709 1,831,911 872,409 Futures .................................................2,744 1 4,884 2,557 Net Realized and Unrealized Gain (Loss).....................29,916 113,281 2,501,380 1,282,492 Net Increase (Decrease) in Net Assets Resulting from Operations ...............................................$31,323 $121,695 $2,696,062 $1,335,946 * 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. 93 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2017 (Unaudited) (Amounts in thousands) U.S. Small Cap Value Portfolio U.S. Core Equity 1 Portfolio U.S. Core Equity 2 Portfolio U.S. Vector Equity Portfolio Investment Income Dividends (Net of Foreign Taxes Withheld of $50, $30, $35 and $10, respectively)#............................................ $94,623 $ 153,647 $ 168,821 $ 34,825 Income from Securities Lending ...............................3,278 4,075 4,803 1,210 Total Investment Income .................................97,901 157,722 173,624 36,035 Expenses Investment Management Fees ................................35,532 14,449 18,881 6,403 Accounting & Transfer Agent Fees ............................. 415 468 526 127 Custodian Fees ............................................ 95 89 97 26 Filing Fees ................................................ 121 172 127 35 Shareholders’ Reports ....................................... 161 107 129 52 Directors’/Trustees’ Fees & Expenses .......................... 71 81 91 21 Professional Fees .......................................... 103 118 133 31 Other ..................................................... 192 219 248 58 Total Expenses .........................................36,690 15,703 20,232 6,753 Net Investment Income (Loss)...............................61,211 142,019 153,392 29,282 Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**................................709,314 30,001 60,806 63,503 Futures .................................................20,973 10,576 12,375 2,950 In-Kind Redemptions ......................................79,386 — — — Change in Unrealized Appreciation (Depreciation) of: Investment Securities .....................................1,361,435 2,068,820 2,303,338 527,084 Futures .................................................5,136 3,553 4,911 1,125 Net Realized and Unrealized Gain (Loss).....................2,176,244 2,112,950 2,381,430 594,662 Net Increase (Decrease) in Net Assets Resulting from Operations ...............................................$2,237,455 $2,254,969 $2,534,822 $623,944 ** 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. 94 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2017 (Unaudited) (Amounts in thousands) U.S. Small Cap Portfolio U.S. Micro Cap Portfolio DFA Real Estate Securities Portfolio Large Cap International Portfolio Investment Income Dividends (Net of Foreign Taxes Withheld of $29, $4, $0 and $4,983, respectively)#............................................. $102,667 $ 35,567 $168,017 $ 52,179 Income from Securities Lending ................................7,041 2,101 591 1,398 Total Investment Income ...................................109,708 37,668 168,608 53,577 Expenses Investment Management Fees .................................25,932 14,226 6,375 4,357 Accounting & Transfer Agent Fees .............................. 420 176 217 126 Custodian Fees .............................................. 91 42 39 178 Filing Fees .................................................. 99 41 70 31 Shareholders’ Reports ........................................ 142 62 111 62 Directors’/Trustees’ Fees & Expenses ........................... 72 28 37 18 Professional Fees ............................................ 103 42 57 34 Other ...................................................... 192 80 99 69 Total Expenses ..........................................27,051 14,697 7,005 4,875 Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C).......................... — —(254) (141) Fees Paid Indirectly (Note C)................................... — — —(132) Net Expenses ...............................................27,051 14,697 6,751 4,602 Net Investment Income (Loss)................................82,657 22,971 161,857 48,975 Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**.................................468,794 283,979 (21,717) 11,853 Futures ...................................................11,882 6,138 5,170 1,906 Foreign Currency Transactions ............................... — — —(899) In-Kind Redemptions .......................................125,200 — — — Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ....................1,581,604 652,854 118,073 346,444 Futures ...................................................6,700 2,384 2,226 1,452 Translation of Foreign Currency Denominated Amounts ........... — — — 346 Net Realized and Unrealized Gain (Loss).......................2,194,180 945,355 103,752 361,102 Net Increase (Decrease) in Net Assets Resulting from Operations . . . $2,276,837 $968,326 $265,609 $410,077 ** 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. 95 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2017 (Unaudited) (Amounts in thousands) International Core Equity Portfolio# International Small Company Portfolio* Global Small Company Portfolio (a)* Japanese Small Company Portfolio* Asia Pacific Small Company Portfolio* Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $11,583, $3, $633 and $84, respectively)......... $ — $133,511 $ 26 $ 5,776 $ 3,674 Income from Securities Lending ................... —13,856 3 551 392 Expenses Allocated from Affiliated Investment Companies .................................. —(6,538) (1) (318) (168) Income Distributions Received from Affiliated Investment Companies ....................................— 239 8 — — Total Net Investment Income Received from Affiliated Investment Companies .............. —141,068 36 6,009 3,898 Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $23,093, $0, $0, $0 and $0, respectively)...................249,096 — — — — Income from Securities Lending .....................13,832 — — — — Total Investment Income .......................262,928 — — — — Fund Expenses Investment Management Fees ......................29,668 21,562 8 1,266 644 Accounting & Transfer Agent Fees .................. 541 60 1 3 2 Custodian Fees .................................. 935 2 1 — — Filing Fees ...................................... 179 111 1 10 11 Shareholders’ Reports ............................. 182 133 — 3 3 Directors’/Trustees’ Fees & Expenses ................ 87 52 — 2 1 Professional Fees ................................ 163 31 — 1 — Organizational & Offering Costs ..................... — — 9 — — Other ........................................... 306 36 — 2 — Total Expenses ...............................32,061 21,987 20 1,287 661 Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)......................................(2,081) — (16) (253) (129) Fees Paid Indirectly (Note C).......................(799) — — — — Net Expenses ....................................29,181 21,987 4 1,034 532 Net Investment Income (Loss)....................233,747 119,081 32 4,975 3,366 Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**......................(44,503) 117,973 12 4,995 4,278 Futures .......................................14,372 5,651 (1) — — Foreign Currency Transactions ...................(4,031) (2,047) — (381) (76) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ........1,942,368 1,071,748 (2) 23,816 4,656 Affiliated Investment Companies Shares ............ — — 347 — — Futures .......................................4,105 4,157 — 1 — Translation of Foreign Currency Denominated Amounts ....................................1,680 1,021 — 115 (3) Net Realized and Unrealized Gain (Loss)...........1,913,991 1,198,503 356 28,546 8,855 Net Increase (Decrease) in Net Assets Resulting from Operations ......................................$2,147,738 $1,317,584 $388 $33,521 $12,221 * 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. (a)The Portfolio commenced operations on January 18, 2017. See accompanying Notes to Financial Statements. 96 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2017 (Unaudited) (Amounts in thousands) United Kingdom Small Company Portfolio* Continental Small Company Portfolio* DFA International Real Estate Securities Portfolio# DFA Global Real Estate Securities Portfolio# DFA International Small Cap Value Portfolio# Investment Income Net Investment Income Allocated from Affiliated Investment Company: Dividends (Net of Foreign Taxes Withheld of $1, $523, $0, $0 and $0, respectively)............................ $ 755 $3,531 $ — $ — $ — Income from Securities Lending ........................ 11 512 — — — Expenses Allocated from Affiliated Investment Company . . . (23) (201) — — — Income Distributions Received from Affiliated Investment Companies ......................................... — — —160,849 — Total Net Investment Income Received from Affiliated Investment Company ............................. 743 3,842 — 160,849 — Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $0, $10,768, $0 and $13,215, respectively).......................... — —89,904 39,852 154,442 Income from Securities Lending .......................... — —1,416 188 10,927 Total Fund Investment Income ....................... — —91,320 40,040 165,369 Fund Expenses Investment Management Fees ........................... 98 814 5,315 5,105 43,908 Accounting & Transfer Agent Fees ....................... 2 3 135 79 401 Custodian Fees ....................................... — — 244 14 915 Filing Fees ........................................... 16 24 42 75 86 Shareholders’ Reports ................................. 1 4 55 101 174 Directors’/Trustees’ Fees & Expenses ..................... — 2 20 25 66 Professional Fees ..................................... 1 — 38 21 118 Other ................................................ — — 72 27 243 Total Expenses ................................... 118 847 5,921 5,447 45,911 Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)............(26) (163) — (3,138) — Fees Paid Indirectly (Note C)............................ — —(155) — (233) Net Expenses ......................................... 92 684 5,766 2,309 45,678 Net Investment Income (Loss)......................... 651 3,158 85,554 198,580 119,691 Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies ......................................... — — —14,569 — Net Realized Gain (Loss) on: Investment Securities Sold**.......................... 559 3,117 (24,204) 426 306,161 Affiliated Investment Companies Shares Sold ............ — — —(1,562) — Futures ............................................ — —3,760 222 8,861 Foreign Currency Transactions ........................ (3) 29 (253) 3 (4,809) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency .............6,241 52,027 104,882 (29,277) 1,265,279 Futures ............................................ — — 553 —4,697 Translation of Foreign Currency Denominated Amounts .... 8 6 404 —1,606 Net Realized and Unrealized Gain (Loss)................6,805 55,179 85,142 (15,619) 1,581,795 Net Increase (Decrease) in Net Assets Resulting from Operations ..........................................$7,456 $58,337 $170,696 $182,961 $1,701,486 * Investment Income and a portion of Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company). ** Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $0, respectively. # Portion of income is from investment in affiliated fund. See accompanying Notes to Financial Statements. 97 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2017 (Unaudited) (Amounts in thousands) International Vector Equity Portfolio# World ex U.S. Value Portfolio* World ex U.S. Targeted Value Portfolio# World ex U.S. Core Equity Portfolio# World Core Equity Portfolio Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $228, $0, $0 and $0, respectively)............. $ — $2,433 $ — $ — $ — Income from Securities Lending ................. — 98 — — — Expenses Allocated from Affiliated Investment Companies ................................ —(175) — — — Income Distributions Received from Affiliated Investment Companies ........................ — 170 — —3,426 Total Net Investment Income Received from Affiliated Investment Companies ............ — 2,526 — —3,426 Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $2,424, $0, $303, $2,232 and $0, respectively)...........26,142 — 3,302 22,527 1 Income from Securities Lending ...................1,751 — 154 1,511 — Total Investment Income .....................27,893 — 3,456 24,038 1 Fund Expenses Investment Management Fees ....................4,454 470 929 3,473 614 Accounting & Transfer Agent Fees ................ 68 2 15 62 3 Custodian Fees ................................ 126 — 121 285 — Filing Fees .................................... 36 9 22 32 21 Shareholders’ Reports .......................... 36 2 3 30 2 Directors’/Trustees’ Fees & Expenses .............. 9 1 1 9 2 Professional Fees .............................. 18 3 12 28 3 Other ......................................... 42 2 12 36 — Total Expenses ............................4,789 489 1,115 3,955 645 Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C).................................... —(224) — (69) (509) Fees Paid Indirectly (Note C).....................(30) — (5) (57) — Net Expenses ..................................4,759 265 1,110 3,829 136 Net Investment Income (Loss)..................23,134 2,261 2,346 20,209 3,291 Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies ........................ — 653 — — 898 Net Realized Gain (Loss) on: Investment Securities Sold**....................(658) (821) 5,191 848 (436) Futures ..................................... 158 125 — 2 — Foreign Currency Transactions .................(394) (32) (54) (396) — Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ......212,999 20,446 35,582 191,232 (1) Affiliated Investment Companies Shares .......... —(148) — — 46,422 Futures ..................................... — 73 — — — Translation of Foreign Currency Denominated Amounts .................................. 196 13 22 129 — Net Realized and Unrealized Gain (Loss).........212,301 20,309 40,741 191,815 46,883 Net Increase (Decrease) in Net Assets Resulting from Operations ...............................$235,435 $22,570 $43,087 $212,024 $50,174 * Investment Income and a portion of Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company). ** Net of foreign capital gain taxes withheld of $0, $0, $0, $0 and $0, respectively. # Portion of income is from investment in affiliated fund. See accompanying Notes to Financial Statements. 98 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2017 (Unaudited) (Amounts in thousands) Selectively Hedged Global Equity Portfolio* Emerging Markets Portfolio* Emerging Markets Small Cap Portfolio* Emerging Markets Value Portfolio* Emerging Markets Core Equity Portfolio# Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $0, $5,398, $4,262, $16,476 and $0, respectively)................. $ — $41,595 $ 38,733 $ 135,744 $ — Interest ............................................. — 10 51 13 — Income from Securities Lending ........................ —2,051 21,381 11,652 — Expenses Allocated from Affiliated Investment Companies . . — (3,763) (7,371) (12,761) — Income Distributions Received from Affiliated Investment Companies .........................................2,303 — — — — Total Net Investment Income Received from Affiliated Investment Companies ............................2,303 39,893 52,794 134,648 — Fund Investment Income Dividends (Net of Foreign Taxes Withheld of $0, $0, $0, $0 and $19,700, respectively)................................ 38 — — —152,254 Income from Securities Lending .......................... — — — —25,846 Total Fund Investment Income ....................... 38 — — —178,100 Fund Expenses Investment Management Fees ........................... 468 12,007 18,595 41,723 50,486 Accounting & Transfer Agent Fees ........................ 3 30 32 69 557 Custodian Fees ........................................ — — — —3,991 Shareholder Servicing Fees Class R2 Shares .....................................———93— Filing Fees ............................................ 11 50 44 106 126 Shareholders’ Reports .................................. 3 77 54 133 229 Directors’/Trustees’ Fees & Expenses ..................... 2 24 27 80 91 Professional Fees ...................................... 2 5 5 15 247 Other ................................................ 2 12 15 42 314 Total Expenses .................................... 491 12,205 18,772 42,261 56,041 Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C).............(427) (2,551) (5,722) — (1,506) Fees Waived, (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C) Institutional Class Shares .............................. — — —(8,307) — Class R2 Shares ..................................... — — —(37) — Fees Paid Indirectly (Note C)............................ — — — —(568) Net Expenses ......................................... 64 9,654 13,050 33,917 53,967 Net Investment Income (Loss)..........................2,277 30,239 39,744 100,731 124,133 Realized and Unrealized Gain (Loss) Capital Gain Distributions Received from Affiliated Investment Companies ......................................... 894 — — — — Net Realized Gain (Loss) on: Investment Securities Sold**...........................(578) (19,102) 16,761 (434,056) (114,322) Futures .............................................1,472 2,394 3,141 8,408 14,114 Foreign Currency Transactions ......................... — 114 755 3,586 (2,003) Forward Currency Contracts ...........................1,881 — — — — Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency .............. —467,837 535,791 2,175,373 1,890,406 Affiliated Investment Companies Shares .................33,263 — — — — Futures ............................................. 511 1,766 753 3,185 6,261 Translation of Foreign Currency Denominated Amounts .... —(57) (68) (50) (67) Forward Currency Contracts ...........................(760) — — — — Net Realized and Unrealized Gain (Loss).................36,683 452,952 557,133 1,756,446 1,794,389 Net Increase (Decrease) in Net Assets Resulting from Operations ...........................................$38,960 $483,191 $596,877 $1,857,177 $1,918,522 * 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, $144 and $0, respectively. # Portion of income is from investment in affiliated fund. See accompanying Notes to Financial Statements. 99 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) Enhanced U.S. Large Company Portfolio U.S. Large Cap Equity Portfolio U.S. Large Cap Value Portfolio Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)........ $1,407 $ 1,670 $ 8,414 $ 15,047 $ 194,682 $ 363,236 Net Realized Gain (Loss) on: Investment Securities Sold*........(237) (59) 2,571 (9,470) 652,478 447,750 Futures .........................27,341 7,848 — — 12,107 17,635 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ......................68 118 110,709 22,964 1,831,911 (11,625) Futures .........................2,744 (557) 1 — 4,884 (3,292) Net Increase (Decrease) in Net Assets Resulting from Operations ...................31,323 9,020 121,695 28,541 2,696,062 813,704 Distributions From: Net Investment Income: Institutional Class Shares ..........(1,256) (1,417) (9,076) (14,431) (179,198) (357,227) Net Short-Term Gains: Institutional Class Shares ..........(2,722) (3,529) — — — — Net Long-Term Gains: Institutional Class Shares ..........(4,088) (9,801) — — (446,140) (643,970) Total Distributions ...............(8,066) (14,747) (9,076) (14,431) (625,338) (1,001,197) Capital Share Transactions (1): Shares Issued .....................39,475 73,655 197,414 301,960 2,672,157 4,078,939 Shares Issued in Lieu of Cash Distributions .....................7,501 13,002 8,737 14,259 584,187 935,970 Shares Redeemed ..................(52,296) (46,158) (128,880) (178,150) (1,946,229) (2,962,098) Net Increase (Decrease) from Capital Share Transactions .....(5,320) 40,499 77,271 138,069 1,310,115 2,052,811 Total Increase (Decrease) in Net Assets ......................17,937 34,772 189,890 152,179 3,380,839 1,865,318 Net Assets Beginning of Period .................238,413 203,641 851,323 699,144 17,673,253 15,807,935 End of Period ......................$256,350 $238,413 $1,041,213 $ 851,323 $21,054,092 $17,673,253 (1) Shares Issued and Redeemed: Shares Issued .....................3,036 6,113 13,834 24,003 74,712 131,035 Shares Issued in Lieu of Cash Distributions .....................591 1,111 612 1,116 16,428 29,906 Shares Redeemed ..................(4,009) (3,945) (9,069) (14,319) (54,557) (94,466) Net Increase (Decrease) from Shares Issued and Redeemed . .(382) 3,279 5,377 10,800 36,583 66,475 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)................$ 352 $ 201 $ 1,225 $ 1,887 $ 34,467 $ 18,983 * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 100 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) U.S. Targeted Value Portfolio U.S. Small Cap Value Portfolio U.S. Core Equity 1 Portfolio Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............. $53,454 $ 93,044 $ 61,211 $ 122,969 $ 142,019 $ 261,444 Net Realized Gain (Loss) on: Investment Securities Sold*.............396,371 310,791 709,314 533,632 30,001 71,932 Futures ..............................11,155 6,695 20,973 42,945 10,576 14,545 In-Kind Redemptions ................... — —79,386 — — — Change in Unrealized Appreciation (Depreciation) of: Investment Securities ..................872,409 (32,158) 1,361,435 (45,822) 2,068,820 193,308 Futures ..............................2,557 (2,039) 5,136 (3,946) 3,553 (3,224) Net Increase (Decrease) in Net Assets Resulting from Operations ...........1,335,946 376,333 2,237,455 649,778 2,254,969 538,005 Distributions From: Net Investment Income: Class R1 Shares ......................(241) (462) — — — — Class R2 Shares ......................(808) (1,837) — — — — Institutional Class Shares ...............(49,959) (92,387) (55,980) (122,993) (156,030) (253,050) Net Short-Term Gains: Class R1 Shares ......................(75) (54) — — — — Class R2 Shares ......................(304) (202) — — — — Institutional Class Shares ...............(15,806) (9,668) — — — — Net Long-Term Gains: Class R1 Shares ......................(1,310) (1,571) — — — — Class R2 Shares ......................(5,296) (5,836) — — — — Institutional Class Shares ...............(275,712) (279,118) (533,287) (487,348) (71,615) (160,152) Total Distributions ...................(349,511) (391,135) (589,267) (610,341) (227,645) (413,202) Capital Share Transactions (1): Shares Issued ..........................1,635,245 1,989,566 1,660,803 2,855,521 2,563,876 3,836,889 Shares Issued in Lieu of Cash Distributions ..........................322,721 363,680 533,141 547,459 217,685 394,137 Shares Redeemed .......................(1,360,947) (1,433,622) (2,163,977) (2,509,494) (1,423,543) (2,671,444) Net Increase (Decrease) from Capital Share Transactions ................597,019 919,624 29,967 893,486 1,358,018 1,559,582 Total Increase (Decrease) in Net Assets ...........................1,583,454 904,822 1,678,155 932,923 3,385,342 1,684,385 Net Assets Beginning of Period ......................8,068,289 7,163,467 12,613,185 11,680,262 14,960,159 13,275,774 End of Period ........................... $9,651,743 $ 8,068,289 $14,291,340 $12,613,185 $18,345,501 $14,960,159 (1) Shares Issued and Redeemed: Shares Issued ..........................68,077 99,453 44,747 94,286 130,428 221,794 Shares Issued in Lieu of Cash Distributions ..........................13,315 18,127 14,108 17,740 11,099 22,712 Shares Redeemed .......................(56,715) (70,370) (58,128) (79,957) (72,342) (154,875) Net Increase (Decrease) from Shares Issued and Redeemed ..............24,677 47,210 727 32,069 69,185 89,631 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...............................$ 3,863 $ 1,417 $ 3,460 $ (1,771) $ 19,633 $ 33,644 * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 101 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) U.S. Core Equity 2 Portfolio U.S. Vector Equity Portfolio U.S. Small Cap Portfolio Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss) . . . $ 153,392 $ 293,351 $ 29,282 $ 59,961 $ 82,657 $ 135,557 Net Realized Gain (Loss) on: Investment Securities Sold*....60,806 110,911 63,503 103,375 468,794 362,082 Futures ....................12,375 16,424 2,950 3,911 11,882 18,220 In-Kind Redemptions ......... — — — —125,200 — Change in Unrealized Appreciation (Depreciation) of: Investment Securities .........2,303,338 180,375 527,084 (37,035) 1,581,604 11,454 Futures ....................4,911 (3,630) 1,125 (835) 6,700 (4,290) Net Increase (Decrease) in Net Assets Resulting from Operations ..............2,534,822 597,431 623,944 129,377 2,276,837 523,023 Distributions From: Net Investment Income: Institutional Class Shares .....(158,282) (281,321) (25,944) (59,624) (79,187) (133,998) Net Short-Term Gains: Institutional Class Shares ..... — —(202) — (12,822) (1,951) Net Long-Term Gains: Institutional Class Shares .....(122,469) (296,061) (101,959) (119,588) (343,192) (503,176) Total Distributions ..........(280,751) (577,382) (128,105) (179,212) (435,201) (639,125) Capital Share Transactions (1): Shares Issued .................2,238,177 3,614,827 477,722 802,042 2,209,997 3,878,897 Shares Issued in Lieu of Cash Distributions ................277,642 569,820 126,559 177,958 412,088 601,644 Shares Redeemed .............(1,362,577) (2,554,214) (481,201) (759,047) (1,720,682) (2,003,782) Net Increase (Decrease) from Capital Share Transactions 1,153,242 1,630,433 123,080 220,953 901,403 2,476,759 Total Increase (Decrease) in Net Assets ..............3,407,313 1,650,482 618,919 171,118 2,743,039 2,360,657 Net Assets Beginning of Period ............16,851,046 15,200,564 3,822,647 3,651,529 12,977,199 10,616,542 End of Period .................$20,258,359 $16,851,046 $4,441,566 $3,822,647 $15,720,238 $12,977,199 (1) Shares Issued and Redeemed: Shares Issued .................118,199 220,326 26,894 53,015 65,150 133,904 Shares Issued in Lieu of Cash Distributions ................14,719 34,541 7,127 11,617 12,070 20,883 Shares Redeemed .............(72,236) (155,064) (27,156) (49,773) (50,910) (68,437) Net Increase (Decrease) from Shares Issued and Redeemed ..............60,682 99,803 6,865 14,859 26,310 86,350 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).....$ 21,824 $ 26,714 $ 3,488 $ 150 $ 6,208 $ 2,738 * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 102 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) U.S. Micro Cap Portfolio DFA Real Estate Securities Portfolio Large Cap International Portfolio Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)....... $22,971 $ 43,562 $ 161,857 $ 221,443 $ 48,975 $ 95,056 Net Realized Gain (Loss) on: Investment Securities Sold*.......283,979 265,995 (21,717) 90,717 11,853 40,972 Futures ........................6,138 4,507 5,170 6,786 1,906 2,587 Foreign Currency Transactions .... — — — —(899) (670) Forward Currency Contracts ....... — — — — — (1) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency .....................652,854 (93,832) 118,073 133,266 346,444 (163,381) Futures ........................2,384 (1,662) 2,226 (1,518) 1,452 (870) Translation of Foreign Currency Denominated Amounts ......... — — — — 346 (284) Net Increase (Decrease) in Net Assets Resulting from Operations .................968,326 218,570 265,609 450,694 410,077 (26,591) Distributions From: Net Investment Income: Institutional Class Shares .........(23,292) (43,417) (131,338) (199,996) (37,058) (92,122) Net Long-Term Gains: Institutional Class Shares .........(255,837) (267,818) (66,384) — — — Total Distributions .............(279,129) (311,235) (197,722) (199,996) (37,058) (92,122) Capital Share Transactions (1): Shares Issued ....................399,886 728,237 988,165 1,324,786 524,774 1,137,696 Shares Issued in Lieu of Cash Distributions ....................257,672 288,388 150,349 180,508 32,993 81,307 Shares Redeemed .................(619,149) (802,728) (577,797) (1,049,004) (327,854) (722,849) Net Increase (Decrease) from Capital Share Transactions ....38,409 213,897 560,717 456,290 229,913 496,154 Total Increase (Decrease) in Net Assets .....................727,606 121,232 628,604 706,988 602,932 377,441 Net Assets Beginning of Period ................5,128,323 5,007,091 7,260,180 6,553,192 3,527,775 3,150,334 End of Period .....................$5,855,929 $5,128,323 $7,888,784 $ 7,260,180 $4,130,707 $3,527,775 (1) Shares Issued and Redeemed: Shares Issued ....................19,385 41,740 28,668 38,318 26,098 59,417 Shares Issued in Lieu of Cash Distributions ....................12,269 16,256 4,456 5,269 1,650 4,282 Shares Redeemed .................(29,748) (45,482) (16,848) (30,405) (16,281) (37,696) Net Increase (Decrease) from Shares Issued and Redeemed .................1,906 12,514 16,276 13,182 11,467 26,003 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...............$ 1,497 $ 1,818 $ 69,541 $ 39,022 $ 23,646 $ 11,729 * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 103 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) International Core Equity Portfolio International Small Company Portfolio Global Small Company Portfolio Japanese Small Company Portfolio Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Period Jan. 18, 2017 (a) to April 30, 2017 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 (Unaudited) (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)....... $233,747 $ 431,691 $ 119,081 $ 238,233 $ 32 $ 4,975 $ 7,013 Net Realized Gain (Loss) on: Investment Securities Sold*.......(44,503) (84,212) 117,973 261,664 12 4,995 20,065 Futures ........................14,372 19,275 5,651 17,796 (1) — — ForeignCurrencyTransactions .....(4,031) (72) (2,047) 673 — (381) 326 Forward Currency Contracts ....... — (3) — — — — — Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency .....................1,942,368 (7,083) 1,071,748 13,423 (2) 23,816 33,546 Affiliated Investment Companies Shares .......................— — — — 347 — — Futures ........................4,105 (2,948) 4,157 (2,771) — 1 — Translation of Foreign Currency Denominated Amounts .........1,680 (1,251) 1,021 (814) — 115 (100) Net Increase (Decrease) in Net Assets Resulting from Operations .................2,147,738 355,397 1,317,584 528,204 388 33,521 60,850 Distributions From: Net Investment Income: Institutional Class Shares .........(155,915) (387,589) (83,744) (283,791) — (9,568) (6,534) Net Short-Term Gains: Institutional Class Shares ......... — —(18,854) — — — — Net Long-Term Gains: Institutional Class Shares ......... — —(251,076) (207,859) — — — Total Distributions .............(155,915) (387,589) (353,674) (491,650) — (9,568) (6,534) Capital Share Transactions (1): Shares Issued ....................3,136,495 5,576,571 1,229,119 2,126,348 10,297 57,453 50,775 Shares Issued in Lieu of Cash Distributions ....................148,004 367,352 339,989 473,837 — 8,825 6,058 Shares Redeemed .................(1,243,979) (3,349,288) (829,151) (1,572,870) (215) (60,573) (65,733) Net Increase (Decrease) from CapitalShareTransactions .....2,040,520 2,594,635 739,957 1,027,315 10,082 5,705 (8,900) Total Increase (Decrease) in Net Assets .....................4,032,343 2,562,443 1,703,867 1,063,869 10,470 29,658 45,416 Net Assets Beginning of Period ................16,983,011 14,420,568 10,387,361 9,323,492 — 509,413 463,997 End of Period .....................$21,015,354 $16,983,011 $12,091,228 $10,387,361 $10,470 $539,071 $509,413 (1) Shares Issued and Redeemed: Shares Issued ....................260,067 500,176 67,541 124,163 1,012 2,502 2,413 Shares Issued in Lieu of Cash Distributions ....................12,584 33,144 19,964 27,874 — 401 298 Shares Redeemed .................(103,648) (300,515) (46,228) (92,160) (21) (2,690) (3,255) Net Increase (Decrease) from Shares Issued and Redeemed .................169,003 232,805 41,277 59,877 991 213 (544) Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...............$ 127,061 $ 49,229 $ 16,467 $ (18,870) $ 32 $ (2,191) $ 2,402 * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, , $0 and $0, respectively. (a)The Portfolio commenced operations on January 18, 2017. See accompanying Notes to Financial Statements. 104 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) Asia Pacific Small Company Portfolio United Kingdom Small Company Portfolio Continental Small Company Portfolio Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)........... $3,366 $ 8,007 $ 651 $ 1,302 $ 3,158 $ 6,325 Net Realized Gain (Loss) on: Investment Securities Sold*...........4,278 (4,191) 559 2,090 3,117 6,536 Futures ............................ — — — — — 50 Foreign Currency Transactions ........(76) 49 (3) (25) 29 (31) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ........................4,656 30,333 6,241 (8,433) 52,027 5,988 Futures ............................ — — — — — 2 Translation of Foreign Currency Denominated Amounts ............. (3) 4 8 (2) 6 (3) Net Increase (Decrease) in Net Assets Resulting from Operations ........12,221 34,202 7,456 (5,068) 58,337 18,867 Distributions From: Net Investment Income: Institutional Class Shares .............(8,894) (7,760) (630) (1,389) (1,109) (6,377) Net Long-Term Gains: Institutional Class Shares ............. — —(1,684) (1,632) — — Total Distributions .................(8,894) (7,760) (2,314) (3,021) (1,109) (6,377) Capital Share Transactions (1): Shares Issued ........................25,449 30,200 10,877 12,964 45,985 68,569 Shares Issued in Lieu of Cash Distributions ........................8,101 6,990 2,019 2,476 992 4,981 Shares Redeemed ....................(5,666) (12,327) (7,260) (10,665) (9,805) (71,947) Net Increase (Decrease) from Capital Share Transactions ..............27,884 24,863 5,636 4,775 37,172 1,603 Total Increase (Decrease) in Net Assets ........................31,211 51,305 10,778 (3,314) 94,400 14,093 Net Assets Beginning of Period ...................251,575 200,270 32,323 35,637 292,117 278,024 End of Period ........................$282,786 $251,575 $43,101 $ 32,323 $386,517 $292,117 (1) Shares Issued and Redeemed: Shares Issued ........................1,198 1,570 391 473 2,091 3,363 Shares Issued in Lieu of Cash Distributions ........................ 408 387 76 78 46 249 Shares Redeemed ....................(273) (637) (261) (367) (446) (3,414) Net Increase (Decrease) from Shares Issued and Redeemed ...........1,333 1,320 206 184 1,691 198 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)..................$ (5,017) $ 511 $ 220 $ 199 $ 2,276 $ 227 * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 105 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) DFA International Real Estate Securities Portfolio DFA Global Real Estate Securities Portfolio DFA International Small Cap Value Portfolio Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)............... $85,554 $ 143,130 $ 198,580 $ 110,990 $ 119,691 $ 294,075 Capital Gain Distributions Received from Affiliated Investment Companies ........... — —14,569 — — — Net Realized Gain (Loss) on: Investment Securities Sold*...............(24,204) (1,596) 426 14,561 306,161 414,975 Affiliated Investment Companies Shares Sold ................................ — —(1,562) — — — Futures ................................3,760 4,432 222 757 8,861 29,217 Foreign Currency Transactions ............(253) 540 3 7 (4,809) 7,305 Forward Currency Contracts .............. — 48 — — — 27 In-Kind Redemptions .................... — — — — —29,398 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ............................104,882 (118,705) (29,277) 61,152 1,265,279 (242,603) Futures ................................ 553 (304) — — 4,697 (3,458) Translation of Foreign Currency Denominated Amounts ................. 404 (367) — — 1,606 (1,796) Net Increase (Decrease) in Net Assets Resulting from Operations ............170,696 27,178 182,961 187,467 1,701,486 527,140 Distributions From: Net Investment Income: Institutional Class Shares ................(326,892) (60,576) (227,401) (97,767) (107,330) (381,199) Net Short-Term Gains: Institutional Class Shares ................ — —(2,070) — (3,853) — Net Long-Term Gains: Institutional Class Shares ................ — —(13,530) — (410,189) (182,540) Total Distributions .....................(326,892) (60,576) (243,001) (97,767) (521,372) (563,739) Capital Share Transactions (1): Shares Issued ............................862,926 1,062,437 1,202,240 1,524,272 1,046,052 2,066,905 Shares Issued in Lieu of Cash Distributions . . . 320,016 60,055 233,500 93,708 465,554 508,968 Shares Redeemed ........................(459,113) (447,563) (688,828) (878,641) (1,138,746) (2,107,120) Net Increase (Decrease) from Capital Share Transactions ..................723,829 674,929 746,912 739,339 372,860 468,753 Total Increase (Decrease) in Net Assets . . 567,633 641,531 686,872 829,039 1,552,974 432,154 Net Assets Beginning of Period .......................4,181,623 3,540,092 4,888,955 4,059,916 13,009,729 12,577,575 End of Period ............................$4,749,256 $4,181,623 $5,575,827 $4,888,955 $14,562,703 $13,009,729 (1) Shares Issued and Redeemed: Shares Issued ............................179,011 201,532 114,249 139,784 52,904 113,522 Shares Issued in Lieu of Cash Distributions . . . 69,418 12,306 23,234 9,151 24,659 28,063 Shares Redeemed ........................(95,836) (85,422) (65,979) (81,345) (57,953) (115,085) Net Increase (Decrease) from Shares Issued and Redeemed ...............152,593 128,416 71,504 67,590 19,610 26,500 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).................................$ (389,673) $ (148,335) $ 32,402 $ 61,223 $ (27,590) $ (39,951) * Net of foreign capital gain taxes withheld of $0, $92, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 106 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) International Vector Equity Portfolio World ex U.S. Value Portfolio World ex U.S. Targeted Value Portfolio Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................. $23,134 $ 46,551 $ 2,261 $ 5,412 $ 2,346 $ 5,264 Capital Gain Distributions Received from Affiliated Investment Companies ...................... — — 653 256 — — Net Realized Gain (Loss) on: Investment Securities Sold*..................(658) 4,157 (821) (2,948) 5,191 6,843 Futures ................................... 158 182 125 112 — — Foreign Currency Transactions ...............(394) 127 (32) 85 (54) 124 Forward Currency Contracts .................. —(44) — — — 8 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ....212,999 16,206 20,446 7,285 35,582 5,177 Affiliated Investment Companies Shares ........ — —(148) 148 — — Futures ................................... — — 73 (19) — — Translation of Foreign Currency Denominated Amounts ................................ 196 (165) 13 (11) 22 (20) Net Increase (Decrease) in Net Assets Resulting from Operations ................235,435 67,014 22,570 10,320 43,087 17,396 Distributions From: Net Investment Income: Institutional Class Shares ....................(15,044) (43,651) (1,984) (5,358) (1,634) (4,374) Net Long-Term Gains: Institutional Class Shares ....................(4,041) (5,716) — — — — Total Distributions ........................(19,085) (49,367) (1,984) (5,358) (1,634) (4,374) Capital Share Transactions (1): Shares Issued ...............................239,341 688,513 14,483 47,689 66,773 164,346 Shares Issued in Lieu of Cash Distributions .......18,907 48,918 1,983 5,353 1,633 4,371 Shares Redeemed ............................(136,841) (493,518) (8,323) (25,151) (12,931) (128,258) Net Increase (Decrease) from Capital Share Transactions ...........................121,407 243,913 8,143 27,891 55,475 40,459 Total Increase (Decrease) in Net Assets ......337,757 261,560 28,729 32,853 96,928 53,481 Net Assets Beginning of Period ...........................1,856,474 1,594,914 188,154 155,301 281,212 227,731 End of Period ................................$2,194,231 $1,856,474 $216,883 $188,154 $378,140 $ 281,212 (1) Shares Issued and Redeemed: Shares Issued ...............................21,319 68,056 1,369 5,184 5,247 15,218 Shares Issued in Lieu of Cash Distributions .......1,750 4,797 187 562 133 392 Shares Redeemed ............................(12,250) (48,877) (781) (2,605) (1,017) (12,154) Net Increase (Decrease) from Shares Issued and Redeemed .........................10,819 23,976 775 3,141 4,363 3,456 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)....................................$ 13,057 $ 4,967 $ 1,014 $ 737 $ 1,594 $ 882 * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $1, respectively. See accompanying Notes to Financial Statements. 107 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) World ex U.S. Core Equity Portfolio World Core Equity Portfolio Selectively Hedged Global Equity Portfolio Emerging Markets Portfolio Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 (Unaudited) (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).... $20,209 $ 37,861 $ 3,291 $ 5,949 $ 2,277 $ 5,406 $ 30,239 $ 90,681 Capital Gain Distributions Received from Affiliated Investment Companies ........ — — 898 1,313 894 2,164 — — Net Realized Gain (Loss) on: Investment Securities Sold*.... 848 (2,134) (436) (2,896) (578) (989) (19,102) (105,635) Futures ..................... 2 (629) — — 1,472 1,760 2,394 5,655 Foreign Currency Transactions ..............(396) 189 — — — — 114 955 Forward Currency Contracts . . . — — — — 1,881 371 — — Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ..........191,232 47,901 (1) — — — 467,837 506,131 Affiliated Investment Companies Shares ................... — —46,422 9,340 33,263 6,150 — — Futures ..................... — — — — 511 (1,100) 1,766 (263) Translation of Foreign Currency Denominated Amounts ...... 129 (103) — — — — (57) 204 Forward Currency Contracts . . . — — — — (760) 541 — — Net Increase (Decrease) in Net Assets Resulting from Operations ..............212,024 83,085 50,174 13,706 38,960 14,303 483,191 497,728 Distributions From: Net Investment Income: Institutional Class Shares ......(13,556) (36,005) (3,529) (5,800) (6,477) (6,333) (27,413) (89,527) Net Short-Term Gains: Institutional Class Shares ...... — —(67) — (260) (115) — — Net Long-Term Gains: Institutional Class Shares ...... — —(1,231) (132) (2,369) (620) — — Total Distributions ..........(13,556) (36,005) (4,827) (5,932) (9,106) (7,068) (27,413) (89,527) Capital Share Transactions (1): Shares Issued .................483,217 729,178 51,639 189,580 35,850 77,521 717,234 1,428,054 Shares Issued in Lieu of Cash Distributions .................13,008 34,930 4,683 5,702 9,105 7,066 25,783 83,981 Shares Redeemed .............(161,617) (325,571) (22,745) (35,482) (26,920) (47,024) (426,075) (1,326,366) Net Increase (Decrease) from Capital Share Transactions ............334,608 438,537 33,577 159,800 18,035 37,563 316,942 185,669 Total Increase (Decrease) in Net Assets ..............533,076 485,617 78,924 167,574 47,889 44,798 772,720 593,870 Net Assets Beginning of Period ............1,656,445 1,170,828 370,229 202,655 289,904 245,106 4,915,400 4,321,530 End of Period .................$2,189,521 $1,656,445 $449,153 $370,229 $337,793 $289,904 $5,688,120 $ 4,915,400 (1) Shares Issued and Redeemed: Shares Issued .................47,443 78,713 3,710 14,944 2,478 6,131 29,829 67,596 Shares Issued in Lieu of Cash Distributions .................1,305 3,690 340 451 649 552 1,130 3,805 Shares Redeemed .............(15,931) (34,710) (1,620) (2,883) (1,867) (3,623) (17,522) (62,542) Net Increase (Decrease) from Shares Issued and Redeemed ..............32,817 47,693 2,430 12,512 1,260 3,060 13,437 8,859 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).....$ 10,827 $ 4,174 $ (33) $ 205 $ 45 $ 4,245 $ 6,345 $ 3,519 * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 108 DFA INVESTMENT DIMENSIONS GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) Emerging Markets Small Cap Portfolio Emerging Markets Value Portfolio Emerging Markets Core Equity Portfolio Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)........ $39,744 $ 120,203 $ 100,731 $ 342,874 $ 124,133 $ 351,450 Net Realized Gain (Loss) on: Investment Securities Sold*........16,761 141,742 (434,056) (77,435) (114,322) (342,991) Futures ........................3,141 4,016 8,408 11,373 14,114 30,116 Foreign Currency Transactions ..... 755 338 3,586 3,728 (2,003) (539) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency .....................535,791 394,050 2,175,373 1,954,176 1,890,406 2,038,618 Futures ........................ 753 286 3,185 (391) 6,261 (3,447) Translation of Foreign Currency Denominated Amounts ..........(68) 579 (50) 46 (67) 726 Net Increase (Decrease) in Net Assets Resulting from Operations ..................596,877 661,214 1,857,177 2,234,371 1,918,522 2,073,933 Distributions From: Net Investment Income: Class R2 Shares ................. — —(481) (2,365) — — Institutional Class Shares ..........(68,331) (124,387) (82,854) (436,707) (91,137) (349,434) Net Short-Term Gains: Institutional Class Shares ..........(10,357) — — — — — Net Long-Term Gains: Institutional Class Shares ..........(117,099) (36,697) — — — — Total Distributions ..............(195,787) (161,084) (83,335) (439,072) (91,137) (349,434) Capital Share Transactions (1): Shares Issued .....................991,103 913,984 1,431,254 2,821,337 3,199,981 6,091,963 Shares Issued in Lieu of Cash Distributions ....................184,642 151,141 78,194 416,149 85,701 328,562 Shares Redeemed .................(532,247) (950,920) (1,713,432) (3,539,505) (1,526,603) (4,288,936) Net Increase (Decrease) from Capital Share Transactions ....643,498 114,205 (203,984) (302,019) 1,759,079 2,131,589 Total Increase (Decrease) in Net Assets .....................1,044,588 614,335 1,569,858 1,493,280 3,586,464 3,856,088 Net Assets Beginning of Period ................5,459,509 4,845,174 16,402,244 14,908,964 18,712,966 14,856,878 End of Period .....................$6,504,097 $5,459,509 $17,972,102 $16,402,244 $22,299,430 $18,712,966 (1) Shares Issued and Redeemed: Shares Issued .....................50,712 49,652 55,568 133,176 171,898 379,414 Shares Issued in Lieu of Cash Distributions ....................9,970 8,492 3,234 19,311 4,888 19,496 Shares Redeemed .................(26,886) (52,089) (66,810) (163,363) (83,180) (265,600) Net Increase (Decrease) from Shares Issued and Redeemed ..................33,796 6,055 (8,008) (10,876) 93,606 133,310 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...............$ (16,108) $ 12,479 $ (31,904) $ (49,300) $ 44,770 $ 11,774 * Net of foreign capital gain taxes withheld of $0, $68, $144, $144, $0 and $53, respectively. See accompanying Notes to Financial Statements. 109 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)Enhanced U.S. Large Company PortfolioU.S. Large Cap Equity PortfolioSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012Six MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014PeriodJune 25,2013(a) toOct. 31,2013(Unaudited)(Unaudited)NetAssetValue,BeginningofPeriod................... $ 12.22 $ 12.54 $ 13.65 $ 11.70 $ 9.29 $ 8.15 $ 13.06 $ 12.86 $ 12.65 $ 11.07 $ 10.00Income from Investment OperationsNetInvestmentIncome(Loss)(A) ................... 0.07 0.10 0.07 0.07 0.07 0.07 0.12 0.25 0.23 0.21 0.06Net Gains (Losses) on Securities (Realized andUnrealized)................................... 1.54 0.45 0.53 1.94 2.42 1.20 1.71 0.19 0.21 1.57 1.04TotalfromInvestmentOperations.................. 1.61 0.55 0.60 2.01 2.49 1.27 1.83 0.44 0.44 1.78 1.10Less DistributionsNetInvestmentIncome............................ (0.07) (0.08) (0.05) (0.06) (0.08) (0.13) (0.13) (0.24) (0.21) (0.20) (0.03)NetRealizedGains .............................. (0.36) (0.79) (1.66) — — — — — (0.02) — —TotalDistributions.............................. (0.43) (0.87) (1.71) (0.06) (0.08) (0.13) (0.13) (0.24) (0.23) (0.20) (0.03)NetAssetValue,EndofPeriod .......................$ 13.40$ 12.22$ 12.54$ 13.65$ 11.70$9.29$ 14.76$ 13.06$ 12.86$ 12.65$ 11.07TotalReturn ...................................... 13.33%(D) 4.75% 5.25% 17.18% 26.99% 15.84% 14.08%(D) 3.51% 3.49% 16.19% 11.01%(D)Net Assets, End of Period (thousands)..................$256,350 $238,413 $203,641 $216,719 $212,840 $190,011 $1,041,213 $851,323 $699,144 $274,955 $135,407Ratio of Expenses to Average Net Assets............... 0.22%(E) 0.23% 0.24% 0.23% 0.24% 0.25% 0.17%(E) 0.18% 0.19% 0.19% 0.19%(C)(E)Ratio of Expenses to Average Net Assets (Excluding Fees(Waived), (Expenses Reimbursed), and/or PreviouslyWaived Fees Recovered by Advisor and Fees PaidIndirectly) ...................................... 0.23%(E) 0.24% 0.24% 0.23% 0.24% 0.25% 0.17%(E) 0.17% 0.19% 0.20% 0.25%(C)(E)RatioofNetInvestmentIncometoAverageNetAssets ..... 1.13%(E) 0.80% 0.53% 0.55% 0.63% 0.80% 1.77%(E) 1.99% 1.77% 1.75% 1.58%(C)(E)PortfolioTurnoverRate ............................. 92%(D)119% 223% 202% 139% 76% 9%(D) 12% 12% 1% 0%(D)See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 110 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)U.S. Large Cap Value PortfolioSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012(Unaudited)NetAssetValue,BeginningofPeriod ................................................................ $ 32.63 $ 33.27 $ 33.75 $ 29.72 $ 22.34 $ 19.29Income from Investment OperationsNetInvestmentIncome(Loss)(A) ................................................................. 0.35 0.70 0.69 0.56 0.47 0.41NetGains(Losses)onSecurities(RealizedandUnrealized) ............................................. 4.57 0.71 (0.32) 4.02 7.38 3.04TotalfromInvestmentOperations ............................................................... 4.92 1.41 0.37 4.58 7.85 3.45Less DistributionsNetInvestmentIncome ......................................................................... (0.32) (0.70) (0.66) (0.55) (0.47) (0.40)NetRealizedGains ............................................................................ (0.82) (1.35) (0.19) — — —TotalDistributions ........................................................................... (1.14) (2.05) (0.85) (0.55) (0.47) (0.40)NetAssetValue,EndofPeriod .....................................................................$ 36.41$ 32.63$ 33.27$ 33.75$ 29.72$ 22.34TotalReturn ................................................................................... 15.19%(D) 4.58% 1.16% 15.49% 35.52% 18.14%Net Assets, End of Period (thousands)...............................................................$21,054,092 $17,673,253 $15,807,935 $15,146,981 $11,963,072 $8,334,585Ratio 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 WaivedFeesRecoveredbyAdvisor)(B) .................................................................. 0.37%(E) 0.37% 0.30% 0.27% 0.27% 0.27%RatioofNetInvestmentIncometoAverageNetAssets................................................... 1.97%(E) 2.24% 2.04% 1.75% 1.82% 1.99%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 111 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)U.S. Targeted Value Portfolio-Class R1 SharesSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012(Unaudited)NetAssetValue,BeginningofPeriod ................................................................................... $ 21.26 $ 21.58 $23.19 $ 22.63 $17.28 $ 15.32Income from Investment OperationsNetInvestmentIncome(Loss)(A) ................................................................................... 0.12 0.24 0.26 0.180.27 0.15NetGains(Losses)onSecurities(RealizedandUnrealized) ............................................................... 3.39 0.60 (0.61) 1.86 6.28 2.06TotalfromInvestmentOperations.................................................................................. 3.51 0.84 (0.35) 2.04 6.55 2.21Less DistributionsNetInvestmentIncome............................................................................................ (0.12) (0.27) (0.25) (0.16) (0.22) (0.13)NetRealizedGains............................................................................................... (0.78) (0.89) (1.01) (1.32) (0.98) (0.12)TotalDistributions.............................................................................................. (0.90) (1.16) (1.26) (1.48) (1.20) (0.25)NetAssetValue,EndofPeriod........................................................................................$ 23.87$ 21.26$ 21.58$ 23.19$22.63$ 17.28TotalReturn ...................................................................................................... 16.47%(D) 4.21%(1.33)% 9.47% 40.39% 14.67%Net Assets, End of Period (thousands)..................................................................................$53,053 $35,661 $40,159 $16,971 $9,470 $49,423Ratio of Expenses to Average Net Assets................................................................................ 0.47%(E) 0.47% 0.47% 0.47% 0.47% 0.48%RatioofNetInvestmentIncometoAverageNetAssets ..................................................................... 1.02%(E) 1.16% 1.15% 0.79% 1.42% 0.93%PortfolioTurnoverRate.............................................................................................. 15%(D) 28% 15%10% 16% 20%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 112 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)U.S. Targeted Value Portfolio-Class R2 SharesSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012(Unaudited)NetAssetValue,BeginningofPeriod................................................................................. $ 21.16 $ 21.51 $ 23.12 $ 22.57 $ 17.26 $ 15.31Income from Investment OperationsNetInvestmentIncome(Loss)(A) ................................................................................. 0.11 0.20 0.23 0.15 0.19 0.13NetGains(Losses)onSecurities(RealizedandUnrealized) ............................................................. 3.38 0.60 (0.61) 1.84 6.31 2.05TotalfromInvestmentOperations................................................................................ 3.49 0.80 (0.38) 1.996.50 2.18Less DistributionsNetInvestmentIncome.......................................................................................... (0.11) (0.26) (0.22)(0.12) (0.21) (0.11)NetRealizedGains ............................................................................................ (0.78) (0.89) (1.01) (1.32) (0.98) (0.12)TotalDistributions............................................................................................ (0.89) (1.15) (1.23) (1.44) (1.19) (0.23)NetAssetValue,EndofPeriod .....................................................................................$ 23.76$ 21.16$ 21.51$ 23.12$ 22.57$ 17.26TotalReturn .................................................................................................... 16.44%(D) 4.04% (1.49)% 9.30% 40.10% 14.46%Net Assets, End of Period (thousands)................................................................................$179,693 $147,945 $135,412 $82,977 $23,305 $12,754Ratio of Expenses to Average Net Assets.............................................................................. 0.62%(E) 0.62% 0.63% 0.62% 0.62% 0.63%RatioofNetInvestmentIncometoAverageNetAssets ................................................................... 0.90%(E) 1.00% 1.02% 0.64% 0.95% 0.78%PortfolioTurnoverRate ........................................................................................... 15%(D) 28% 15% 10%16% 20%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 113 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)U.S. Targeted Value Portfolio-Institutional Class SharesSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012(Unaudited)NetAssetValue,BeginningofPeriod....................................................................... $ 21.26 $ 21.56 $ 23.16 $ 22.60 $17.28 $ 15.32Income from Investment OperationsNetInvestmentIncome(Loss)(A) ....................................................................... 0.14 0.25 0.29 0.21 0.24 0.17NetGains(Losses)onSecurities(RealizedandUnrealized) ................................................... 3.39 0.60 (0.61) 1.85 6.31 2.06TotalfromInvestmentOperations ..................................................................... 3.53 0.85 (0.32) 2.06 6.55 2.23Less DistributionsNetInvestmentIncome ............................................................................... (0.13) (0.26) (0.27) (0.18) (0.25) (0.15)NetRealizedGains .................................................................................. (0.78) (0.89) (1.01) (1.32) (0.98) (0.12)TotalDistributions ................................................................................. (0.91) (1.15) (1.28) (1.50) (1.23) (0.27)NetAssetValue,EndofPeriod ...........................................................................$ 23.88$ 21.26$ 21.56$ 23.16$ 22.60$ 17.28TotalReturn.......................................................................................... 16.55%(D) 4.29% (1.20)% 9.58%40.40% 14.78%Net Assets, End of Period (thousands)...................................................................... $9,418,997 $7,884,683 $6,987,896 $5,490,959 $4,180,974 $2,989,632Ratio of Expenses to Average Net Assets................................................................... 0.37%(E) 0.37% 0.37% 0.37% 0.37% 0.38%RatioofNetInvestmentIncometoAverageNetAssets ......................................................... 1.14%(E) 1.24% 1.28% 0.90% 1.25% 1.03%PortfolioTurnoverRate ................................................................................. 15%(D) 28% 15% 10% 16% 20%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 114 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)U.S. Small Cap Value PortfolioSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012(Unaudited)NetAssetValue,BeginningofPeriod ................................................................... $ 32.75 $ 33.08 $ 35.82 $ 34.48 $ 26.57 $ 23.50Income from Investment OperationsNetInvestmentIncome(Loss)(A) ................................................................... 0.16 0.32 0.41 0.23 0.39 0.20NetGains(Losses)onSecurities(RealizedandUnrealized) ............................................... 5.68 1.06 (1.44) 2.93 9.41 3.38TotalfromInvestmentOperations.................................................................. 5.84 1.38 (1.03) 3.16 9.80 3.58Less DistributionsNetInvestmentIncome............................................................................ (0.15) (0.33) (0.38) (0.22) (0.37) (0.18)NetRealizedGains .............................................................................. (1.40) (1.38) (1.33) (1.60) (1.52) (0.33)TotalDistributions.............................................................................. (1.55) (1.71) (1.71) (1.82) (1.89) (0.51)NetAssetValue,EndofPeriod........................................................................$ 37.04$ 32.75$ 33.08$ 35.82$ 34.48$ 26.57TotalReturn ...................................................................................... 17.73%(D) 4.49% (2.83)% 9.49% 39.35% 15.60%Net Assets, End of Period (thousands)..................................................................$14,291,340 $12,613,185 $11,680,262 $11,512,306 $9,526,981 $7,088,470Ratio of Expenses to Average Net Assets................................................................ 0.52%(E) 0.52% 0.52% 0.52% 0.52% 0.52%RatioofNetInvestmentIncometoAverageNetAssets ..................................................... 0.86%(E) 1.01% 1.18% 0.66% 1.28% 0.78%PortfolioTurnoverRate.............................................................................. 15%(D) 19% 17% 9% 14% 15%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 115 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)U.S. Core Equity 1 PortfolioU.S. Core Equity 2 PortfolioSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012Six MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012(Unaudited)(Unaudited)Net Asset Value, Beginning of Period . . $ 18.00 $ 17.90 $ 17.71 $ 15.74 $ 12.11 $ 10.78 $ 17.19 $ 17.26 $ 17.34 $ 15.62 $ 11.99 $ 10.61Income from Investment OperationsNet Investment Income (Loss) (A) . . . 0.16 0.33 0.31 0.27 0.25 0.21 0.15 0.31 0.30 0.26 0.24 0.20Net Gains (Losses) on Securities(RealizedandUnrealized)....... 2.48 0.30 0.26 2.02 3.62 1.32 2.40 0.25 0.02 1.86 3.73 1.36Total from InvestmentOperations ................ 2.64 0.63 0.57 2.29 3.87 1.53 2.55 0.56 0.32 2.12 3.97 1.56Less DistributionsNetInvestmentIncome........... (0.18) (0.32) (0.30) (0.25) (0.24) (0.20) (0.16) (0.30) (0.28) (0.24) (0.24) (0.18)NetRealizedGains.............. (0.09) (0.21) (0.08) (0.07) — — (0.12) (0.33) (0.12) (0.16) (0.10) —TotalDistributions............. (0.27) (0.53) (0.38) (0.32) (0.24) (0.20) (0.28) (0.63) (0.40) (0.40) (0.34) (0.18)NetAssetValue,EndofPeriod.......$ 20.37$ 18.00$ 17.90$ 17.71$ 15.74$ 12.11$ 19.46$ 17.19$ 17.26$ 17.34$ 15.62$ 11.99TotalReturn ..................... 14.70%(D) 3.68% 3.26% 14.72% 32.32% 14.29% 14.90%(D) 3.47% 1.92% 13.78% 33.66% 14.81%Net Assets, End of Period(thousands)...................$18,345,501 $14,960,159 $13,275,774 $10,780,830 $7,566,179 $4,876,973 $20,258,359 $16,851,046 $15,200,564 $12,919,176 $9,989,564 $6,923,984Ratio of Expenses to Average NetAssets ....................... 0.18%(E) 0.19% 0.19% 0.19% 0.19% 0.19% 0.21%(E) 0.22% 0.22% 0.22% 0.22% 0.22%Ratio of Net Investment Income toAverageNetAssets ............. 1.67%(E) 1.88% 1.71% 1.61% 1.79% 1.79% 1.62%(E) 1.87% 1.68% 1.55% 1.74% 1.74%PortfolioTurnoverRate............. 1%(D) 4% 4% 5% 1% 3% 2%(D) 4% 5% 6% 3% 5%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 116 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)U.S. Vector Equity PortfolioSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012(Unaudited)NetAssetValue,BeginningofPeriod ............................................................... $ 15.93 $ 16.22 $ 17.04 $ 15.62 $ 11.61 $ 10.28Income from Investment OperationsNetInvestmentIncome(Loss)(A) ................................................................ 0.12 0.25 0.25 0.21 0.20 0.16NetGains(Losses)onSecurities(RealizedandUnrealized) ............................................ 2.49 0.24 (0.30) 1.62 4.03 1.32TotalfromInvestmentOperations .............................................................. 2.61 0.49 (0.05) 1.83 4.23 1.48Less DistributionsNetInvestmentIncome ........................................................................ (0.11) (0.25) (0.24) (0.19) (0.20) (0.15)NetRealizedGains ........................................................................... (0.43) (0.53) (0.53) (0.22) (0.02) —TotalDistributions .......................................................................... (0.54) (0.78) (0.77) (0.41) (0.22) (0.15)NetAssetValue,EndofPeriod ....................................................................$ 18.00$ 15.93$ 16.22$ 17.04$ 15.62$ 11.61TotalReturn................................................................................... 16.41%(D) 3.28% (0.18)% 11.91% 36.80%14.55%Net Assets, End of Period (thousands)............................................................... $4,441,566 $3,822,647 $3,651,529 $3,501,319 $2,893,842 $2,009,177Ratio of Expenses to Average Net Assets............................................................ 0.32%(E) 0.32% 0.32% 0.32% 0.32% 0.32%RatioofNetInvestmentIncometoAverageNetAssets .................................................. 1.37%(E) 1.64% 1.50% 1.26% 1.50% 1.45%PortfolioTurnoverRate .......................................................................... 5%(D) 10% 10% 10% 3% 9%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 117 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)U.S. Small Cap PortfolioU.S. Micro Cap PortfolioSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012Six MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012(Unaudited)(Unaudited)Net Asset Value, Beginning ofPeriod ..................... $ 30.14 $ 30.84 $ 31.38 $ 30.03 $ 23.11 $ 20.55 $ 18.58 $ 19.00 $ 20.10 $ 19.64 $ 14.84 $ 13.24Income from Investment OperationsNet Investment Income(Loss)(A) ................. 0.19 0.34 0.35 0.26 0.35 0.25 0.08 0.16 0.16 0.14 0.19 0.14Net Gains (Losses) on Securities(RealizedandUnrealized) .... 5.08 0.77 0.33 2.27 8.13 2.53 3.43 0.60 0.02 1.35 5.57 1.59Total from InvestmentOperations .............. 5.27 1.11 0.68 2.53 8.48 2.78 3.51 0.76 0.18 1.49 5.76 1.73Less DistributionsNetInvestmentIncome......... (0.18) (0.35) (0.33) (0.24) (0.36) (0.22) (0.08) (0.16) (0.16) (0.13) (0.20) (0.13)NetRealizedGains ........... (0.83) (1.46) (0.89) (0.94) (1.20) — (0.94) (1.02) (1.12) (0.90) (0.76) —TotalDistributions........... (1.01) (1.81) (1.22) (1.18) (1.56) (0.22) (1.02) (1.18) (1.28) (1.03) (0.96) (0.13)NetAssetValue,EndofPeriod.....$ 34.40$ 30.14$ 30.84$ 31.38$ 30.03$ 23.11$ 21.07$ 18.58$ 19.00$ 20.10$ 19.64$ 14.84TotalReturn ................... 17.51%(D) 3.89% 2.34% 8.67% 39.03% 13.61% 18.94%(D) 4.32% 1.11% 7.88% 41.34% 13.13%Net Assets, End of Period(thousands).................$15,720,238 $12,977,199 $10,616,542 $9,247,716 $7,446,827 $4,563,345 $5,855,929 $5,128,323 $5,007,091 $5,029,027 $4,695,831 $3,437,958Ratio of Expenses to Average NetAssets ..................... 0.37%(E) 0.37% 0.37% 0.37% 0.37% 0.37% 0.52%(E) 0.52% 0.52% 0.52% 0.52% 0.52%Ratio of Net Investment Income toAverageNetAssets ........... 1.12%(E) 1.16% 1.10% 0.86% 1.33% 1.14% 0.81%(E) 0.88% 0.82% 0.69% 1.16% 0.99%PortfolioTurnoverRate........... 6%(D) 10% 11% 9% 10% 16% 8%(D) 15% 14% 12% 11% 15%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 118 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)DFA Real Estate Securities PortfolioLarge Cap International PortfolioSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012Six MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012(Unaudited)(Unaudited)Net Asset Value, Beginning ofPeriod ..................... $ 34.32 $ 33.04 $ 32.24 $ 27.77 $ 25.83 $ 23.25 $ 19.52 $ 20.36 $ 21.59 $ 22.20 $ 18.33 $ 17.91Income from Investment OperationsNet Investment Income(Loss)(A)................. 0.74 1.09 0.90 0.72 0.67 0.57 0.26 0.57 0.58 0.75 0.58 0.60Net Gains (Losses) on Securities(RealizedandUnrealized) .... 0.49 1.18 0.95 4.62 1.95 2.74 1.91 (0.86) (1.24) (0.62) 3.90 0.40Total from InvestmentOperations.............. 1.23 2.27 1.85 5.34 2.62 3.31 2.17 (0.29) (0.66) 0.13 4.48 1.00Less DistributionsNetInvestmentIncome ........ (0.61) (0.99) (1.05) (0.87) (0.68) (0.73) (0.20) (0.55) (0.57) (0.74) (0.61) (0.58)NetRealizedGains ........... (0.31)———————————TotalDistributions .......... (0.92) (0.99) (1.05) (0.87) (0.68) (0.73) (0.20) (0.55) (0.57) (0.74) (0.61) (0.58)NetAssetValue,EndofPeriod ....$ 34.63$ 34.32$ 33.04$ 32.24$ 27.77$ 25.83$ 21.49$ 19.52$ 20.36$ 21.59$ 22.20$ 18.33TotalReturn................... 3.66%(D) 6.89% 5.89% 19.80% 10.28% 14.45% 11.19%(D) (1.30)% (3.10)% 0.47% 24.85% 5.89%Net Assets, End of Period(thousands)................. $7,888,784 $7,260,180 $6,553,192 $6,607,759 $4,677,418 $3,716,389 $4,130,707 $3,527,775 $3,150,334 $3,127,847 $2,755,114 $2,055,759Ratio of Expenses to AverageNetAssets.................. 0.18%(E) 0.18% 0.18% 0.18% 0.18% 0.22% 0.24%(E) 0.28% 0.29% 0.28% 0.29% 0.30%Ratio of Expenses to Average NetAssets (Excluding Fees (Waived),(Expenses Reimbursed), and/orPreviously Waived FeesRecovered by Advisor and FeesPaidIndirectly)............... 0.19%(E) 0.19% 0.19% 0.19% 0.19% 0.23% 0.26% 0.28% 0.29% 0.28% 0.29% 0.30%Ratio of Net Investment Income toAverageNetAssets........... 4.32%(E) 3.15% 2.75% 2.48% 2.42% 2.29% 2.61%(E) 2.95% 2.71% 3.35% 2.90% 3.38%PortfolioTurnoverRate .......... 1%(D) 3% 4% 0% 1% 0% 2%(D) 10% 10% 4% 5% 4%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 119 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)International Core Equity PortfolioInternational Small Company PortfolioSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012Six MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012(Unaudited)(Unaudited)NetAssetValue,BeginningofPeriod ............... $ 11.58 $ 11.69 $ 12.15 $ 12.57 $ 10.10 $ 9.89 $ 17.78 $ 17.78 $ 18.24 $ 19.40 $ 15.28 $ 15.21Income from Investment OperationsNetInvestmentIncome(Loss)(A) ................ 0.15 0.32 0.32 0.38 0.31 0.31 0.20 0.43 0.41 0.42 0.42 0.38Net Gains (Losses) on Securities (Realized andUnrealized) ............................... 1.22 (0.15) (0.45) (0.43) 2.47 0.20 1.95 0.48 0.12 (0.62) 4.16 0.39TotalfromInvestmentOperations .............. 1.37 0.17 (0.13) (0.05) 2.78 0.51 2.15 0.91 0.53 (0.20) 4.58 0.77Less DistributionsNetInvestmentIncome ........................ (0.10) (0.28) (0.33) (0.37) (0.31) (0.30) (0.14) (0.51) (0.42) (0.42) (0.37) (0.42)NetRealizedGains ........................... — — — — — — (0.46) (0.40) (0.57) (0.54) (0.09) (0.28)TotalDistributions .......................... (0.10) (0.28) (0.33) (0.37) (0.31) (0.30) (0.60) (0.91) (0.99) (0.96) (0.46) (0.70)NetAssetValue,EndofPeriod ....................$ 12.85$ 11.58$ 11.69$ 12.15$ 12.57$ 10.10$ 19.33$ 17.78$ 17.78$ 18.24$ 19.40$ 15.28TotalReturn................................... 11.94%(D) 1.62% (1.10)% (0.55)% 27.98% 5.49% 12.60%(D) 5.43% 3.30% (1.09)% 30.66% 5.63%Net Assets, End of Period (thousands)..............$21,015,354 $16,983,011 $14,420,568$12,294,542 $9,508,466 $6,482,738$12,091,228 $10,387,361 $9,323,492$8,844,517 $8,520,717 $6,423,160Ratio of Expenses to Average Net Assets (B)......... 0.32%(E) 0.38% 0.38% 0.38% 0.39% 0.40% 0.53%(E) 0.53% 0.54% 0.53% 0.54% 0.56%Ratio of Expenses to Average Net Assets (ExcludingFees (Waived), (Expenses Reimbursed), and/orPreviously Waived Fees Recovered by Advisor andFeesPaidIndirectly)(B) ....................... 0.35%(E) 0.38% 0.38% 0.38% 0.39% 0.40% 0.53%(E) 0.53% 0.54% 0.53% 0.54% 0.56%Ratio of Net Investment Income to Average NetAssets ..................................... 2.53%(E) 2.83% 2.63% 3.01% 2.80% 3.18% 2.21%(E) 2.47% 2.30% 2.15% 2.47% 2.58%PortfolioTurnoverRate .......................... 3%(D) 2% 4% 7% 3% 5% N/A N/A N/A N/A N/A N/ASee page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 120 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)Global SmallCompany PortfolioJapanese Small Company PortfolioPeriodJan. 18,2017 (a) toApril 30,2017Six MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012(Unaudited) (Unaudited)NetAssetValue,BeginningofPeriod .......................................................... $ 10.00 $ 23.01 $ 20.46 $ 19.15 $ 19.33 $ 14.99 $ 15.24Income from Investment OperationsNetInvestmentIncome(Loss)(A) ........................................................... 0.05 0.22 0.32 0.25 0.24 0.26 0.29NetGains(Losses)onSecurities(RealizedandUnrealized) ....................................... 0.52 1.32 2.51 1.36 0.13 4.21 (0.26)TotalfromInvestmentOperations ......................................................... 0.57 1.54 2.83 1.61 0.37 4.47 0.03Less DistributionsNetInvestmentIncome ................................................................... — (0.43) (0.28) (0.30) (0.55) (0.13) (0.28)NetRealizedGains ...................................................................... — ——————TotalDistributions ..................................................................... — (0.43) (0.28) (0.30) (0.55) (0.13) (0.28)NetAssetValue,EndofPeriod ...............................................................$ 10.57$ 24.12$ 23.01$ 20.46$ 19.15$ 19.33$ 14.99TotalReturn ............................................................................. 5.70%(D) 6.88%(D) 14.04% 8.62% 2.00% 30.06% 0.20%Net Assets, End of Period (thousands).........................................................$10,470 $539,071 $509,413 $463,997 $508,190 $414,132 $293,968Ratio of Expenses to Average Net Assets (B).................................................... 0.49%(C)(E) 0.53%(E) 0.54% 0.54% 0.55% 0.56% 0.57%Ratio of Expenses to Average Net Assets (Excluding Fees(Waived), (Expenses Reimbursed), and/or PreviouslyWaivedFeesRecoveredbyAdvisor)(B) ...................................................... 1.41%(C)(E) 0.63%(E) 0.64% 0.57% 0.55% 0.56% 0.57%RatioofNetInvestmentIncometoAverageNetAssets............................................. 1.01%(C)(E) 1.96%(E) 1.57% 1.27% 1.25% 1.51% 1.88%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 121 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)Asia Pacific Small Company PortfolioUnited Kingdom Small Company PortfolioSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012Six MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012(Unaudited)(Unaudited)NetAssetValue,BeginningofPeriod ................. $ 21.27 $ 19.06 $ 22.88 $ 24.82 $ 23.22 $ 23.04 $ 27.21 $ 35.50 $ 35.92 $ 36.96 $ 27.81 $ 23.44Income from Investment OperationsNetInvestmentIncome(Loss)(A).................. 0.27 0.71 0.75 0.83 1.01 0.87 0.46 1.18 1.06 0.95 0.88 0.69Net Gains (Losses) on Securities (Realized andUnrealized) ................................. 0.69 2.24 (3.51) (1.81) 1.37 0.58 4.84 (6.55) 1.95 (0.65) 9.17 4.47TotalfromInvestmentOperations ................ 0.96 2.95 (2.76) (0.98) 2.38 1.45 5.30 (5.37) 3.01 0.30 10.05 5.16Less DistributionsNetInvestmentIncome .......................... (0.75) (0.74) (1.06) (0.96) (0.78) (1.27) (0.43) (1.29) (1.05) (0.93) (0.90) (0.79)NetRealizedGains ............................. ——————(1.15)(1.63)(2.38)(0.41)——TotalDistributions ............................ (0.75) (0.74) (1.06) (0.96) (0.78) (1.27) (1.58) (2.92) (3.43) (1.34) (0.90) (0.79)NetAssetValue,EndofPeriod ......................$ 21.48$ 21.27$ 19.06$ 22.88$ 24.82$ 23.22$ 30.93$ 27.21$ 35.50$ 35.92$ 36.96$ 27.81TotalReturn .................................... 4.82%(D) 16.18% (12.19)% (3.84)% 10.46% 7.09% 20.44%(D) (16.20)% 9.43% 0.73% 36.81% 22.82%Net Assets, End of Period (thousands)................$282,786 $251,575 $200,270 $364,117 $331,166 $238,191 $43,101 $32,323 $35,637 $35,050 $37,096 $31,316Ratio of Expenses to Average Net Assets (B)........... 0.54%(E) 0.54% 0.55% 0.55% 0.57% 0.59% 0.59%(E) 0.59% 0.58% 0.58% 0.59% 0.60%Ratio of Expenses to Average Net Assets (Excluding Fees(Waived), (Expenses Reimbursed), and/or PreviouslyWaivedFeesRecoveredbyAdvisor)(B)............. 0.64%(E) 0.64% 0.57% 0.55% 0.57% 0.59% 0.71%(E) 0.71% 0.62% 0.62% 0.63% 0.63%RatioofNetInvestmentIncometoAverageNetAssets.... 2.61%(E) 3.57% 3.67% 3.53% 4.26% 3.91% 3.30%(E) 3.87% 2.99% 2.50% 2.79% 2.83%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 122 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)Continental Small Company PortfolioDFA International Real Estate Securities PortfolioSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012Six MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012(Unaudited)(Unaudited)NetAssetValue,BeginningofPeriod........... $ 21.48 $ 20.74 $ 19.34 $ 20.26 $ 14.51 $ 14.66 $ 5.23 $ 5.27 $ 5.63 $ 5.48 $ 5.67 $ 4.90Income from Investment OperationsNetInvestmentIncome(Loss)(A) ........... 0.22 0.43 0.43 0.42 0.37 0.39 0.10 0.20 0.19 0.22 0.22 0.27Net Gains (Losses) on Securities (Realized andUnrealized)........................... 3.65 0.72 1.38 (0.90) 5.78 (0.17) 0.07 (0.15) (0.22) 0.19 0.25 0.75TotalfromInvestmentOperations.......... 3.87 1.15 1.81 (0.48) 6.15 0.22 0.17 0.05 (0.03) 0.41 0.47 1.02Less DistributionsNetInvestmentIncome ................... (0.08) (0.41) (0.41) (0.44) (0.40) (0.37) (0.41) (0.09) (0.33) (0.26) (0.66) (0.25)TotalDistributions...................... (0.08) (0.41) (0.41) (0.44) (0.40) (0.37) (0.41) (0.09) (0.33) (0.26) (0.66) (0.25)NetAssetValue,EndofPeriod ...............$ 25.27$ 21.48$ 20.74$ 19.34$ 20.26$ 14.51$4.99$5.23$5.27$5.63$5.48$5.67TotalReturn.............................. 18.09%(D) 5.70% 9.37% (2.68)% 42.99% 1.85% 3.79%(D) 1.05% (0.37)% 8.21% 9.24% 22.34%Net Assets, End of Period (thousands)..........$386,517 $292,117 $278,024 $168,961 $170,806 $106,316 $4,749,256 $4,181,623 $3,540,092 $3,088,376 $2,158,977 $1,531,708Ratio of Expenses to Average Net Assets....... 0.54%(B)(E) 0.54%(B) 0.55%(B) 0.56%(B) 0.58%(B) 0.59%(B) 0.28%(E) 0.28% 0.32% 0.38% 0.39% 0.41%Ratio of Expenses to Average Net Assets(Excluding Fees (Waived), (ExpensesReimbursed), and/or Previously Waived FeesRecovered by Advisor and Fees PaidIndirectly) .............................. 0.64%(B)(E) 0.64%(B) 0.58%(B) 0.56%(B) 0.58%(B) 0.59%(B) 0.28%(E) 0.28% 0.32% 0.38% 0.39% 0.41%Ratio of Net Investment Income to Average NetAssets ................................ 1.94%(E) 2.08% 2.09% 1.97% 2.16% 2.78% 4.02%(E) 3.71% 3.64% 4.14% 4.07% 5.45%PortfolioTurnoverRate ..................... N/A N/A N/A N/A N/A N/A 1%(D) 1% 2% 1% 5% 3%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 123 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)DFA Global Real Estate Securities PortfolioDFA International Small Cap Value PortfolioSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012Six MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012(Unaudited)(Unaudited)Net Asset Value, Beginning ofPeriod.....................$ 10.84 $ 10.59 $ 10.63 $ 9.59 $ 9.33 $ 8.21 $ 19.31 $ 19.44 $ 19.55 $ 20.17 $ 15.16 $ 14.85Income from Investment OperationsNet Investment Income(Loss)(A) ................ 0.41 0.27 0.44 0.31 0.49 0.29 0.17 0.44 0.38 0.37 0.37 0.34Net Gains (Losses) on Securities(RealizedandUnrealized).... (0.05) 0.23 (0.09) 1.05 0.37 1.07 2.31 0.29 0.22 (0.34) 5.21 0.61Total from InvestmentOperations ............. 0.36 0.50 0.35 1.36 0.86 1.36 2.48 0.73 0.60 0.03 5.58 0.95Less DistributionsNetInvestmentIncome........ (0.50) (0.25) (0.39) (0.32) (0.60) (0.24) (0.16) (0.58) (0.37) (0.35) (0.36) (0.36)NetRealizedGains........... (0.03)————— (0.62)(0.28)(0.34)(0.30)(0.21)(0.28)TotalDistributions .......... (0.53) (0.25) (0.39) (0.32) (0.60) (0.24) (0.78) (0.86) (0.71) (0.65) (0.57) (0.64)NetAssetValue,EndofPeriod....$ 10.67$ 10.84$ 10.59$ 10.63$9.59$9.33$ 21.01$ 19.31$ 19.44$ 19.55$ 20.17$ 15.16TotalReturn .................. 3.58%(D) 4.87% 3.44% 14.98% 9.74% 17.33% 13.29%(D) 4.09% 3.31% 0.13% 37.79% 6.92%Net Assets, End of Period(thousands).................$5,575,827 $4,888,955 $4,059,916 $3,305,472 $2,082,707 $1,315,547 $14,562,703 $13,009,729 $12,577,575 $11,684,771 $11,148,899 $8,266,610Ratio of Expenses to Average NetAssets..................... 0.24%(B)(E) 0.24%(B) 0.27%(B) 0.32%(B) 0.32%(B) 0.34%(B) 0.68%(E) 0.68% 0.69% 0.68% 0.69% 0.71%Ratio of Expenses to Average NetAssets (Excluding Fees (Waived),(Expenses Reimbursed), and/orPreviously Waived FeesRecovered by Advisor and FeesPaidIndirectly) .............. 0.36%(B)(E) 0.38%(B) 0.45%(B) 0.55%(B) 0.55%(B) 0.60%(B) 0.68%(E) 0.68% 0.69% 0.68% 0.69% 0.71%Ratio of Net Investment Income toAverageNetAssets .......... 7.78%(E) 2.45% 4.16% 3.21% 5.18% 3.38% 1.77%(E) 2.38% 1.94% 1.78% 2.16% 2.30%PortfolioTurnoverRate.......... 2%(D) 2% 1% N/A N/A N/A 10%(D) 19% 18% 8% 9% 18%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 124 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)International Vector Equity PortfolioWorld ex U.S. Value PortfolioSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012Six MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012(Unaudited)(Unaudited)NetAssetValue,BeginningofPeriod ......... $ 10.78 $ 10.76 $ 11.26 $ 11.75 $ 9.33 $ 9.34 $ 10.31 $ 10.28 $ 11.43 $ 11.93 $ 9.94 $ 9.96Income from Investment OperationsNetInvestmentIncome(Loss)(A).......... 0.13 0.28 0.28 0.32 0.26 0.27 0.12 0.31 0.30 0.42 0.29 0.29Net Gains (Losses) on Securities (RealizedandUnrealized)...................... 1.19 0.05 (0.41) (0.43) 2.44 0.14 1.08 0.03 (1.18) (0.50) 2.02 (0.05)TotalfromInvestmentOperations ........ 1.32 0.33 (0.13) (0.11) 2.70 0.41 1.20 0.34 (0.88) (0.08) 2.31 0.24Less DistributionsNetInvestmentIncome.................. (0.09) (0.27) (0.27) (0.30) (0.25) (0.27) (0.11) (0.31) (0.27) (0.42) (0.32) (0.26)NetRealizedGains..................... (0.02) (0.04) (0.10) (0.08) (0.03) (0.15) ——————TotalDistributions .................... (0.11) (0.31) (0.37) (0.38) (0.28) (0.42) (0.11) (0.31) (0.27) (0.42) (0.32) (0.26)NetAssetValue,EndofPeriod..............$ 11.99$ 10.78$ 10.76$ 11.26$ 11.75$9.33$ 11.40$ 10.31$ 10.28$ 11.43$ 11.93$9.94TotalReturn ............................ 12.36%(D) 3.21% (1.14)% (1.05)% 29.52% 4.90% 11.70%(D) 3.54% (7.77)% (0.81)% 23.61% 2.70%Net Assets, End of Period (thousands)........ $2,194,231 $1,856,474 $1,594,914 $1,305,553 $1,090,774 $561,399 $216,883 $188,154 $155,301 $113,951 $117,587 $57,197Ratio of Expenses to Average Net Assets...... 0.48%(E) 0.49% 0.50% 0.49% 0.51% 0.54% 0.52%(B)(E) 0.53%(B) 0.53%(B) 0.57%(B) 0.60%(B) 0.60%(B)Ratio of Expenses to Average Net Assets(Excluding Fees (Waived), (ExpensesReimbursed), and/or Previously Waived FeesRecovered by Advisor and Fees PaidIndirectly) ............................ 0.48%(E) 0.49% 0.50% 0.49% 0.51% 0.54% 0.74%(B)(E) 0.76%(B) 0.75%(B) 0.76%(B) 0.76%(B) 0.84%(B)Ratio of Net Investment Income to Average NetAssets............................... 2.34%(E) 2.73% 2.50% 2.64% 2.51% 2.94% 2.26%(E) 3.20% 2.69% 3.54% 2.61% 2.97%PortfolioTurnoverRate.................... 2%(D) 4% 8% 8% 2% 5% N/A N/A N/A N/A N/A N/ASee page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 125 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)World ex U.S. Targeted Value PortfolioWorld ex U.S. Core Equity PortfolioSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014PeriodNov. 1,2012(a) toOct. 31,2013Six MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014PeriodApril 9,2013(a) toOct. 31,2013(Unaudited)(Unaudited)NetAssetValue,BeginningofPeriod .................. $ 12.04 $ 11.44 $ 12.08 $ 12.46 $ 10.00 $ 9.93 $ 9.83 $ 10.49 $ 10.77 $ 10.00Income from Investment OperationsNetInvestmentIncome(Loss)(A)................... 0.09 0.25 0.23 0.23 0.20 0.11 0.26 0.26 0.28 0.18Net Gains (Losses) on Securities (Realized andUnrealized).................................. 1.58 0.55 (0.58) (0.22) 2.46 1.01 0.08 (0.72) (0.27) 0.77TotalfromInvestmentOperations................. 1.67 0.80 (0.35) 0.01 2.66 1.12 0.34 (0.46) 0.01 0.95Less DistributionsNetInvestmentIncome........................... (0.07) (0.20) (0.26) (0.24) (0.20) (0.08) (0.24) (0.20) (0.28) (0.18)NetRealizedGains.............................. — — (0.03) (0.15) — — — — (0.01) —TotalDistributions............................. (0.07) (0.20) (0.29) (0.39) (0.20) (0.08) (0.24) (0.20) (0.29) (0.18)NetAssetValue,EndofPeriod.......................$ 13.64$ 12.04$ 11.44$ 12.08$ 12.46$ 10.97$9.93$9.83$ 10.49$ 10.77TotalReturn ..................................... 13.90%(D) 7.18% (2.88)% 0.06% 26.90%(D) 11.33%(D) 3.58% (4.50)% (0.04)% 9.62%(D)Net Assets, End of Period (thousands).................$378,140 $281,212 $227,731 $151,096 $96,010 $2,189,521 $1,656,445 $1,170,828 $406,648 $129,720Ratio of Expenses to Average Net Assets (B)............ 0.70%(E) 0.76% 0.65% 0.69% 0.79%(C)(E) 0.41%(E) 0.47% 0.47% 0.47% 0.47%(C)(E)Ratio of Expenses to Average Net Assets (ExcludingFeesPaidIndirectly)(B) .......................... 0.70%(E) 0.77% 1.06% 1.17% 1.27%(C)(E) 0.42%(E) 0.47% 0.52% 0.88% 0.97%(C)(E)Ratio of Net Investment Income (Loss) to AverageNetAssets .................................... 1.46%(E) 2.18% 1.95% 1.84% 1.78%(C)(E) 2.15%(E) 2.67% 2.54% 2.59% 3.12%(C)(E)PortfolioTurnoverRate............................. 7%(D) 28% 1% N/A N/A 2%(D) 1% 1% N/A N/ASee page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 126 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)World Core Equity PortfolioSelectively Hedged Global Equity PortfolioSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013PeriodMarch 7,2012(a) toOct. 31,2012Six MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013PeriodNov. 14,2011(a) toOct. 31,2012(Unaudited)(Unaudited)NetAssetValue,BeginningofPeriod .... $ 13.14 $ 12.94 $ 13.33 $ 12.71 $10.24 $10.00 $ 13.67 $ 13.50 $ 14.20 $ 13.63 $ 10.87 $ 10.00Income from Investment OperationsNetInvestmentIncome(Loss)(A)..... 0.11 0.27 0.26 0.17 0.23 0.16 0.10 0.26 0.27 0.27 0.24 0.22Net Gains (Losses) on Securities(RealizedandUnrealized)......... 1.60 0.20 (0.35) 0.87 2.47 0.19 1.69 0.30 (0.34) 0.76 2.65 0.87Total from Investment Operations . . . 1.71 0.47 (0.09) 1.04 2.70 0.35 1.79 0.56 (0.07) 1.03 2.89 1.09Less DistributionsNetInvestmentIncome ............. (0.12) (0.26) (0.26) (0.24) (0.23) (0.11) (0.31) (0.35) (0.42) (0.32) (0.10) (0.22)NetRealizedGains................ (0.05) (0.01) (0.04) (0.18) — — (0.12) (0.04) (0.21) (0.14) (0.03) —TotalDistributions ............... (0.17) (0.27) (0.30) (0.42) (0.23) (0.11) (0.43) (0.39) (0.63) (0.46) (0.13) (0.22)NetAssetValue,EndofPeriod.........$ 14.68$ 13.14$ 12.94$ 13.33$12.71$10.24$ 15.03$ 13.67$ 13.50$ 14.20$ 13.63$ 10.87TotalReturn ....................... 13.08%(D) 3.73% (0.61)% 8.36% 26.77% 3.54%(D) 13.30%(D) 4.32% (0.34)% 7.83% 26.86% 11.11%(D)Net Assets, End of Period (thousands) . . . $449,153 $370,229 $202,655 $75,707 $1,728 $ 191 $337,793 $289,904 $245,106 $147,276 $91,348 $34,950Ratio of Expenses to Average NetAssets(B)....................... 0.35%(E) 0.35% 0.35% 0.35% 0.40% 0.40%(C)(E) 0.34%(E) 0.35% 0.40% 0.40% 0.40% 0.40%(C)(E)Ratio of Expenses to Average Net Assets(Excluding Fees (Waived), (ExpensesReimbursed), and/or Previously WaivedFeesRecoveredbyAdvisor)(B) ...... 0.60%(E) 0.64% 0.65% 0.97% 5.71% 52.27%(C)(E) 0.61%(E) 0.64% 0.66% 0.69% 0.72% 1.00%(C)(E)Ratio of Net Investment Income to AverageNetAssets ...................... 1.61%(E) 2.14% 1.95% 1.27% 2.01% 2.40%(C)(E) 1.46%(E) 2.03% 1.93% 1.94% 1.93% 2.13%(C)(E)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)Emerging Markets PortfolioEmerging Markets Small Cap PortfolioSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012Six MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012(Unaudited)(Unaudited)NetAssetValue,BeginningofPeriod.... $ 24.12 $ 22.17 $ 26.64 $ 26.97 $ 26.06 $ 26.68 $ 20.39 $ 18.51 $ 21.42 $ 21.10 $ 20.33 $ 19.85Income from Investment OperationsNetInvestmentIncome(Loss)(A) .... 0.14 0.45 0.49 0.56 0.52 0.55 0.14 0.45 0.43 0.43 0.40 0.40Net Gains (Losses) on Securities(RealizedandUnrealized) ........ 2.06 1.95 (4.54) (0.20) 1.17 0.37 1.75 2.04 (2.53) 0.62 1.37 0.83Total from Investment Operations . . 2.20 2.40 (4.05) 0.36 1.69 0.92 1.89 2.49 (2.10) 1.05 1.77 1.23Less DistributionsNetInvestmentIncome ............ (0.13) (0.45) (0.42) (0.53) (0.50) (0.50) (0.25) (0.47) (0.41) (0.40) (0.39) (0.35)NetRealizedGains ............... — — — (0.16) (0.28) (1.04) (0.46) (0.14) (0.40) (0.33) (0.61) (0.40)TotalDistributions .............. (0.13) (0.45) (0.42) (0.69) (0.78) (1.54) (0.71) (0.61) (0.81) (0.73) (1.00) (0.75)NetAssetValue,EndofPeriod ........$ 26.19$ 24.12$ 22.17$ 26.64$ 26.97$ 26.06$ 21.57$ 20.39$ 18.51$ 21.42$ 21.10$ 20.33TotalReturn....................... 9.21%(D) 11.01% (15.24)% 1.33% 6.58% 4.08% 9.83%(D) 13.96% (9.88)% 5.12% 8.92% 6.71%Net Assets, End of Period (thousands) . . . $5,688,120 $4,915,400 $4,321,530 $4,073,698 $3,655,740 $2,797,177 $6,504,097 $5,459,509 $4,845,174 $4,860,603 $4,041,863 $2,907,673Ratio of Expenses to Average NetAssets(B) ...................... 0.53%(E) 0.56% 0.57% 0.56% 0.57% 0.61% 0.72%(E) 0.72% 0.73% 0.72% 0.75% 0.82%Ratio of Expenses to Average Net Assets(Excluding Fees (Waived), (ExpensesReimbursed), and/or PreviouslyWaived Fees Recovered byAdvisor)(B) ..................... 0.63%(E) 0.66% 0.60% 0.56% 0.57% 0.61% 0.92%(E) 0.92% 0.78% 0.72% 0.75% 0.82%Ratio of Net Investment Income toAverageNetAssets............... 1.19%(E) 2.04% 1.97% 2.11% 1.97% 2.14% 1.39%(E) 2.43% 2.16% 2.02% 1.91% 2.01%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)Emerging Markets Value Portfolio-Class R2 SharesSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012(Unaudited)NetAssetValue,BeginningofPeriod .................................................................................. $ 24.71 $ 22.18 $ 27.79 $ 29.27 $ 28.21 $ 29.02Income from Investment OperationsNetInvestmentIncome(Loss)(A)................................................................................... 0.07 0.46 0.49 0.590.47 0.50NetGains(Losses)onSecurities(RealizedandUnrealized)............................................................... 2.73 2.75 (5.61) (1.10) 1.68 (0.45)TotalfromInvestmentOperations ................................................................................. 2.80 3.21 (5.12) (0.51) 2.15 0.05Less DistributionsNetInvestmentIncome........................................................................................... (0.12) (0.68) (0.49) (0.55) (0.50) (0.47)NetRealizedGains.............................................................................................. — — — (0.42) (0.59) (0.39)TotalDistributions............................................................................................. (0.12) (0.68) (0.49) (0.97) (1.09) (0.86)NetAssetValue,EndofPeriod.......................................................................................$ 27.39$ 24.71$ 22.18$ 27.79$ 29.27$ 28.21TotalReturn ..................................................................................................... 11.40%(D) 14.98%(18.49)% (1.75)% 7.75% 0.43%Net Assets, End of Period (thousands).................................................................................$24,119 $97,923 $74,076 $99,066 $106,070 $99,111Ratio of Expenses to Average Net Assets (B)............................................................................ 0.81%(E) 0.81% 0.81% 0.80% 0.82% 0.86%Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor andFeesPaidIndirectly)(B) .......................................................................................... 0.91%(E) 0.91% 0.84% 0.80% 0.82% 0.86%RatioofNetInvestmentIncometoAverageNetAssets .................................................................... 0.57%(E) 2.08% 1.93% 2.09% 1.65% 1.78%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)Emerging Markets Value Portfolio-Institutional Class SharesSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012(Unaudited)NetAssetValue,BeginningofPeriod ................................................................. $ 24.84 $ 22.22 $ 27.81 $ 29.28 $ 28.22 $29.02Income from Investment OperationsNetInvestmentIncome(Loss)(A).................................................................. 0.15 0.51 0.54 0.66 0.55 0.57NetGains(Losses)onSecurities(RealizedandUnrealized).............................................. 2.69 2.77 (5.60) (1.10) 1.67 (0.44)TotalfromInvestmentOperations................................................................ 2.84 3.28 (5.06) (0.44) 2.22 0.13Less DistributionsNetInvestmentIncome.......................................................................... (0.13) (0.66) (0.53) (0.61) (0.57) (0.54)NetRealizedGains............................................................................. — — — (0.42) (0.59) (0.39)TotalDistributions............................................................................ (0.13) (0.66) (0.53) (1.03) (1.16) (0.93)NetAssetValue,EndofPeriod......................................................................$ 27.55$ 24.84$ 22.22$ 27.81$ 29.28$ 28.22TotalReturn .................................................................................... 11.49%(D) 15.23% (18.27)% (1.51)% 8.01% 0.70%Net Assets, End of Period (thousands)................................................................$17,947,983 $16,304,321 $14,834,888 $18,647,276 $19,162,837 $16,589,619Ratio of Expenses to Average Net Assets (B)........................................................... 0.56%(E) 0.56% 0.56% 0.55% 0.57% 0.61%Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses Reimbursed), and/or Previously Waived FeesRecoveredbyAdvisorandFeesPaidIndirectly)(B) .................................................... 0.66%(E) 0.66% 0.59% 0.55% 0.57% 0.61%RatioofNetInvestmentIncometoAverageNetAssets ................................................... 1.21%(E) 2.31% 2.12% 2.35% 1.91% 2.03%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 130 DFA INVESTMENT DIMENSIONS GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)Emerging Markets Core Equity PortfolioSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012(Unaudited)NetAssetValue,BeginningofPeriod ................................................................... $ 18.40 $ 16.81 $ 20.08 $ 20.09 $ 19.00 $ 18.73Income from Investment OperationsNetInvestmentIncome(Loss)(A) .................................................................... 0.12 0.37 0.39 0.42 0.39 0.41NetGains(Losses)onSecurities(RealizedandUnrealized) ................................................ 1.65 1.59 (3.29) (0.03) 1.07 0.23TotalfromInvestmentOperations .................................................................. 1.77 1.96 (2.90) 0.39 1.46 0.64Less DistributionsNetInvestmentIncome ............................................................................ (0.09) (0.37) (0.37) (0.40) (0.37) (0.37)TotalDistributions .............................................................................. (0.09) (0.37) (0.37) (0.40) (0.37) (0.37)NetAssetValue,EndofPeriod ........................................................................$ 20.08$ 18.40$ 16.81$ 20.08$ 20.09$ 19.00TotalReturn ...................................................................................... 9.68%(D) 11.87% (14.49)% 1.89% 7.75% 3.55%Net Assets, End of Period (thousands)..................................................................$22,299,430 $18,712,966 $14,856,878 $15,727,547 $13,020,962 $8,594,707Ratio of Expenses to Average Net Assets................................................................ 0.56%(E) 0.61% 0.62% 0.61% 0.63% 0.68%Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously WaivedFeesRecoveredbyAdvisorandFeesPaidIndirectly) ..................................................... 0.58%(E) 0.61% 0.62% 0.61% 0.63% 0.68%RatioofNetInvestmentIncometoAverageNetAssets...................................................... 1.28%(E) 2.20% 2.06% 2.10% 1.97% 2.18%PortfolioTurnoverRate .............................................................................. 2%(D) 3% 5% 2% 1% 1%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 131 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 ninety-six operational portfolios, of which thirty-two (the “Portfolios”) are included in this section of the report. The remaining operational portfolios are presented in separate reports. The Portfolios are investment companies, and accordingly, follow the accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Certification (“ASC”) Topic 946, “Financial Services-Investment Companies.” Of the Portfolios, seven invest all of their assets in a corresponding series of The DFA Investment Trust Company (“DFAITC”) and one invests in the Dimensional Emerging Markets Value Fund (“DEM”). International Small Company Portfolio invests in five portfolios within DFAITC. Global Small Company Portfolio invests in six portfolios within the Fund and DFAITC. DFA Global Real Estate Securities Portfolio invests in two portfolios within the Fund and directly in securities. World ex U.S. Value Portfolio invests in three portfolios within the Fund, DFAITC, and DEM. World Core Equity Portfolio and Selectively Hedged Global Equity Portfolio each invest in three portfolios within the Fund. At April 30, 2017, the following Portfolios were the owner of record of the following approximate percentages of the total outstanding shares of the underlying Master Funds as detailed below: Feeder Funds Master Funds Percentage Ownership at 04/30/17 U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 85% Japanese Small Company Portfolio The Japanese Small Company Series 16% Asia Pacific Small Company Portfolio The Asia Pacific Small Company Series 17% United Kingdom Small Company Portfolio The United Kingdom Small Company Series 2% Continental Small Company Portfolio The Continental Small Company Series 8% 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% Fund of Funds Master Funds Percentage Ownership at 04/30/17 International Small Company Portfolio The Continental Small Company Series 92% The Japanese Small Company Series 84% The United Kingdom Small Company Series 96% The Asia Pacific Small Company Series 83% The Canadian Small Company Series 98% 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 United Kingdom Small Company Series —* The Canadian Small Company Series —* The Emerging Markets Small Cap Series —* DFA Global Real Estate Securities Portfolio** DFA Real Estate Securities Portfolio 20% DFA International Real Estate Securities Portfolio 41% World ex U.S. Value Portfolio Dimensional Emerging Markets Value Fund —* DFA International Small Cap Value Portfolio —* The DFA International Value Series 1% 132 Fund of Funds Master Funds Percentage Ownership at 04/30/17 World Core Equity Portfolio U.S. Core Equity 1 Portfolio 1% International Core Equity Portfolio 1% Emerging Markets Core Equity Portfolio —* Selectively Hedged Global Equity Portfolio U.S. Core Equity 2 Portfolio 1% International Core Equity Portfolio 1% Emerging Markets Core Equity Portfolio —* * Amounts designated as — are less than 1%. ** DFA Global Real Estate Securities Portfolio invests in two Master Funds as indicated and securities listed on its Summary Schedule of Investments. To achieve its investment objective, each feeder fund (collectively, “Feeder Funds”) and Fund of Funds invests primarily in a corresponding master fund(s) (“Master Fund”) as indicated above. The DFA Global Real Estate Securities Portfolio may pursue its investment objective by investing its assets in its Master Funds and/or directly in securities of companies in the real estate industry. Each Feeder Fund and Fund of Funds also invest in short-term temporary cash investments and futures. In addition, each international 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 and DFA Real Estate Securities Portfolio (the “Domestic Equity Portfolios”) and Large Cap International Portfolio, International Core Equity Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, DFA International Small Cap Value Portfolio, International Vector Equity Portfolio, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio and Emerging Markets Core Equity Portfolio (the “International Equity Portfolios”), including over-the-counter securities, are valued at the last quoted sale price of the day. International equity securities are subject to a fair value factor, as described later in this note. Securities held by the Domestic Equity Portfolios and the International Equity Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing Price (“NOCP”). If there is no last reported sale price or NOCP for the day, the Domestic Equity Portfolios and the 133 International Equity Portfolios value the securities within the range of the most recent quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end management investment companies are valued using their respective net asset values or public offering prices, as appropriate, for purchase orders placed at the close of the New York Stock Exchange (NYSE). These securities are generally categorized as Level 1 in the hierarchy. Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors of the Fund. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of Dimensional Fund Advisors LP) occur before the net asset value of the Portfolio is calculated. When fair value pricing is used, the prices of securities used by the Domestic Equity Portfolios and the International Equity Portfolios may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the time that the net asset values of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets’ perceptions and trading activities on the International Equity Portfolios’ foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Directors of the Fund has determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the International Equity Portfolios utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When an International Equity Portfolio uses fair value pricing, the values assigned to the International Equity Portfolio’s foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. Debt securities held by the Portfolios are valued on the basis of evaluated prices provided by one or more pricing services or other reasonably reliable sources including broker/dealers that typically handle the purchase and sale of such securities. Securities that are traded over-the-counter and on a stock exchange generally will be valued according to the broadest and most representative market, and it is expected that for bonds and other fixed income securities, this ordinarily will be the over-the-counter market. Securities for which quotations are not readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors of the Fund. These valuations are generally categorized as Level 2 in the hierarchy. Listed derivatives, such as futures, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts, do not require material subjectivity as pricing inputs are observed from quoted markets and are categorized as Level 2 in the hierarchy. Shares held by the Portfolios in other investment companies (such as the Master Funds) are valued at their respective daily net asset values as reported by their administrator. The Feeder Funds’, International Small Company Portfolio’s, 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. These valuations are classified as Level 1 in the hierarchy. 134 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, 2017, 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 asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked-to-market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The Portfolios also enter into forward currency contracts solely for the purpose of hedging against fluctuations in currency exchange rates. These contracts are marked-to-market daily based on daily forward exchange rates. The International Equity Portfolios do not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities whether realized or unrealized. However, the Enhanced U.S. Large Company Portfolio and Selectively Hedged Global Equity Portfolio do isolate the effect of fluctuations in foreign currency rates when determining the realized gain or loss upon the sale or maturity of foreign currency denominated debt obligations pursuant to U.S. Federal income tax regulations; such amounts are categorized as foreign exchange gain or loss for income tax reporting purposes. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and any foreign withholding taxes recorded on the books of the International Equity Portfolios, Enhanced U.S. Large Company Portfolio and Selectively Hedged Global Equity Portfolio and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan:Each eligible Director of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the “Plan”). Under the Plan, effective January 1, 2002, such Directors may defer payment of all or a portion of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors’/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 (unless the Director files an amended Notice selecting a different distribution date). As of April 30, 2017, 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 135 that represent a return of capital or capital gains are recorded as a reduction of cost of investments or as a realized gain, respectively. The Portfolios estimate the character of distributions received that may be considered return of capital distributions. Interest income is recorded on an accrual basis. Discount and premium on debt securities purchased are amortized over the lives of the respective securities, utilizing the effective interest method. Expenses directly attributable to a Portfolio are directly charged. Common expenses of the Fund or the Portfolios are allocated using methods approved by the Board, generally based on average net assets. Class R1 Shares, Class R2 Shares and Institutional Class Shares have equal rights to assets and earnings of a Portfolio. Income, gains and losses, and common expenses of a Portfolio are allocated to each class of shares based on its relative net assets. Each class will bear its own class-specific expenses, if any. The Feeder Funds, International Small Company Portfolio and World ex U.S. Value Portfolio each recognize their pro-rata share of net investment income and realized and unrealized gains/losses on a daily basis from their respective Master Fund within DFAITC or DEM, which are treated as partnerships for federal income tax purposes. The Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Portfolios accrue such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, Emerging Markets Value Portfolio, World ex U.S. Core Portfolio and Emerging Markets Core Equity Portfolio are subject to a 15% tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The capital gains taxes are recognized when the capital gains are earned. C. Investment Advisor and Administrator: The Advisor, Dimensional Fund Advisors LP, provides investment management services to all Portfolios. For the six months ended April 30, 2017, the Portfolios’ investment management fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: Enhanced U.S. Large Company Portfolio .........................................0.20% U.S. Large Cap Equity Portfolio ................................................0.15% U.S. Large Cap Value Portfolio .................................................0.25% U.S. Targeted Value Portfolio ..................................................0.35% U.S. Small Cap Value Portfolio .................................................0.50% U.S. Core Equity 1 Portfolio ....................................................0.17% U.S. Core Equity 2 Portfolio ....................................................0.20% U.S. Vector Equity Portfolio ....................................................0.30% U.S. Small Cap Portfolio ......................................................0.35% U.S. Micro Cap Portfolio ......................................................0.50% DFA Real Estate Securities Portfolio ............................................0.17% Large Cap International Portfolio (1).............................................0.23% International Core Equity Portfolio (2)............................................0.32% 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% 136 DFA International Small Cap Value Portfolio ......................................0.65% International Vector Equity Portfolio .............................................0.45% World ex U.S. Value Portfolio ..................................................0.47% World ex U.S. Targeted Value Portfolio ..........................................0.58% World ex U.S. Core Equity Portfolio (3)..........................................0.37% World Core Equity Portfolio ....................................................0.30% Selectively Hedged Global Equity Portfolio .......................................0.30% Emerging Markets Portfolio (4).................................................0.47% Emerging Markets Small Cap Portfolio ...........................................0.65% Emerging Markets Value Portfolio ...............................................0.50% Emerging Markets Core Equity Portfolio (5).......................................0.52% (1) Effective February 28, 2017, the Large Cap International Portfolio’s investment management fee was reduced from 0.25% to 0.20%. (2) Effective February 28, 2017, the International Core Equity Portfolio’s investment management fee was reduced from 0.35% to 0.27%. (3) Effective February 28, 2017, the World ex U.S. Core Equity Portfolio’s investment management fee was reduced from 0.40% to 0.32%. (4) Effective February 28, 2017, the Emerging Markets Portfolio’s investment management fee was reduced from 0.50% to 0.42%. (5) Effective February 28, 2017, the Emerging Markets Core Equity Portfolio’s investment management fee was reduced from 0.55% to 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, 2018, 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, 2017, the Portfolios had expense limits based on a percentage of average net assets on an annualized basis, and the Advisor recovered previously waived fees and/or expenses assumed as listed below (amounts in thousands). Previously waived fees subject to future recovery by the Advisor and the net amount of waived fees/expenses assumed (recovered previously waived fees/expenses assumed) during the six months ended April 30, 2017, are also reflected below (amounts in thousands). The Fund, on behalf of the Portfolios, is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than 36 months before the date of recovery. Expense Limitation Amount Recovery of Previously Waived Fees/ Expenses Assumed Previously Waived Fees/ Expenses Assumed Subject to Future Recovery Net Waived Fees/Expenses Assumed (Recovered Previously Waived Fees/Expenses Assumed) Institutional Class Shares Enhanced U.S. Large Company Portfolio (1) . 0.15% — $ 18 $ 18 U.S. Large Cap Equity Portfolio (1).........0.19% — — — U.S. Large Cap Value Portfolio (2).........0.25% — — 9,883 U.S. Targeted Value Portfolio (3)..........0.50% — — — U.S. Core Equity 1 Portfolio (1)............0.23% — — — U.S. Core Equity 2 Portfolio (1)............0.26% — — — U.S. Vector Equity Portfolio (1)............0.36% — — — DFA Real Estate Securities Portfolio (1).....0.18% $ 1 1,813 254 137 Expense Limitation Amount Recovery of Previously Waived Fees/ Expenses Assumed Previously Waived Fees/ Expenses Assumed Subject to Future Recovery Net Waived Fees/Expenses Assumed (Recovered Previously Waived Fees/Expenses Assumed) Institutional Class Shares Large Cap International Portfolio (1)........0.24% — $ 141 $ 141 International Core Equity Portfolio (1).......0.30% — 2,081 2,081 International Small Company Portfolio (4) . . . 0.45% — — — Global Small Company Portfolio (5)........0.49% — 16 16 Japanese Small Company Portfolio (6).....0.47% — — 253 Asia Pacific Small Company Portfolio (6)....0.47% — — 129 United Kingdom Small Company Portfolio (6) 0.47% — 25 26 Continental Small Company Portfolio (6)....0.47% — — 163 DFA International Real Estate Securities Portfolio (7)..........................0.29% — — — DFA Global Real Estate Securities Portfolio (8)..........................0.24% — 19,735 3,138 International Vector Equity Portfolio (1).....0.60% — — — World ex U.S. Value Portfolio (9)..........0.60% — 1,020 224 World ex U.S. Targeted Value Portfolio (10) . 0.80% — 1,232 — World ex U.S. Core Equity Portfolio (11)....0.39% 110 1,455 69 World Core Equity Portfolio (12)...........0.35% 40 1,856 509 Selectively Hedged Global Equity Portfolio (13).........................0.40% — 1,996 427 Emerging Markets Portfolio (14)...........0.49% — — 2,551 Emerging Markets Small Cap Portfolio (2) . . . 0.65% — — 5,722 Emerging Markets Value Portfolio (2).......0.50% — — 8,307 Emerging Markets Core Equity Portfolio (1) . . 0.54% — 1,506 1,506 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% — — 37 (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 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 138 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) 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. (5) 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. (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 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 139 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 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 Funds’ management services fees have been offset (the “Remaining Management Fee”)) to the extent necessary to reduce the Portfolio’s ordinary operating expenses (including expenses incurred through its investment in other investment companies but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in the Money Market Series) (“Portfolio Expenses”) to the rate listed above as a percentage of average net assets on an annualized basis (the “Expense Limitation Amount”). The maximum amount that may be waived to limit Portfolio Expenses is the amount of the Remaining Management Fee. Further, at any time that the Portfolio Expenses of the Portfolio are less than the Portfolio’s Expense Limitation Amount listed above, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that such reimbursement is within thirty-six months and will not cause the Portfolio’s annualized Portfolio Expenses to exceed the Portfolio’s Expense Limitation Amount, as listed above. (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 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 140 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 Master 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 Master Funds ,except for the fees paid through its investment of securities lending cash collateral in the Money Market Series (including the Portfolio’s proportionate share of any management fees that a Master 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 Master 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 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. 141 (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. 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 142 generally less than one basis point of each Portfolio’s net assets. During the six months ended April 30, 2017, expenses reduced were as follows (amounts in thousands): Fees Paid Indirectly Enhanced U.S. Large Company Portfolio ..................................... $ 4 Large Cap International Portfolio ............................................ 132 International Core Equity Portfolio ........................................... 799 DFA International Real Estate Securities Portfolio .............................. 155 DFA International Small Cap Value Portfolio ................................... 233 International Vector Equity Portfolio .......................................... 30 World ex U.S. Targeted Value Portfolio ....................................... 5 World ex U.S. Core Equity Portfolio .......................................... 57 Emerging Markets Core Equity Portfolio ...................................... 568 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, 2017, the total related amounts paid by the Fund to the CCO were $150 (in thousands). The total related amounts paid by each of the Portfolios are included in Other Expenses on the Statement of Operations. D. Deferred Compensation: At April 30, 2017, 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 ........................................ $ 10 U.S. Large Cap Equity Portfolio ................................................ 7 U.S. Large Cap Value Portfolio ................................................ 444 U.S. Targeted Value Portfolio .................................................. 152 U.S. Small Cap Value Portfolio................................................. 385 U.S. Core Equity 1 Portfolio ................................................... 250 U.S. Core Equity 2 Portfolio ................................................... 344 U.S. Vector Equity Portfolio ................................................... 96 U.S. Small Cap Portfolio ...................................................... 249 U.S. Micro Cap Portfolio ...................................................... 182 DFA Real Estate Securities Portfolio ............................................ 168 Large Cap International Portfolio ............................................... 97 International Core Equity Portfolio .............................................. 325 International Small Company Portfolio ........................................... 291 Global Small Company Portfolio ............................................... —* Japanese Small Company Portfolio ............................................. 12 Asia Pacific Small Company Portfolio ........................................... 8 United Kingdom Small Company Portfolio ........................................ 2 Continental Small Company Portfolio ........................................... 7 DFA International Real Estate Securities Portfolio ................................. 71 DFA Global Real Estate Securities Portfolio ...................................... 66 DFA International Small Cap Value Portfolio...................................... 414 International Vector Equity Portfolio ............................................. 30 World ex U.S. Value Portfolio .................................................. 2 World ex U.S. Targeted Value Portfolio .......................................... 3 World ex U.S. Core Equity Portfolio ............................................. 12 143 World Core Equity Portfolio ................................................... $ 2 Selectively Hedged Global Equity Portfolio ....................................... 3 Emerging Markets Portfolio ................................................... 132 Emerging Markets Small Cap Portfolio .......................................... 113 Emerging Markets Value Portfolio .............................................. 543 Emerging Markets Core Equity Portfolio ......................................... 334 * Amounts are less than $500. E. Purchases and Sales of Securities: For the six months ended April 30, 2017, the Portfolios’ transactions related to investment securities, other than short-term securities (amounts in thousands), were as follows: U.S. Government Securities Other Investment Securities Purchases Sales Purchases Sales Enhanced U.S. Large Company Portfolio ..................$102,401 $105,757 $ 147,499 $ 122,171 U.S. Large Cap Equity Portfolio .......................... — —155,745 81,606 U.S. Targeted Value Portfolio ............................ — —1,874,374 1,343,752 U.S. Small Cap Value Portfolio .......................... — —2,133,041 2,031,364 U.S. Core Equity 1 Portfolio ............................. — —1,657,419 247,020 U.S. Core Equity 2 Portfolio ............................. — —1,588,784 403,600 U.S. Vector Equity Portfolio ............................. — —281,883 204,572 U.S. Small Cap Portfolio ................................ — —1,947,460 891,125 U.S. Micro Cap Portfolio ................................ — —452,224 544,586 DFA Real Estate Securities Portfolio ...................... — —573,668 93,691 Large Cap International Portfolio ......................... — —313,630 83,512 International Core Equity Portfolio ........................ — —2,525,985 493,014 DFA International Real Estate Securities Portfolio ........... — —542,784 57,288 DFA Global Real Estate Securities Portfolio ................ — —745,714 81,090 DFA International Small Cap Value Portfolio ............... — —1,351,544 1,435,417 International Vector Equity Portfolio ....................... — —158,095 43,484 World ex U.S. Targeted Value Portfolio .................... — —77,370 21,825 World ex U.S. Core Equity Portfolio ....................... — —361,639 30,037 Emerging Markets Core Equity Portfolio ................... — —2,179,560 417,346 For the six months ended April 30, 2017, the Fund of Funds transactions related to Affiliated Investment Companies were as follows (amounts in thousands): Global Small Company Portfolio Affiliated Investment Companies Balance at 10/31/2016 Balance at 4/30/2017 Purchases Sales Dividend Income Distributions of Realized Gains U.S. Small Cap Portfolio ......... — $5,305 $ 5,267 $ 49 $ 8 — Total ......................... — $5,305 $ 5,267 $ 49 $ 8 — DFA Global Real Estate Securities Portfolio Affiliated Investment Companies Balance at 10/31/2016 Balance at 4/30/2017 Purchases Sales Dividend Income Distributions of Realized Gains DFA International Real Estate Securities Portfolio ............$1,678,314 $1,957,562 $380,928 $38,225 $132,577 — DFA Real Estate Securities Portfolio .....................1,619,318 1,591,970 — 40,944 28,272 $14,569 Total .........................$3,297,632 $3,549,532 $380,928 $79,169 $160,849 $14,569 144 World ex U.S. Value Portfolio Affiliated Investment Companies Balance at 10/31/2016 Balance at 4/30/2017 Purchases Sales Dividend Income Distributions of Realized Gains DFA International Small Cap Value Portfolio .......................... $20,452 $ 23,752 $ 1,579 $ 200 $ 170 $653 Total .............................. $20,452 $ 23,752 $ 1,579 $ 200 $ 170 $653 World Core Equity Portfolio Affiliated Investment Companies Balance at 10/31/2016 Balance at 4/30/2017 Purchases Sales Dividend Income Distributions of Realized Gains U.S. Core Equity 1 Portfolio ...........$189,060 $230,825 $23,147 $ 6,968 $1,949 $898 International Core Equity Portfolio ......137,648 165,765 16,614 4,493 1,262 — Emerging Markets Core Equity Portfolio ..........................43,388 52,081 5,743 1,453 215 — Total ..............................$370,096 $448,671 $45,504 $12,914 $3,426 $898 Selectively Hedged Global Equity Portfolio Affiliated Investment Companies Balance at 10/31/2016 Balance at 4/30/2017 Purchases Sales Dividend Income Distributions of Realized Gains U.S. Core Equity 2 Portfolio ...........$124,577 $142,310 $ 5,917 $ 4,537 $1,138 $894 International Core Equity Portfolio ......101,000 116,159 6,704 2,961 914 — Emerging Markets Core Equity Portfolio ..........................50,601 58,707 5,478 2,286 251 — Total ..............................$276,178 $317,176 $18,099 $ 9,784 $2,303 $894 F. Federal Income Taxes: Each Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to its shareholders. Accordingly, no provision has been made for federal income taxes. Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gains or losses, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2016, primarily attributable to realized gains on securities considered to be “passive foreign investment companies”, non-deductible expenses, realized foreign capital gains tax, tax-equalization, non-deductible 90 day stock issuance cost, net foreign currency gains/losses, distributions received from real estate investment trusts and distribution redesignations, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands): Increase (Decrease) Paid-In Capital Increase (Decrease) Undistributed Net Investment Income Increase (Decrease) Accumulated Net Realized Gains (Losses) Enhanced U.S. Large Company Portfolio ............... $ 535 $(100) $ (435) U.S. Large Cap Equity Portfolio ....................... 304 (70) (234) U.S. Large Cap Value Portfolio........................32,819 (16,948) (15,871) U.S. Targeted Value Portfolio .........................21,874 (4,985) (16,889) U.S. Small Cap Value Portfolio ........................45,432 (7,935) (37,497) 145 Increase (Decrease) Paid-In Capital Increase (Decrease) Undistributed Net Investment Income Increase (Decrease) Accumulated Net Realized Gains (Losses) U.S. Core Equity 1 Portfolio .......................... $8,674 $ 3,625 $(12,299) U.S. Core Equity 2 Portfolio ..........................10,013 (10,750) 737 U.S. Vector Equity Portfolio ..........................7,864 (4,641) (3,223) U.S. Small Cap Portfolio .............................24,806 (6,588) (18,218) U.S. Micro Cap Portfolio .............................14,933 (1,172) (13,761) DFA Real Estate Securities Portfolio ...................(11,291) 17,695 (6,404) Large Cap International Portfolio ......................(18,977) 253 18,724 International Core Equity Portfolio .....................12,878 (12,174) (704) International Small Company Portfolio ..................22,671 (7,960) (14,711) Global Small Company Portfolio ....................... — — — Japanese Small Company Portfolio .................... — 426 (426) Asia Pacific Small Company Portfolio ..................(16,317) 181 16,136 United Kingdom Small Company Portfolio ............... 331 79 (410) Continental Small Company Portfolio .................. — 31 (31) DFA International Real Estate Securities Portfolio ........(2,046) (9,291) 11,337 DFA Global Real Estate Securities Portfolio .............3,345 (2,527) (818) DFA International Small Cap Value Portfolio .............65,378 2,410 (67,788) International Vector Equity Portfolio ....................2,360 (1,822) (538) World ex U.S. Value Portfolio ......................... — 166 (166) World ex U.S. Targeted Value Portfolio .................2,561 (18) (2,543) World ex U.S. Core Equity Portfolio ....................1,353 (1,133) (220) World Core Equity Portfolio ........................... 80 (65) (15) Selectively Hedged Global Equity Portfolio .............. 369 114 (483) Emerging Markets Portfolio ...........................4,360 (3,397) (963) Emerging Markets Small Cap Portfolio .................13,361 2,519 (15,880) Emerging Markets Value Portfolio .....................12,432 22,396 (34,828) Emerging Markets Core Equity Portfolio ................5,090 (7,994) 2,904 The tax character of dividends and distributions declared and paid during the years ended October 31, 2015 and October 31, 2016 were as follows (amounts in thousands): Net Investment Income and Short-Term Capital Gains Long-Term Capital Gains Total Enhanced U.S. Large Company Portfolio 2015 ............................................... $11,391 $ 16,610 $ 28,001 2016 ...............................................4,946 9,801 14,747 U.S. Large Cap Equity Portfolio 2015 ...............................................8,398 266 8,664 2016 ...............................................14,431 — 14,431 U.S. Large Cap Value Portfolio 2015 ...............................................302,945 86,223 389,168 2016 ...............................................357,227 643,970 1,001,197 U.S. Targeted Value Portfolio 2015 ...............................................85,573 237,911 323,484 2016 ...............................................104,605 286,529 391,134 U.S. Small Cap Value Portfolio 2015 ...............................................130,190 427,115 557,305 2016 ...............................................122,984 487,358 610,342 146 Net Investment Income and Short-Term Capital Gains Long-Term Capital Gains Total U.S. Core Equity 1 Portfolio 2015 .................................................$200,298 $ 49,469 $249,767 2016 .................................................253,050 160,152 413,202 U.S. Core Equity 2 Portfolio 2015 .................................................228,075 89,857 317,932 2016 .................................................281,321 296,061 577,382 U.S. Vector Equity Portfolio 2015 .................................................51,799 109,045 160,844 2016 .................................................59,624 119,588 179,212 U.S. Small Cap Portfolio 2015 .................................................105,110 268,312 373,422 2016 .................................................135,940 503,185 639,125 U.S. Micro Cap Portfolio 2015 .................................................39,933 278,651 318,584 2016 .................................................43,406 267,830 311,236 DFA Real Estate Securities Portfolio 2015 .................................................220,092 — 220,092 2016 .................................................199,996 — 199,996 Large Cap International Portfolio 2015 .................................................85,101 — 85,101 2016 .................................................92,122 — 92,122 International Core Equity Portfolio 2015 .................................................367,607 — 367,607 2016 .................................................387,589 — 387,589 International Small Company Portfolio 2015 .................................................235,604 250,320 485,924 2016 .................................................283,791 207,859 491,650 Global Small Company Portfolio 2015 ................................................. — — — 2016 ................................................. — — — Japanese Small Company Portfolio 2015 .................................................7,758 — 7,758 2016 .................................................6,534 — 6,534 Asia Pacific Small Company Portfolio 2015 .................................................16,487 — 16,487 2016 .................................................7,760 — 7,760 United Kingdom Small Company Portfolio 2015 .................................................1,068 2,151 3,219 2016 .................................................1,389 1,632 3,021 Continental Small Company Portfolio 2015 .................................................4,771 — 4,771 2016 .................................................6,377 — 6,377 DFA International Real Estate Securities Portfolio 2015 .................................................182,724 — 182,724 2016 .................................................60,576 — 60,576 DFA Global Real Estate Securities Portfolio 2015 .................................................124,281 — 124,281 2016 .................................................97,767 — 97,767 147 Net Investment Income and Short-Term Capital Gains Long-Term Capital Gains Total DFA International Small Cap Value Portfolio 2015 .................................................$224,376 $207,080 $431,456 2016 .................................................381,199 182,540 563,739 International Vector Equity Portfolio 2015 .................................................38,097 10,950 49,047 2016 .................................................43,651 5,716 49,367 World ex U.S. Value Portfolio 2015 .................................................3,283 — 3,283 2016 .................................................5,358 — 5,358 World ex U.S. Targeted Value Portfolio 2015 .................................................3,902 402 4,304 2016 .................................................4,374 — 4,374 World ex U.S. Core Equity Portfolio 2015 .................................................15,824 — 15,824 2016 .................................................36,005 — 36,005 World Core Equity Portfolio 2015 .................................................2,679 232 2,911 2016 .................................................5,800 132 5,932 Selectively Hedged Global Equity Portfolio 2015 .................................................4,968 1,915 6,883 2016 .................................................6,448 620 7,068 Emerging Markets Portfolio 2015 .................................................73,891 — 73,891 2016 .................................................89,527 — 89,527 Emerging Markets Small Cap Portfolio 2015 .................................................102,968 88,636 191,604 2016 .................................................124,387 36,697 161,084 Emerging Markets Value Portfolio 2015 .................................................351,213 — 351,213 2016 .................................................439,072 — 439,072 Emerging Markets Core Equity Portfolio 2015 .................................................304,141 — 304,141 2016 .................................................349,434 — 349,434 Global Small Company Portfolio commenced operations on January 18, 2017 and did not pay any distributions for the years ended October 31, 2015 and October 31, 2016. At October 31, 2016, the following net investment income and short-term capital gains and long-term capital gains distributions designated for federal income tax purposes are due to the utilization of accumulated earnings and profits distributed to shareholders upon redemption of shares (amounts in thousands): Net Investment Income and Short-Term Capital Gains Long-Term Capital Gains Total Enhanced U.S. Large Company Portfolio ................... $(274) $ (261) $ (535) U.S. Large Cap Equity Portfolio ...........................(258) — (258) U.S. Large Cap Value Portfolio ............................(14,344) (18,475) (32,819) U.S. Targeted Value Portfolio .............................(5,900) (15,974) (21,874) U.S. Small Cap Value Portfolio ............................(7,917) (37,500) (45,417) U.S. Core Equity 1 Portfolio ..............................(6,342) (1,746) (8,088) U.S. Core Equity 2 Portfolio ..............................(6,490) (2,811) (9,301) 148 Net Investment Income and Short-Term Capital Gains Long-Term Capital Gains Total U.S. Vector Equity Portfolio ............................... $(2,769) $ (5,072) $ (7,841) U.S. Small Cap Portfolio .................................(7,237) (17,565) (24,802) U.S. Micro Cap Portfolio .................................(2,066) (12,862) (14,928) DFA Real Estate Securities Portfolio .......................(2,701) (750) (3,451) Large Cap International Portfolio .......................... — — — International Core Equity Portfolio .........................(12,864) — (12,864) International Small Company Portfolio ......................(11,313) (10,494) (21,807) Global Small Company Portfolio ........................... — — — Japanese Small Company Portfolio ........................ — — — Asia Pacific Small Company Portfolio ...................... — — — United Kingdom Small Company Portfolio ...................(149) (182) (331) Continental Small Company Portfolio ....................... — — — DFA International Real Estate Securities Portfolio ............(11,400) — (11,400) DFA Global Real Estate Securities Portfolio .................(3,047) (364) (3,411) DFA International Small Cap Value Portfolio .................(15,840) (19,436) (35,276) International Vector Equity Portfolio ........................(2,180) (179) (2,359) World ex U.S. Value Portfolio ............................. — — — World ex U.S. Targeted Value Portfolio .....................(367) — (367) World ex U.S. Core Equity Portfolio ........................(1,353) — (1,353) World Core Equity Portfolio ...............................(67) (14) (81) Selectively Hedged Global Equity Portfolio ..................(268) (101) (369) Emerging Markets Portfolio ...............................(4,360) — (4,360) Emerging Markets Small Cap Portfolio ......................(7,272) (6,089) (13,361) Emerging Markets Value Portfolio .........................(12,432) — (12,432) Emerging Markets Core Equity Portfolio ....................(12,170) — (12,170) At October 31, 2016, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands): Undistributed Net Investment Income and Short-Term Capital Gains Undistributed Long-Term Capital Gains Capital Loss Carryforwards Unrealized Appreciation (Depreciation) Total Net Distributable Earnings (Accumulated Losses) Enhanced U.S. Large Company Portfolio .........................$ 2,930 $ 4,088 — $ (5) $ 7,013 U.S. Large Cap Equity Portfolio .......1,891 — $ (11,064) 54,208 45,035 U.S. Large Cap Value Portfolio ........19,642 446,140 — 4,487,495 4,953,277 U.S. Targeted Value Portfolio .........17,723 282,315 — 890,310 1,190,348 U.S. Small Cap Value Portfolio ........16,385 533,286 — 2,185,837 2,735,508 U.S. Core Equity 1 Portfolio ..........33,863 71,615 — 3,471,018 3,576,496 U.S. Core Equity 2 Portfolio ..........27,061 122,467 — 4,229,205 4,378,733 U.S. Vector Equity Portfolio .......... 562 101,957 — 895,232 997,751 U.S. Small Cap Portfolio .............18,404 343,189 — 2,071,208 2,432,801 U.S. Micro Cap Portfolio .............4,043 255,836 — 1,277,801 1,537,680 DFA Real Estate Securities Portfolio . . . 39,164 66,384 — 2,060,852 2,166,400 Large Cap International Portfolio ......16,290 — (209,528) 208,151 14,913 International Core Equity Portfolio .....87,644 — (362,544) 428,070 153,170 International Small Company Portfolio .........................81,583 251,071 — 647,525 980,179 Global Small Company Portfolio ....... — — — — — Japanese Small Company Portfolio ....9,316 — (31,648) 61,150 38,818 Asia Pacific Small Company Portfolio . . 8,100 — (21,813) (16,408) (30,121) 149 Undistributed Net Investment Income and Short-Term Capital Gains Undistributed Long-Term Capital Gains Capital Loss Carryforwards Unrealized Appreciation (Depreciation) Total Net Distributable Earnings (Accumulated Losses) United Kingdom Small Company Portfolio ........................ $ 433 $1,684 — $ 1,926 $ 4,043 Continental Small Company Portfolio . . 705 — $ (10,132) 37,037 27,610 DFA International Real Estate Securities Portfolio ........................298,685 — (201,001) (356,853) (259,169) DFA Global Real Estate Securities Portfolio ........................63,339 13,527 — 657,422 734,288 DFA International Small Cap Value Portfolio ........................97,358 410,184 — 916,807 1,424,349 International Vector Equity Portfolio ....11,116 4,040 — 85,341 100,497 World ex U.S. Value Portfolio ......... 986 —(2,709) (1,298) (3,021) World ex U.S. Targeted Value Portfolio ........................1,024 — (8,263) 27,665 20,426 World ex U.S. Core Equity Portfolio ....7,807 — (12,063) (12,467) (16,723) World Core Equity Portfolio ........... 273 1,231 — (1,033) 471 Selectively Hedged Global Equity Portfolio ........................5,104 2,369 — 11,613 19,086 Emerging Markets Portfolio...........23,714 — (220,310) 958,300 761,704 Emerging Markets Small Cap Portfolio ........................65,038 117,097 — 135,765 317,900 Emerging Markets Value Portfolio .....72,788 — (1,056,563) (1,226,944) (2,210,719) Emerging Markets Core Equity Portfolio ........................67,932 — (803,339) 809,224 73,817 For federal income tax purposes, the Fund measures its capital loss carryforwards annually at October 31, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by these Portfolios after October 31, 2011 will not be subject to expiration and will retain their character as either short-term or long-term capital losses. In addition, such losses must be utilized prior to the losses incurred in the years preceding enactment. As of October 31, 2016, the Portfolios had the following capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands): Expires on October 31, 2017 2018 2019 Unlimited Total Enhanced U.S. Large Company Portfolio ............. — — — — — U.S. Large Cap Equity Portfolio ..................... — — — $11,064 $ 11,064 U.S. Large Cap Value Portfolio ..................... — — — — — U.S. Targeted Value Portfolio ....................... — — — — — U.S. Small Cap Value Portfolio ...................... — — — — — U.S. Core Equity 1 Portfolio ........................ — — — — — U.S. Core Equity 2 Portfolio ........................ — — — — — U.S. Vector Equity Portfolio ........................ — — — — — U.S. Small Cap Portfolio ........................... — — — — — U.S. Micro Cap Portfolio ........................... — — — — — DFA Real Estate Securities Portfolio ................. — — — — — Large Cap International Portfolio ....................$135,392 $14,311 $12,549 47,275 209,527 International Core Equity Portfolio ...................53,176 — — 309,368 362,544 International Small Company Portfolio ................ — — — — — Global Small Company Portfolio .................... — — — — — 150 Expires on October 31, 2017 2018 2019 Unlimited Total Japanese Small Company Portfolio ................$13,897 $12,208 $ 5,543 — $ 31,648 Asia Pacific Small Company Portfolio ..............8,261 — — $ 13,552 21,813 United Kingdom Small Company Portfolio .......... — — — — — Continental Small Company Portfolio ..............4,880 5,252 — — 10,132 DFA International Real Estate Securities Portfolio ....34,576 38,689 69,466 58,270 201,001 DFA Global Real Estate Securities Portfolio ......... — — — — — DFA International Small Cap Value Portfolio ........ — — — — — International Vector Equity Portfolio ................ — — — — — World ex U.S. Value Portfolio ..................... — — 345 2,364 2,709 World ex U.S. Targeted Value Portfolio ............. — — —8,263 8,263 World ex U.S. Core Equity Portfolio ................ — — —12,063 12,063 World Core Equity Portfolio ...................... — — — — — Selectively Hedged Global Equity Portfolio .......... — — — — — Emerging Markets Portfolio ...................... — — —220,310 220,310 Emerging Markets Small Cap Portfolio ............. — — — — — Emerging Markets Value Portfolio ................. — — —1,056,563 1,056,563 Emerging Markets Core Equity Portfolio ............26,444 — — 776,895 803,339 During the year ended October 31, 2016, the Portfolios utilized the following capital loss carryforwards to offset realized capital gains for federal income tax purposes (amounts in thousands): DFA Real Estate Securities Portfolio .........................................$10,635 Large Cap International Portfolio ............................................40,352 Japanese Small Company Portfolio ..........................................19,964 Continental Small Company Portfolio .........................................6,882 DFA International Real Estate Securities Portfolio ..............................1,010 World ex U.S. Targeted Value Portfolio .......................................6,624 151 At April 30, 2017, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands): Federal Tax Cost Unrealized Appreciation Unrealized Depreciation Net Unrealized Appreciation (Depreciation) Enhanced U.S. Large Company Portfolio ............ $253,895 $ 364 $ (286) $ 78 U.S. Large Cap Equity Portfolio ....................902,815 188,709 (23,794) 164,915 U.S. Large Cap Value Portfolio .....................14,715,903 6,349,085 — 6,349,085 U.S. Targeted Value Portfolio ......................9,616,637 2,339,752 (577,039) 1,762,713 U.S. Small Cap Value Portfolio .....................12,632,364 4,364,774 (817,511) 3,547,263 U.S. Core Equity 1 Portfolio .......................14,583,848 6,025,876 (486,044) 5,539,832 U.S. Core Equity 2 Portfolio .......................15,788,786 7,205,922 (673,386) 6,532,536 U.S. Vector Equity Portfolio ........................3,681,814 1,643,521 (221,207) 1,422,314 U.S. Small Cap Portfolio ..........................15,622,391 4,475,515 (822,709) 3,652,806 U.S. Micro Cap Portfolio ..........................4,874,430 2,274,674 (344,021) 1,930,653 DFA Real Estate Securities Portfolio ................6,201,264 2,329,798 (168,021) 2,161,777 Large Cap International Portfolio ...................3,858,942 855,138 (300,193) 554,945 International Core Equity Portfolio ..................20,405,648 4,058,982 (1,687,027) 2,371,955 International Small Company Portfolio ...............10,258,764 1,915,133 (202,627) 1,712,506 Global Small Company Portfolio ....................10,000 366 (22) 344 Japanese Small Company Portfolio .................454,394 84,602 — 84,602 Asia Pacific Small Company Portfolio ................291,933 — (9,005) (9,005) United Kingdom Small Company Portfolio ............35,775 7,350 — 7,350 Continental Small Company Portfolio ................294,669 91,879 — 91,879 DFA International Real Estate Securities Portfolio .....5,138,575 — (251,643) (251,643) DFA Global Real Estate Securities Portfolio ..........5,088,843 723,634 (91,572) 632,062 DFA International Small Cap Value Portfolio ..........13,025,452 3,490,261 (1,306,054) 2,184,207 International Vector Equity Portfolio .................2,088,346 479,904 (181,380) 298,524 World ex U.S. Value Portfolio ......................197,778 18,897 — 18,897 World ex U.S. Targeted Value Portfolio ..............336,394 66,293 (17,032) 49,261 World ex U.S. Core Equity Portfolio .................2,156,504 298,254 (119,365) 178,889 World Core Equity Portfolio ........................403,605 45,388 — 45,388 Selectively Hedged Global Equity Portfolio ...........272,352 44,823 — 44,823 Emerging Markets Portfolio ........................4,259,543 1,428,825 — 1,428,825 Emerging Markets Small Cap Portfolio ...............5,833,114 672,717 — 672,717 Emerging Markets Value Portfolio ..................17,034,785 952,209 — 952,209 Emerging Markets Core Equity Portfolio .............20,395,196 4,876,344 (2,176,643) 2,699,701 The difference between book-basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales and investments in passive foreign investment companies. Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed the Portfolios’ tax positions and has concluded that no additional provision for income tax is required in the Portfolios’ financial statements. The Portfolios are not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Portfolios’ federal tax returns for the current fiscal year remain subject to examination by the Internal Revenue Service. 152 G. Capital Share Transactions: The capital share transactions by class were as follows (amounts in thousands): Six Months Ended April 30, 2017 YearEnded Oct. 31, 2016 (Unaudited) Amount Shares Amount Shares U.S. Targeted Value Portfolio Class R1 Shares Shares Issued ....................................... $16,847 696 $ 10,885 541 Shares Issued in Lieu of Cash Distributions ...............1,626 67 2,087 104 Shares Redeemed ...................................(5,235) (219) (16,510) (828) Net Increase (Decrease) — Class R1 Shares ............... $13,238 544 $ (3,538) (183) Class R2 Shares Shares Issued ....................................... $47,124 1,981 $ 55,695 2,692 Shares Issued in Lieu of Cash Distributions ...............6,408 266 7,874 394 Shares Redeemed ...................................(39,911) (1,674) (48,930) (2,390) Net Increase (Decrease) — Class R2 Shares ............... $13,621 573 $ 14,639 696 Institutional Class Shares Shares Issued ....................................... $1,571,274 65,400 $ 1,922,986 96,220 Shares Issued in Lieu of Cash Distributions ...............314,687 12,982 353,719 17,629 Shares Redeemed ...................................(1,315,801) (54,822) (1,368,182) (67,152) Net Increase (Decrease) — Institutional Class Shares ........ $570,160 23,560 $ 908,523 46,697 Emerging Markets Value Portfolio Class R2 Shares Shares Issued ....................................... $16,043 637 $ 26,972 1,227 Shares Issued in Lieu of Cash Distributions ............... 481 20 2,365 110 Shares Redeemed ...................................(99,425) (3,740) (15,075) (714) Net Increase (Decrease) — Class R2 Shares ............... $(82,901) (3,083) $ 14,262 623 Institutional Class Shares Shares Issued ....................................... $1,415,211 54,931 $ 2,794,365 131,949 Shares Issued in Lieu of Cash Distributions ...............77,713 3,214 413,784 19,201 Shares Redeemed ...................................(1,614,007) (63,070) (3,524,430) (162,649) Net Increase (Decrease) — Institutional Class Shares ........ $(121,083) (4,925) $ (316,281) (11,499) H. Financial Instruments: In accordance with the Portfolios’ investment objectives and policies, the Portfolios may invest either directly or indirectly through their investment in a corresponding Master Fund, in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. Foreign Market Risks:Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Portfolios may be inhibited. 153 Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Portfolios. 2. Forward Currency Contracts: The Selectively Hedged Global Equity Portfolio may acquire and sell forward currency contracts to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies (foreign exchange rate risk). The 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 Portfolio’s currency exposure with respect to a foreign market will be based primarily on the Portfolio’s existing exposure to a given foreign currency. Each contract is valued daily and the change in value is recorded by the Portfolio as an unrealized gain or loss, which is presented in the Statements of Operations as the change in unrealized appreciation or depreciation from translation of foreign-currency-denominated amounts. When the contract is closed or offset with the same counterparty, the Portfolio records a realized gain or loss equal to the change in the value of the contract when it was opened and the value at the time it was closed or offset. This is presented in the Statements of Operations as a net realized gain or loss on foreign currency transactions. 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. At April 30, 2017, the Selectively Hedged Global Equity Portfolio had entered into the following contracts and the net unrealized foreign exchange gain (loss) is reflected in the accompanying financial statements (amounts in thousands): Selectively Hedged Global Equity Portfolio Settlement Date Currency Amount*Currency Counterparty Contract Amount Value at April 30, 2017 Unrealized Foreign Exchange Gain (Loss) 05/03/17 (8,864) Canadian Dollar JP Morgan $ (6,633) $ (6,495) $ 138 05/31/17 (13,140) Denmark Krone Citibank, N.A. (1,924) (1,927) (3) 05/02/17 24,848 Euro Bank of America Corp. 27,019 27,066 47 05/02/17 (24,848) Euro Bank of America Corp. (27,041) (27,066) (25) 06/01/17 (26,005) Euro Bank of America Corp. (28,317) (28,366) (49) 05/04/17 81,604 Hong Kong Dollar State Street Bank and Trust 10,492 10,491 (1) 05/04/17 (81,604) Hong Kong Dollar JP Morgan (10,512) (10,491) 21 06/02/17 (83,400) Hong Kong Dollar State Street Bank and Trust (10,730) (10,729) 1 05/08/17 (2,697,719) Japanese Yen State Street Bank and Trust (24,194) (24,205) (11) 05/24/17 (7,464) Norwegian Krone Citibank, N.A. (865) (870) (5) 05/24/17 (1,606) Singapore Dollar Citibank, N.A. (1,149) (1,149) — 05/23/17 (26,832) Swedish Krona JP Morgan (3,002) (3,032) (30) 05/24/17 (6,318) Swiss Franc State Street Bank and Trust (6,336) (6,357) (21) 05/30/17 (13,148) UK Pound Sterling JP Morgan (16,868) (17,041) (173) $(100,060) $(100,171) $(111) * Positive Currency Amount represents a purchase contract and a Currency Amount in parentheses represents a sale contract. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currency relative to the U.S. dollar. 3.Futures Contracts:Each Portfolio noted 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 Portfolios. The Portfolios, however, do not intend to sell futures contracts to establish short positions in individual securities. The Enhanced U.S. Large Company Portfolio may also use futures contracts and options thereon to hedge against securities prices or as part of its overall investment strategy. The Selectively Hedged Global Equity Portfolio may also use futures contracts to hedge some or all of the currency exposure of its foreign securities. Upon entering into a futures contract, the Portfolios deposit cash or pledge U.S. Government 154 securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Portfolios as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolios record a realized gain or loss, which is presented in the Statements of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Portfolios could lose more than the initial margin requirements. The Portfolios entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. At April 30, 2017, the following Portfolios had outstanding futures contracts (dollar amounts in thousands): Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral Enhanced U.S. Large Company Portfolio . . . S&P 500 Emini Index ®06/16/17 2,162 $257,332 $2,996 — $257,332 $2,996 — Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral U.S. Large Cap Equity Portfolio ........... S&P500Emini Index ®06/16/17 30 $3,571 $1 — $3,571 $1 — Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral U.S. Targeted Value Portfolio ........... S&P500Emini Index ®06/16/17 765 $91,054 $518 $3,825 $91,054 $518 $3,825 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral U.S. Small Cap Value Portfolio ........... S&P500Emini Index ®06/16/17 999 $118,906 $1,190 $4,995 $118,906 $1,190 $4,995 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral U.S. Core Equity 1 Portfolio ........... S&P500Emini Index ®06/16/17 790 $94,030 $329 $3,950 $94,030 $329 $3,950 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral U.S. Core Equity 2 Portfolio ........... S&P500Emini Index ®06/16/17 1,340 $159,494 $1,281 $6,700 $159,494 $1,281 $6,700 155 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral U.S. Vector Equity Portfolio .............. S&P500Emini Index ®06/16/17 300 $35,708 $290 $1,500 $35,708 $290 $1,500 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral U.S. Small Cap Portfolio . . . Russell 2000 Index ®06/16/17 1,104 $ 77,192 $1,870 $5,673 U.S. Small Cap Portfolio . . . S&P 500 Emini Index ®06/16/17 723 86,055 540 1,640 $163,247 $2,410 $7,313 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral U.S. Micro Cap Portfolio . . . Russell 2000 Index ®06/16/17 318 $22,234 $544 $1,496 U.S. Micro Cap Portfolio . . . S&P 500 Emini Index ®06/16/17 184 21,901 178 489 $44,135 $722 $1,985 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral DFA Real Estate Securities Portfolio .............. S&P500Emini Index ®06/16/17 791 $94,149 $708 $3,955 $94,149 $708 $3,955 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral Large Cap International Portfolio ..............MINI MSCI EAFE Index ®06/16/17 85 $ 7,751 $363 $ 928 Large Cap International Portfolio .............. S&P500Emini Index ®06/16/17 226 26,900 219 559 $34,651 $582 $1,487 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral International Core Equity Portfolio .............. S&P500Emini Index ®06/16/17 1,620 $192,821 $1,157 $8,100 $192,821 $1,157 $8,100 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral International Small Company Portfolio ......Russell 2000 Index ®06/16/17 240 $ 16,781 $ 411 $1,396 International Small Company Portfolio ...... S&P500Emini Index ®06/16/17 770 91,649 957 3,258 $108,430 $1,368 $4,654 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral DFA International Real Estate Securities Portfolio .............. S&P500Emini Index ®06/16/17 280 $33,327 $249 $1,075 $33,327 $249 $1,075 156 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral DFA International Small Cap Value Portfolio .....Russell 2000 Index ®06/16/17 200 $ 13,984 $ 338 $1,505 DFA International Small Cap Value Portfolio ..... S&P500Emini Index ®06/16/17 1,140 135,689 901 4,015 $149,673 $1,239 $5,520 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral Selectively Hedged Global Equity Portfolio ......... S&P500Emini Index ®06/16/17 166 $19,758 $163 $830 $19,758 $163 $830 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral Emerging Markets Core Equity Portfolio .........MINI MSCI EAFE Index ®06/16/17 650 $ 31,818 $1,374 $3,840 Emerging Markets Core Equity Portfolio ......... S&P500Emini Index ®06/16/17 1,503 178,894 1,440 4,025 $210,712 $2,814 $7,865 The average volume (based on the open positions at each fiscal month-end) of derivative activity for the six months ended April 30, 2017 (amounts in thousands): Forward Currency Contracts Futures Enhanced U.S. Large Company Portfolio .......................... —$248,070 U.S. Large Cap Equity Portfolio .................................. — 595 U.S. Targeted Value Portfolio .................................... —105,895 U.S. Small Cap Value Portfolio ................................... —158,063 U.S. Core Equity 1 Portfolio ..................................... —125,651 U.S. Core Equity 2 Portfolio ..................................... —149,447 U.S. Vector Equity Portfolio ...................................... —33,923 U.S. Small Cap Portfolio ........................................ —163,955 U.S. Micro Cap Portfolio ........................................ —51,826 DFA Real Estate Securities Portfolio .............................. —60,381 Large Cap International Portfolio ................................. —30,252 International Core Equity Portfolio ................................ —165,345 International Small Company Portfolio ............................. —75,399 DFA International Real Estate Securities Portfolio ................... —35,315 DFA International Small Cap Value Portfolio ........................ —98,488 International Vector Equity Portfolio ............................... —1,208 Selectively Hedged Global Equity Portfolio .........................$164,519 17,576 Emerging Markets Core Equity Portfolio ........................... —185,710 Securities have been segregated as collateral for open futures contracts. 157 The following is a summary of the location of derivatives on the Portfolios’ Statements of Assets and Liabilities as of April 30, 2017: Location on the Statements of Assets and Liabilities Derivative Type Asset Derivatives Liability Derivatives Foreign exchange contracts Unrealized Gain on Forward Currency Contracts Unrealized Loss on Forward Currency Contracts Equity contracts Receivables: Futures Margin Variation Payables: Futures Margin Variation The following is a summary of the Portfolios’ derivative instrument holdings categorized by primary risk exposure as of April 30, 2017 (amounts in thousands): Asset Derivatives Value Total Value at April 30, 2017 Foreign Exchange Contracts Equity Contracts* Enhanced U.S. Large Company Portfolio ......................$2,996 — $2,996 U.S. Large Cap Equity Portfolio .............................. 1 — 1 U.S. Targeted Value Portfolio ................................ 518 — 518 U.S. Small Cap Value Portfolio ...............................1,190 — 1,190 U.S. Core Equity 1 Portfolio ................................. 329 — 329 U.S. Core Equity 2 Portfolio .................................1,281 — 1,281 U.S. Vector Equity Portfolio .................................. 290 — 290 U.S. Small Cap Portfolio ....................................2,410 — 2,410 U.S. Micro Cap Portfolio .................................... 722 — 722 DFA Real Estate Securities Portfolio .......................... 708 — 708 Large Cap International Portfolio ............................. 582 — 582 International Core Equity Portfolio ............................1,157 — 1,157 International Small Company Portfolio .........................1,368 — 1,368 DFA International Real Estate Securities Portfolio ............... 249 — 249 DFA International Small Cap Value Portfolio ....................1,239 — 1,239 Selectively Hedged Global Equity Portfolio ..................... 370 $207 163 Emerging Markets Core Equity Portfolio .......................2,814 — 2,814 Liability Derivatives Value Total Value at April 30, 2017 Foreign Exchange Contracts Equity Contracts* Selectively Hedged Global Equity Portfolio ..................... $(318) $(318) — * 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, 2017: Derivative Type Location of Gain (Loss) on Derivatives Foreign exchange contracts Net Realized Gain (Loss) on: Foreign Currency Transactions Change in Unrealized Appreciation (Depreciation) of: Translation of Foreign Currency Denominated Amounts Equity contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures 158 The following is a summary of the realized and change in unrealized gains and losses from the Portfolios’ derivative instrument holdings categorized by primary risk exposure through the six months ended April 30, 2017 (amounts in thousands): Realized Gain (Loss) on Derivatives Total Foreign Exchange Contracts Equity Contracts Enhanced U.S. Large Company Portfolio ..................$27,341 — $27,341 U.S. Large Cap Value Portfolio ...........................12,107 — 12,107 U.S. Targeted Value Portfolio ............................11,155 — 11,155 U.S. Small Cap Value Portfolio ...........................20,973 — 20,973 U.S. Core Equity 1 Portfolio .............................10,576 — 10,576 U.S. Core Equity 2 Portfolio .............................12,375 — 12,375 U.S. Vector Equity Portfolio ..............................2,950 — 2,950 U.S. Small Cap Portfolio ................................11,882 — 11,882 U.S. Micro Cap Portfolio ................................6,138 — 6,138 DFA Real Estate Securities Portfolio ......................5,170 — 5,170 Large Cap International Portfolio .........................1,906 — 1,906 International Core Equity Portfolio ........................14,372 — 14,372 International Small Company Portfolio .....................5,651 — 5,651 Global Small Company Portfolio .......................... (1) — (1) DFA International Real Estate Securities Portfolio ...........3,760 — 3,760 DFA Global Real Estate Securities Portfolio ................ 222 — 222 DFA International Small Cap Value Portfolio ................8,861 — 8,861 International Vector Equity Portfolio*...................... 158 — 158 World ex U.S. Value Portfolio ............................ 125 — 125 World ex U.S. Core Equity Portfolio ....................... 2 — 2 Selectively Hedged Global Equity Portfolio .................3,353 $1,881 1,472 Emerging Markets Portfolio ..............................2,394 — 2,394 Emerging Markets Small Cap Portfolio ....................3,141 — 3,141 Emerging Markets Value Portfolio ........................8,421 — 8,421 Emerging Markets Core Equity Portfolio ...................14,114 — 14,114 Change in Unrealized Appreciation (Depreciation) on Derivatives Total Foreign Exchange Contracts Equity Contracts Enhanced U.S. Large Company Portfolio .................. $2,744 — $ 2,744 U.S. Large Cap Equity Portfolio .......................... 1 — 1 U.S. Large Cap Value Portfolio ...........................4,884 — 4,884 U.S. Targeted Value Portfolio ............................2,557 — 2,557 U.S. Small Cap Value Portfolio ...........................5,136 — 5,136 U.S. Core Equity 1 Portfolio .............................3,553 — 3,553 U.S. Core Equity 2 Portfolio .............................4,911 — 4,911 U.S. Vector Equity Portfolio ..............................1,125 — 1,125 U.S. Small Cap Portfolio ................................6,700 — 6,700 U.S. Micro Cap Portfolio ................................2,384 — 2,384 DFA Real Estate Securities Portfolio ......................2,226 — 2,226 Large Cap International Portfolio .........................1,452 — 1,452 International Core Equity Portfolio ........................4,105 — 4,105 International Small Company Portfolio .....................4,157 — 4,157 DFA International Real Estate Securities Portfolio ........... 553 — 553 DFA International Small Cap Value Portfolio ................4,697 — 4,697 159 Change in Unrealized Appreciation (Depreciation) on Derivatives Total Foreign Exchange Contracts Equity Contracts World ex U.S. Value Portfolio ............................. $ 73 — $ 73 Selectively Hedged Global Equity Portfolio ...................(249) $(760) 511 Emerging Markets Portfolio ...............................1,766 — 1,766 Emerging Markets Small Cap Portfolio ...................... 753 — 753 Emerging Markets Value Portfolio ..........................3,185 — 3,185 Emerging Markets Core Equity Portfolio .....................6,261 — 6,261 * As of April 30, 2017, there were no futures contracts outstanding. During the six months ended April 30, 2017, 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 foreign exchange contracts and typically contains, among other things, provisions in the event of a default and/or termination event and may also include collateral posting items. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted, if any, and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out), including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the “Statement of assets and liabilities.” The following table presents the Portfolios’ gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Portfolios as of April 30, 2017 (Amounts in thousands): Description Gross Amounts of Recognized Assets (a) Net Amounts of Assets Presented in the Statements of Assets and Liabilities Gross Amounts Not Offset in the Statements of Assets and Liabilities Net Amount (c) Gross Amounts of Recognized Liabilities (a) Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities Gross Amounts Not Offset in the Statements of Assets and Liabilities Net Amount (e) Financial Instruments (b) Cash Collateral Received Financial Instruments (d) Cash Collateral Pledged Assets Liabilities Selectively Hedged Global Equity Portfolio Forward Currency Contracts ..........$207 $207 $(207) — — $318 $318 $(207) — $111 (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. 160 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 29, 2017, with its domestic custodian bank. A line of credit with similar terms was in effect through March 29, 2017. 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 28, 2018. 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 6, 2017. A line of credit with similar terms was in effect through January 6, 2017. 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 5, 2018. For the six months ended April 30, 2017, borrowings by the Portfolios under the lines of credit were as follows (amounts in thousands, except percentages and days): Weighted Average Interest Rate Weighted Average Loan Balance Number of Days Outstanding* Interest Expense Incurred Maximum Amount Borrowed During The Period U.S. Large Cap Equity Portfolio ..........1.40% $16,236 12 $ 8 $47,676 Global Small Company Portfolio ..........1.53% 58 10 — 90 DFA International Real Estate Securities Portfolio ............................1.37% 33,360 6 8 45,480 DFA Global Real Estate Securities Portfolio ............................1.27% 5,191 6 1 9,417 International Vector Equity Portfolio .......1.06% 669 1 — 669 World ex U.S. Value Portfolio ............1.44% 81 15 — 241 World ex U.S. Targeted Value Portfolio ....1.11% 137 2 — 197 World ex U.S. Core Equity Portfolio .......1.16% 2,265 6 — 3,897 World Core Equity Portfolio ..............1.35% 579 10 — 1,848 Emerging Markets Core Equity Portfolio ....1.41% 16,061 1 1 16,061 * Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2017, that each Portfolio’s available line of credit was utilized. There were no outstanding borrowings by Portfolios under the lines of credit as of April 30, 2017. 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, 2017. 161 J. Affiliated Trades: Cross trades for the six months ended April 30, 2017, 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. For the six months ended April 30, 2017, 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 ........................ $26,348 $ 7,835 $ (1,537) U.S. Targeted Value Portfolio ..........................157,413 336,075 61,896 U.S. Small Cap Value Portfolio .........................34,727 343,110 42,540 U.S. Core Equity 1 Portfolio ............................221,077 131,076 (15,810) U.S. Core Equity 2 Portfolio ............................282,546 146,437 2,571 U.S. Vector Equity Portfolio ............................48,934 75,621 13,551 U.S. Small Cap Portfolio ..............................244,755 139,283 56,451 U.S. Micro Cap Portfolio ..............................56,965 78,161 33,872 DFA Real Estate Securities Portfolio ....................5,605 4,252 (1,417) Large Cap International Portfolio ........................33,072 15,255 3,308 International Core Equity Portfolio ......................109,055 19,537 823 DFA Global Real Estate Securities Portfolio ...............4,511 — — DFA International Small Cap Value Portfolio ...............3,852 258,730 72,075 International Vector Equity Portfolio .....................7,363 2,416 89 World ex U.S. Targeted Value Portfolio ..................4,048 942 317 World ex U.S. Core Equity Portfolio .....................8,457 1,181 (294) Emerging Markets Core Equity Portfolio ..................15,082 415 (10) K. Securities Lending: As of April 30, 2017, 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 ........................................... $7,358 U.S. Targeted Value Portfolio ............................................461,073 U.S. Small Cap Value Portfolio ...........................................458,808 U.S. Core Equity 1 Portfolio ..............................................888,279 U.S. Core Equity 2 Portfolio ..............................................1,029,685 U.S. Vector Equity Portfolio ..............................................232,668 U.S. Small Cap Portfolio .................................................422,679 U.S. Micro Cap Portfolio .................................................154,958 DFA Real Estate Securities Portfolio .......................................121,807 Large Cap International Portfolio ..........................................93,462 International Core Equity Portfolio .........................................233,531 DFA International Real Estate Securities Portfolio ............................6,822 DFA International Small Cap Value Portfolio ................................58,434 International Vector Equity Portfolio .......................................13,896 162 Market Value World ex U.S. Targeted Value Portfolio ...................................... $3,750 World ex U.S. Core Equity Portfolio .........................................29,895 Emerging Markets Core Equity Portfolio .....................................888,874 Each Portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral in an amount (i) equal to at least 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) generally equal to 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) generally equal to 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Portfolio’s collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Portfolio or, at the option of the lending agent, to replace the securities. In the event of the bankruptcy of the borrower, a Portfolio could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value. Subject to their stated investment policies, each Portfolio will generally invest the cash collateral received for the loaned securities in the Money Market Series, an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. Each Portfolio also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, each Portfolio will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of April 30, 2017: Remaining Contractual Maturity of the Agreements As of April 30, 2017 Overnight and Continuous <30 days Between 30 & 90 days >90 days Total Securities Lending Transactions U.S. Large Cap Equity Portfolio Common Stocks .................... $31,088,275 — — — $ 31,088,275 U.S. Targeted Value Portfolio Common Stocks ....................1,703,830,892 — — — 1,703,830,892 U.S. Small Cap Value Portfolio Common Stocks ....................1,900,659,111 — — — 1,900,659,111 U.S. Core Equity 1 Portfolio Common Stocks, Rights/Warrants ......1,805,785,077 — — — 1,805,785,077 U.S. Core Equity 2 Portfolio Common Stocks, Rights/Warrants ......2,055,867,234 — — — 2,055,867,234 U.S. Vector Equity Portfolio Common Stocks, Rights/Warrants ......664,388,590 — — — 664,388,590 U.S. Small Cap Portfolio Common Stocks ....................3,518,843,904 — — — 3,518,843,904 U.S. Micro Cap Portfolio Common Stocks ....................952,804,374 — — — 952,804,374 163 Remaining Contractual Maturity of the Agreements As of April 30, 2017 Overnight and Continuous <30 days Between 30 & 90 days >90 days Total DFA Real Estate Securities Portfolio Common Stocks .................... $475,930,650 — — — $ 475,930,650 Large Cap International Portfolio Common Stocks, Preferred Stocks .....342,820,452 — — — 342,820,452 International Core Equity Portfolio Common Stocks, Preferred Stocks, Rights/Warrants ...................2,079,631,191 — — — 2,079,631,191 DFA International Real Estate Securities Portfolio Common Stocks ....................200,241,680 — — — 200,241,680 DFA Global Real Estate Securities Portfolio Common Stocks ....................174,736,767 — — — 174,736,767 DFA International Small Cap Value Portfolio Common Stocks, Rights/Warrants ......894,959,738 — — — 894,959,738 International Vector Equity Portfolio Common Stocks, Preferred Stocks, Rights/Warrants ...................209,216,208 — — — 209,216,208 World ex U.S. Targeted Value Portfolio Common Stocks ....................9,956,793 — — — 9,956,793 World ex U.S. Core Equity Portfolio Common Stocks, Preferred Stocks, Rights/Warrants ...................163,905,361 — — — 163,905,361 Emerging Markets Core Equity Portfolio Common Stocks, Rights/Warrants ......1,095,915,225 — — — 1,095,915,225 L. Shareholder Servicing Fees: The Class R1 Shares pay a shareholder servicing fee in an amount up to 0.10% and Class R2 Shares pay a shareholder servicing fee in an amount up to 0.25% of their annual average net assets to compensate service agents that provide shareholder servicing, record keeping, account maintenance and other services to investors in U.S. Targeted Value Portfolio Class R1 and Class R2 Shares and Emerging Markets Value Portfolio Class R2 Shares. M. Indemnitees; Contractual Obligations: Under the Fund’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. N. In-Kind Redemptions: During the six months ended April 30, 2017, the following Portfolios realized net gains (losses) on in-kind redemptions as follows: U.S. Small Cap Portfolio ..................................................$125,200 U.S. Small Cap Value Portfolio .............................................79,386 164 O. Other: At April 30, 2017, 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. Number of Shareholders Approximate Percentage of Outstanding Shares Enhanced U.S. Large Company Portfolio-Institutional Class Shares ........................................... 3 76% U.S. Large Cap Equity Portfolio-Institutional Class Shares ........ 3 90% U.S. Large Cap Value Portfolio-Institutional Class Shares ........ 3 71% U.S. Targeted Value Portfolio-Class R1 Shares ................ 4 87% U.S. Targeted Value Portfolio-Class R2 Shares ................ 7 77% U.S. Targeted Value Portfolio-Institutional Class Shares ......... 3 58% U.S. Small Cap Value Portfolio-Institutional Class Shares ........ 3 59% U.S. Core Equity 1 Portfolio-Institutional Class Shares ........... 6 82% U.S. Core Equity 2 Portfolio-Institutional Class Shares ........... 6 85% U.S. Vector Equity Portfolio-Institutional Class Shares ........... 4 86% U.S. Small Cap Portfolio-Institutional Class Shares ............. 3 51% U.S. Micro Cap Portfolio-Institutional Class Shares .............. 4 74% DFA Real Estate Securities Portfolio-Institutional Class Shares .... 4 76% Large Cap International Portfolio-Institutional Class Shares ....... 3 66% International Core Equity Portfolio-Institutional Class Shares ...... 4 72% International Small Company Portfolio-Institutional Class Shares . . 3 57% Global Small Company Portfolio-Institutional Class Shares ....... 3 94% Japanese Small Company Portfolio-Institutional Class Shares .... 4 86% Asia Pacific Small Company Portfolio-Institutional Class Shares . . . 3 91% United Kingdom Small Company Portfolio-Institutional Class Shares ........................................... 4 93% Continental Small Company Portfolio-Institutional Class Shares . . . 4 96% DFA International Real Estate Securities Portfolio-Institutional Class Shares ........................................... 4 88% DFA Global Real Estate Securities Portfolio-Institutional Class Shares ........................................... 3 70% DFA International Small Cap Value Portfolio-Institutional Class Shares ........................................... 4 68% International Vector Equity Portfolio-Institutional Class Shares .... 4 90% World ex U.S. Value Portfolio-Institutional Class Shares ......... 7 93% World ex U.S. Targeted Value Portfolio-Institutional Class Shares ........................................... 3 99% World ex U.S. Core Equity Portfolio-Institutional Class Shares .... 3 77% World Core Equity Portfolio-Institutional Class Shares ........... 4 83% Selectively Hedged Global Equity Portfolio-Institutional Class Shares ........................................... 4 96% Emerging Markets Portfolio-Institutional Class Shares ........... 4 66% Emerging Markets Small Cap Portfolio-Institutional Class Shares ........................................... 3 52% Emerging Markets Value Portfolio-Class R2 Shares ............. 4 96% Emerging Markets Value Portfolio-Institutional Class Shares ...... 2 34% Emerging Markets Core Equity Portfolio-Institutional Class Shares ........................................... 3 61% 165 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 Supreme Court of the United States to review the Second Circuit’s ruling, and that petition is pending. On January 6, 2017, the Court granted the shareholder defendant’s 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). Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has advised management that it does not believe that it is possible, at this early stage in the proceedings, to predict with any reasonable certainty the probable outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series can do so, no reduction of the net asset value of The U.S. Large Cap Value Series will be made relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain the full recovery the plaintiffs seek, the amount would be less than 1% of the net asset value of The U.S. Large Cap Value Series at this time. The U.S. Large Cap Value Series also cannot quantify the cost of the Lawsuits that could potentially be deducted from its net asset value. Therefore, at this time, those investors buying or redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the case may be, a price based on the net asset value of The U.S. Large Cap Value Series, with no adjustment relating to the Lawsuits. The attorneys’ fees and costs relating to the Lawsuits will be 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. P. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolios through the date that the financial statements were issued and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 166 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 funds paid distributions to shareholders of record a portion of which is estimated to be in excess of a fund’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 fund will not be available until the end of a fund’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 Portfolio Name Net income for the current or preceding fiscal year, and accumulated undistributed net income Accumulated undistributed net profits from the sale of securities or other properties Paid-in surplus or other capital source Enhanced U.S. Large Company Portfolio December 15, 2016 ...................................... 91% 0% 9% U.S. Large Cap Equity Portfolio December 15, 2016 ...................................... 91% 0% 9% U.S. Large Cap Value Portfolio December 15, 2016 ...................................... 89% 0% 11% U.S. Targeted Value Portfolio December 15, 2016 ...................................... 85% 0% 15% U.S. Small Cap Value Portfolio December 15, 2016 ...................................... 55% 0% 45% U.S. Core Equity 1 Portfolio December 14, 2016 ...................................... 90% 0% 10% U.S. Core Equity 2 Portfolio December 14, 2016 ...................................... 89% 0% 11% U.S. Vector Equity Portfolio December 15, 2016 ...................................... 85% 0% 15% U.S. Small Cap Portfolio December 15, 2016 ...................................... 78% 0% 22% U.S. Micro Cap Portfolio December 15, 2016 ...................................... 81% 0% 19% DFA Real Estate Securities Portfolio December 14, 2016 ...................................... 95% 0% 5% Large Cap International Portfolio December 14, 2016 ...................................... 72% 0% 28% International Core Equity Portfolio December 14, 2016 ...................................... 62% 0% 38% International Small Company Portfolio December 15, 2016 ...................................... 0% 0%100% Japanese Small Company Portfolio December 15, 2016 ...................................... 24% 0% 76% Asia Pacific Small Company Portfolio December 15, 2016 ...................................... 15% 0% 85% United Kingdom Small Company Portfolio December 15, 2016 ...................................... 59% 0% 41% Continental Small Company Portfolio December 15, 2016 ...................................... 36% 0% 64% 167 Estimated % Breakdown of Distribution Sources Portfolio Name Net income for the current or preceding fiscal year, and accumulated undistributed net income Accumulated undistributed net profits from the sale of securities or other properties Paid-in surplus or other capital source DFA International Real Estate Securities Portfolio December 14, 2016 ...................................... 0% 0%100% DFA Global Real Estate Securities Portfolio December 15, 2016 ...................................... 99% 0% 1% DFA International Small Cap Value Portfolio December 14, 2016 ...................................... 0% 0%100% International Vector Equity Portfolio December 14, 2016 ...................................... 53% 0% 47% World ex U.S. Value Portfolio December 15, 2016 ...................................... 80% 0% 20% World ex U.S. Targeted Value Portfolio December 15, 2016 ...................................... 83% 0% 17% World ex U.S. Core Equity Portfolio December 15, 2016 ...................................... 59% 0% 41% World Core Equity Portfolio March 30, 2017 .........................................100% 0% 0%* Selectively Hedged Global Equity Portfolio December 15, 2016 ...................................... 91% 0% 9% Emerging Markets Portfolio December 15, 2016 ...................................... 19% 0% 81% Emerging Markets Small Cap Portfolio December 15, 2016 ...................................... 30% 0% 70% Emerging Markets Value Portfolio December 15, 2016 ...................................... 0% 0%100% Emerging Markets Core Equity Portfolio December 14, 2016 ...................................... 26% 0% 74% * Amount is less than 1% 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. 168 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Table is shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Table below illustrates your fund’s costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return and “Expenses Paid During Period” reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.” Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund’s costs with those of other mutual funds. The hypothetical “Ending Account Value” and “Expenses Paid During Period” are derived from the fund’s actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The “Annualized Expense Ratio” represents the actual expenses for the six-month period indicated. Six Months Ended April 30, 2017 EXPENSE TABLES Beginning Account Value 11/01/16 Ending Account Value 04/30/17 Annualized Expense Ratio* Expenses Paid During Period* DFA Commodity Strategy Portfolio Actual Fund Return .......................................$1,000.00 $ 999.80 0.32% $1.59 Hypothetical 5% Annual Return .............................$1,000.00 $1,023.21 0.32% $1.61 * DFA Commodity Strategy Portfolio wholly owns Dimensional Cayman Commodity Fund I, LTD. The expenses shown reflect the combined expenses of Dimensional Cayman Commodity Fund I, LTD. and DFA Commodity Strategy Portfolio. Expenses are equal to the fund’s annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (181), then divided by the number of days in the year (365) to reflect the six-month period. 169 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For DFA Investment Dimensions Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. DFA Investment Dimensions Group Inc. filed its most recent Form N-Q with the SEC on March 30, 2017. They are available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. DFA Commodity Strategy Portfolio Corporate ......................45.4% Government ....................28.7% Foreign Corporate ...............19.6% Foreign Government .............5.8% Supranational ...................0.5% 100.0% 170 DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED SCHEDULE OF INVESTMENTS April 30, 2017 (Unaudited) Face Amount^Value† (000) BONDS — (68.8%) AUSTRALIA — (3.5%) Australia & New Zealand Banking Group, Ltd. # 1.250%, 06/13/17 .........8,000 $ 8,001,264 Commonwealth Bank of Australia 1.900%, 09/18/17 .........2,000 2,003,738 2.300%, 09/06/19 .........10,100 10,164,054 5.000%, 10/15/19 .........10,000 10,677,570 Macquarie Group, Ltd. ## 3.000%, 12/03/18 .........5,000 5,069,995 National Australia Bank, Ltd. ## 2.400%, 12/09/19 .........9,500 9,554,521 Westpac Banking Corp. 2.000%, 08/14/17 .........3,000 3,005,448 2.250%, 07/30/18 .........3,200 3,222,435 2.150%, 03/06/20 .........5,000 5,020,030 TOTAL AUSTRALIA ...........56,719,055 BELGIUM — (0.3%) Anheuser-Busch InBev Worldwide, Inc. 1.375%, 07/15/17 .........4,700 4,700,587 CANADA — (6.4%) Alberta, Province of Canada 1.900%, 12/06/19 .........5,000 5,014,735 Bank of Montreal 2.375%, 01/25/19 .........15,620 15,763,610 Potash Corp. of Saskatchewan, Inc. 6.500%, 05/15/19 .........1,446 1,563,075 Province of Ontario Canada 1.100%, 10/25/17 .........10,000 9,989,560 1.200%, 02/14/18 .........15,000 14,981,970 1.650%, 09/27/19 .........6,103 6,092,369 Royal Bank of Canada 1.500%, 01/16/18 .........1,180 1,180,338 2.200%, 07/27/18 .........1,005 1,012,283 1.800%, 07/30/18 .........8,492 8,508,542 1.500%, 07/29/19 .........4,625 4,580,845 Thomson Reuters Corp. 1.650%, 09/29/17 .........3,992 3,994,228 6.500%, 07/15/18 .........1,000 1,054,400 Toronto-Dominion Bank (The) 1.400%, 04/30/18 .........10,000 9,992,190 2.125%, 07/02/19 .........19,850 19,966,321 TOTAL CANADA ..............103,694,466 DENMARK — (0.9%) Nordea Bank AB 2.375%, 04/04/19 .........15,000 15,110,805 Face Amount^Value† (000) FINLAND — (0.4%) Municipality Finance P.L.C. 1.250%, 04/18/19 .........5,000 $ 4,960,700 1.750%, 05/21/19 .........1,150 1,152,045 TOTAL FINLAND ..............6,112,745 FRANCE — (2.1%) BNP Paribas SA 2.375%, 09/14/17 .........6,140 6,159,316 BPCE SA 1.625%, 01/26/18 .........1,950 1,946,746 Orange SA 1.625%, 11/03/19 .........2,000 1,975,522 Sanofi 1.250%, 04/10/18 .........1,800 1,798,738 Societe Generale SA 2.750%, 10/12/17 ......... 980 985,116 Total Capital Canada, Ltd. # 1.450%, 01/15/18 .........2,000 1,999,182 Total Capital International SA 1.550%, 06/28/17 .........1,040 1,040,468 2.100%, 06/19/19 .........18,335 18,453,132 TOTAL FRANCE ..............34,358,220 GERMANY — (1.7%) Bayer U.S. Finance LLC 2.375%, 10/08/19 .........2,000 2,013,660 Daimler Finance North America LLC ## 1.650%, 03/02/18 .........4,490 4,488,357 Deutsche Bank AG 6.000%, 09/01/17 .........4,300 4,360,402 Deutsche Telekom International Finance BV ## 1.500%, 09/19/19 .........3,000 2,956,278 State of North Rhine-Westphalia 1.625%, 01/22/20 .........3,650 3,628,917 Volkswagen Group of America Finance LLC ## 2.125%, 05/23/19 .........10,000 9,981,420 TOTAL GERMANY ............27,429,034 IRELAND — (0.5%) Actavis, Inc. 1.875%, 10/01/17 .........7,500 7,505,925 Medtronic, Inc. 1.375%, 04/01/18 ......... 300 299,777 TOTAL IRELAND ..............7,805,702 ITALY — (0.5%) Enel Finance International NV ## 6.250%, 09/15/17 .........4,300 4,372,975 171 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED Face Amount^Value† (000) ITALY — (Continued) Intesa Sanpaolo SpA 3.875%, 01/16/18 .........1,500 $ 1,517,981 3.875%, 01/15/19 .........2,570 2,627,270 TOTAL ITALY .................8,518,226 JAPAN — (2.5%) American Honda Finance Corp. 1.550%, 12/11/17 .........2,575 2,578,404 Bank of Tokyo-Mitsubishi UFJ, Ltd. (The) 2.350%, 09/08/19 ......... 850 851,765 Mizuho Bank, Ltd. ## 1.550%, 10/17/17 .........7,700 7,699,692 Nomura Holdings, Inc. 2.750%, 03/19/19 .........1,034 1,044,069 Sumitomo Mitsui Banking Corp. 2.450%, 01/10/19 .........3,500 3,532,067 Toyota Motor Credit Corp. 2.000%, 10/24/18 .........4,149 4,176,056 1.400%, 05/20/19 .........9,500 9,442,382 2.125%, 07/18/19 .........1,080 1,087,884 1.550%, 10/18/19 .........10,000 9,937,610 TOTAL JAPAN ................40,349,929 NETHERLANDS — (2.8%) Cooperatieve Rabobank UA 1.700%, 03/19/18 .........2,800 2,803,987 2.250%, 01/14/19 .........13,665 13,761,133 Heineken NV ## 1.400%, 10/01/17 .........2,500 2,499,060 ING Bank NV ## 2.500%, 10/01/19 .........3,000 3,021,633 LyondellBasell Industries NV 5.000%, 04/15/19 .........1,022 1,073,592 Mondelez International, Inc. 1.625%, 10/28/19 .........2,000 1,970,892 Nederlandse Waterschapsbank NV 1.625%, 03/04/20 .........4,362 4,338,698 Shell International Finance BV 1.900%, 08/10/18 .........4,000 4,019,764 2.000%, 11/15/18 .........3,250 3,267,820 4.300%, 09/22/19 .........9,108 9,630,772 TOTAL NETHERLANDS ........46,387,351 NORWAY — (0.7%) Kommunalbanken A.S. 1.750%, 05/28/19 .........5,000 5,010,780 1.625%, 01/15/20 .........5,450 5,433,323 Statoil ASA 1.950%, 11/08/18 .........1,035 1,038,899 TOTAL NORWAY 11,483,002 SPAIN — (0.7%) Iberdrola Finance Ireland, Ltd. ## 5.000%, 09/11/19 .........2,000 2,124,596 Face Amount^Value† (000) SPAIN — (Continued) Santander Holdings USA, Inc. 2.650%, 04/17/20 .........4,992 $ 4,979,720 Telefonica Emisiones SAU 6.221%, 07/03/17 .........2,000 2,015,900 3.192%, 04/27/18 .........1,800 1,824,044 TOTAL SPAIN ................10,944,260 SUPRANATIONAL ORGANIZATION OBLIGATIONS — (0.4%) Council Of Europe Development Bank 1.750%, 11/14/19 .........7,000 7,025,158 SWEDEN — (1.7%) Svensk Exportkredit AB 1.875%, 06/17/19 .........17,000 17,071,774 Svenska Handelsbanken AB 1.625%, 03/21/18 .........5,000 4,996,680 2.250%, 06/17/19 .........5,000 5,030,595 TOTAL SWEDEN .............27,099,049 SWITZERLAND — (1.2%) Credit Suisse AG New York 1.375%, 05/26/17 .........1,000 1,000,202 Credit Suisse New York 1.700%, 04/27/18 .........7,595 7,589,296 UBS AG 1.800%, 03/26/18 .........3,850 3,856,715 2.375%, 08/14/19 .........1,500 1,510,785 2.350%, 03/26/20 .........6,000 6,036,816 TOTAL SWITZERLAND ........19,993,814 UNITED KINGDOM — (1.1%) AstraZeneca P.L.C. 1.750%, 11/16/18 .........6,958 6,966,864 BP Capital Markets P.L.C. # 4.750%, 03/10/19 .........4,110 4,325,915 Diageo Capital P.L.C. 1.500%, 05/11/17 .........3,500 3,500,504 GlaxoSmithKline Capital, Inc. 5.650%, 05/15/18 .........1,028 1,072,306 HSBC USA, Inc. 1.625%, 01/16/18 ......... 820 819,791 Vodafone Group P.L.C. 1.250%, 09/26/17 ......... 750 749,605 TOTAL UNITED KINGDOM .....17,434,985 UNITED STATES — (41.4%) 3M Co. 1.625%, 06/15/19 .........3,200 3,209,283 Abbott Laboratories 5.125%, 04/01/19 .........2,835 2,994,959 Air Products & Chemicals, Inc. 1.200%, 10/15/17 ......... 700 699,860 American Express Co. 7.000%, 03/19/18 .........8,212 8,593,833 172 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED Face Amount^Value† (000) UNITED STATES — (Continued) American Honda Finance Corp. 2.250%, 08/15/19 .........2,000 $ 2,023,338 American International Group, Inc. 2.300%, 07/16/19 .........2,000 2,008,466 AmerisourceBergen Corp. 4.875%, 11/15/19 .........2,618 2,792,987 Anthem, Inc. 5.875%, 06/15/17 .........3,100 3,116,018 Apple, Inc. 1.100%, 08/02/19 .........4,045 4,004,412 1.900%, 02/07/20 .........38,000 38,206,834 Assurant, Inc. 2.500%, 03/15/18 ......... 203 204,169 AT&T, Inc. 1.400%, 12/01/17 .........3,400 3,396,376 2.300%, 03/11/19 ......... 575 577,744 Autodesk, Inc. 1.950%, 12/15/17 .........5,650 5,653,599 Bank of America Corp. 2.600%, 01/15/19 .........4,000 4,039,268 Bank of New York Mellon Corp. (The) 2.100%, 01/15/19 .........1,000 1,005,929 BB&T Corp. 1.450%, 01/12/18 ......... 170 170,114 Becton Dickinson and Co. 1.800%, 12/15/17 .........4,900 4,896,942 Berkshire Hathaway, Inc. 1.550%, 02/09/18 .........2,500 2,504,728 2.100%, 08/14/19 .........2,800 2,823,408 Boston Scientific Corp. 2.650%, 10/01/18 .........1,000 1,009,656 Branch Banking & Trust Co. 2.300%, 10/15/18 .........1,000 1,007,006 Bristol-Myers Squibb Co. 0.875%, 08/01/17 .........1,685 1,683,270 Burlington Northern Santa Fe LLC 4.700%, 10/01/19 .........1,250 1,337,381 CA, Inc. 5.375%, 12/01/19 .........5,245 5,656,512 Capital One Bank USA NA 2.300%, 06/05/19 .........2,742 2,746,376 Capital One NA/Mclean 2.400%, 09/05/19 .........6,536 6,563,745 Cardinal Health, Inc. 1.900%, 06/15/17 .........5,000 5,003,980 1.700%, 03/15/18 .........5,239 5,240,965 Caterpillar Financial Services Corp. 2.450%, 09/06/18 .........6,000 6,058,794 7.050%, 10/01/18 .........5,000 5,362,135 CBS Corp. 2.300%, 08/15/19 .........1,500 1,508,870 Chevron Corp. 1.345%, 11/15/17 .........3,435 3,435,299 1.718%, 06/24/18 .........1,425 1,429,836 2.193%, 11/15/19 .........15,000 15,135,765 Face Amount^Value† (000) UNITED STATES — (Continued) Cisco Systems, Inc. # 1.400%, 02/28/18 .........9,958 $ 9,968,247 2.125%, 03/01/19 .........10,000 10,103,200 1.400%, 09/20/19 .........14,935 14,838,251 Citigroup, Inc. 2.050%, 12/07/18 .........7,281 7,293,982 2.550%, 04/08/19 ......... 750 757,245 Comcast Corp. 5.700%, 05/15/18 ......... 732 763,218 Comerica, Inc. 2.125%, 05/23/19 .........4,000 3,997,328 ConocoPhillips Co. 1.050%, 12/15/17 .........3,000 2,990,730 1.500%, 05/15/18 .........3,500 3,496,924 CVS Health Corp. 2.250%, 12/05/18 .........7,000 7,051,240 Danaher Corp. 1.650%, 09/15/18 .........2,000 2,003,816 Dollar General Corp. 1.875%, 04/15/18 .........2,334 2,337,429 Duke Energy Corp. 1.625%, 08/15/17 .........1,019 1,019,774 Eastman Chemical Co. 2.700%, 01/15/20 .........3,883 3,945,555 eBay, Inc. 1.350%, 07/15/17 .........7,000 6,998,334 EI du Pont de Nemours & Co. 6.000%, 07/15/18 .........11,927 12,529,313 Enterprise Products Operating LLC 1.650%, 05/07/18 .........5,000 4,995,000 Exxon Mobil Corp. 1.439%, 03/01/18 .........8,200 8,208,462 1.305%, 03/06/18 .........19,430 19,429,417 1.912%, 03/06/20 .........2,100 2,111,687 Ford Motor Credit Co. LLC 5.000%, 05/15/18 .........1,500 1,546,469 2.551%, 10/05/18 .........5,000 5,034,160 General Mills, Inc. 2.200%, 10/21/19 .........3,500 3,515,228 General Motors Financial Co., Inc. 3.150%, 01/15/20 .........5,000 5,094,345 Gilead Sciences, Inc. 1.850%, 09/04/18 .........7,064 7,084,803 Goldman Sachs Group, Inc. (The) 2.900%, 07/19/18 .........1,000 1,013,130 7.500%, 02/15/19 .........4,082 4,469,521 2.300%, 12/13/19 ......... 600 601,317 Harley-Davidson Financial Services, Inc. ## 2.150%, 02/26/20 ......... 585 583,425 Harris Corp. 1.999%, 04/27/18 .........8,500 8,521,488 Huntington Bancshares, Inc. 2.600%, 08/02/18 .........2,600 2,623,070 Intel Corp. 1.350%, 12/15/17 .........1,000 1,000,552 Intercontinental Exchange, Inc. 2.500%, 10/15/18 .........1,560 1,578,252 173 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED Face Amount^Value† (000) UNITED STATES — (Continued) International Business Machines Corp. # 1.950%, 02/12/19 .........27,500 $ 27,705,040 Jefferies Group LLC 5.125%, 04/13/18 .........1,000 1,030,243 JPMorgan Chase & Co. 2.000%, 08/15/17 .........7,050 7,063,599 6.300%, 04/23/19 .........3,500 3,790,087 Kellogg Co. 1.750%, 05/17/17 .........3,000 3,000,447 KeyBank NA 2.350%, 03/08/19 .........7,000 7,056,399 Kraft Heinz Foods Co. 2.250%, 06/05/17 .........4,177 4,180,860 Kroger Co. (The) 2.300%, 01/15/19 .........1,000 1,006,370 1.500%, 09/30/19 .........1,565 1,546,704 Laboratory Corp. of America Holdings 2.200%, 08/23/17 .........6,000 6,013,932 Mattel, Inc. 1.700%, 03/15/18 .........7,000 6,991,082 Maxim Integrated Products, Inc. 2.500%, 11/15/18 .........4,417 4,452,963 McDonald’s Corp. 5.800%, 10/15/17 ......... 900 917,389 5.350%, 03/01/18 .........2,000 2,061,184 # 2.100%, 12/07/18 .........8,000 8,048,960 McKesson Corp. 1.400%, 03/15/18 .........1,614 1,610,548 2.284%, 03/15/19 .........6,000 6,035,202 Merck & Co., Inc. 1.850%, 02/10/20 .........5,000 5,027,080 MetLife, Inc. # 6.817%, 08/15/18 .........2,000 2,129,610 7.717%, 02/15/19 .........1,389 1,530,478 Microsoft Corp. 1.100%, 08/08/19 .........10,000 9,903,570 Molson Coors Brewing Co. ## 2.250%, 03/15/20 .........4,577 4,584,126 Monsanto Co. 1.850%, 11/15/18 .........6,700 6,684,061 Morgan Stanley 7.300%, 05/13/19 .........7,000 7,719,467 NetApp, Inc. 2.000%, 12/15/17 .........6,200 6,213,572 NextEra Energy Capital Holdings, Inc. 2.700%, 09/15/19 .........1,500 1,521,639 NiSource Finance Corp. 6.800%, 01/15/19 .........2,000 2,154,272 Novartis Capital Corp. 4.400%, 04/24/20 .........9,500 10,185,140 Nucor Corp. 5.750%, 12/01/17 .........3,019 3,087,628 NYSE Euronext 2.000%, 10/05/17 ......... 230 230,633 ONEOK Partners L.P. 2.000%, 10/01/17 ......... 400 400,559 Oracle Corp. 2.250%, 10/08/19 .........21,875 22,160,228 Face Amount^Value† (000) UNITED STATES — (Continued) PACCAR Financial Corp. 1.750%, 08/14/18 .........1,900 $ 1,905,759 Pfizer, Inc. 1.500%, 06/15/18 .........1,000 1,001,299 2.100%, 05/15/19 .........30,877 31,158,783 Philip Morris International, Inc. 5.650%, 05/16/18 .........6,255 6,523,264 1.875%, 01/15/19 .........5,000 5,007,020 Phillips 66 2.950%, 05/01/17 .........5,000 5,000,000 Provident Cos., Inc. 7.000%, 07/15/18 .........3,298 3,487,635 Prudential Financial, Inc. 6.000%, 12/01/17 ......... 518 531,045 QUALCOMM, Inc. 1.400%, 05/18/18 .........1,000 999,142 Republic Services, Inc. 5.500%, 09/15/19 .........1,167 1,259,697 Reynolds American, Inc. 2.300%, 06/12/18 .........4,650 4,675,552 Roper Technologies, Inc. 2.050%, 10/01/18 .........1,500 1,504,418 Ryder System, Inc. 2.550%, 06/01/19 .........2,400 2,422,877 Scripps Networks Interactive, Inc. 2.750%, 11/15/19 .........2,000 2,023,218 Southern Co. (The) 1.300%, 08/15/17 .........3,000 2,997,669 2.450%, 09/01/18 .........2,700 2,721,379 Southwest Airlines Co. 2.750%, 11/06/19 .........5,980 6,078,861 Stryker Corp. 1.300%, 04/01/18 ......... 600 598,659 2.000%, 03/08/19 .........8,000 8,026,960 SunTrust Banks, Inc. 2.500%, 05/01/19 .........7,735 7,818,662 Symantec Corp. 2.750%, 06/15/17 .........4,595 4,596,608 Target Corp. 2.300%, 06/26/19 .........10,000 10,128,680 TD Ameritrade Holding Corp. 5.600%, 12/01/19 .........1,000 1,087,145 Thermo Fisher Scientific, Inc. 2.400%, 02/01/19 .........3,000 3,023,616 Total System Services, Inc. 2.375%, 06/01/18 .........6,500 6,524,466 U.S. Bancorp 2.200%, 04/25/19 .........5,000 5,045,510 UnitedHealth Group, Inc. 1.400%, 12/15/17 ......... 956 956,054 1.625%, 03/15/19 .........3,000 2,991,339 US Bank NA 1.400%, 04/26/19 .........11,300 11,232,426 2.125%, 10/28/19 .........5,000 5,043,030 Verizon Communications, Inc. 3.650%, 09/14/18 .........5,000 5,124,975 1.375%, 08/15/19 .........2,000 1,973,866 2.625%, 02/21/20 .........2,193 2,226,812 174 DFA COMMODITY STRATEGY PORTFOLIO CONTINUED Face Amount^Value† (000) UNITED STATES — (Continued) Walgreens Boots Alliance, Inc. 1.750%, 05/30/18 ........4,200 $ 4,216,002 2.700%, 11/18/19 ........ 470 476,862 Walt Disney Co. (The) 1.500%, 09/17/18 ........1,255 1,257,103 Wells Fargo & Co. 1.500%, 01/16/18 ........ 700 699,721 Whirlpool Co. 1.650%, 11/01/17 ........7,000 7,001,316 Zoetis, Inc. 1.875%, 02/01/18 ........6,564 6,573,452 TOTAL UNITED STATES ......675,570,723 TOTAL BONDS ..............1,120,737,111 U.S. TREASURY OBLIGATIONS — (29.8%) U.S. Treasury Notes ‡ 1.375%, 06/30/18 ........99,000 99,232,056 Face Amount^Value† (000) U.S. TREASURY OBLIGATIONS — (Continued) # 0.875%, 09/15/19 ........149,000 $ 147,393,631 1.500%, 10/31/19 ........105,000 105,369,180 1.000%, 11/15/19 ........136,000 134,756,824 TOTAL U.S. TREASURY OBLIGATIONS .............486,751,691 TOTAL INVESTMENT SECURITIES ..............1,607,488,802 Shares SECURITIES LENDING COLLATERAL — (1.4%) §@ DFA Short Term Investment Fund 1,907,915 .............22,080,299 TOTAL INVESTMENTS — (100.0%) (Cost $1,631,680,427).......$1,629,569,101 Summary of the Portfolio’s investments as of April 30, 2017, 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 ................................................... — $56,719,055 — $ 56,719,055 Belgium .................................................... —4,700,587 — 4,700,587 Canada .................................................... —103,694,466 — 103,694,466 Denmark ................................................... —15,110,805 — 15,110,805 Finland .................................................... —6,112,745 — 6,112,745 France .................................................... —34,358,220 — 34,358,220 Germany ................................................... —27,429,034 — 27,429,034 Ireland ..................................................... —7,805,702 — 7,805,702 Italy ....................................................... —8,518,226 — 8,518,226 Japan ..................................................... —40,349,929 — 40,349,929 Netherlands ................................................ —46,387,351 — 46,387,351 Norway .................................................... —11,483,002 — 11,483,002 Spain ...................................................... —10,944,260 — 10,944,260 Supranational Organization Obligations ......................... —7,025,158 — 7,025,158 Sweden .................................................... —27,099,049 — 27,099,049 Switzerland ................................................. —19,993,814 — 19,993,814 United Kingdom ............................................. —17,434,985 — 17,434,985 United States ............................................... —675,570,723 — 675,570,723 U.S. Treasury Obligations ...................................... —486,751,691 — 486,751,691 Securities Lending Collateral .................................... —22,080,299 — 22,080,299 Swap Agreements**........................................... —1,801,375 — 1,801,375 Futures Contracts**............................................$(1,594,016) — — (1,594,016) TOTAL ......................................................$(1,594,016) $1,631,370,476 — $1,629,776,460 ** Not reflected in the Schedule of Investments, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 175 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES APRIL 30, 2017 (Unaudited) (Amounts in thousands, except share and per share amounts) ASSETS: Investments at Value (including $21,634 of securities on loan)........................................ $1,607,489 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $22,077)................22,080 Segregated Cash for Swaps Contracts ...........................................................22,739 Cash .......................................................................................36,186 Receivables: Investment Securities Sold ...................................................................5,854 Interest ...................................................................................7,824 Securities Lending Income ................................................................... 22 Fund Shares Sold ..........................................................................1,382 Futures Margin Variation ..................................................................... 266 Unrealized Gain on Swap Contracts .............................................................1,801 Prepaid Expenses and Other Assets ............................................................. 63 Total Assets ...........................................................................1,705,706 LIABILITIES: Payables: Upon Return of Securities Loaned .............................................................22,098 Investment Securities Purchased ..............................................................1,385 Fund Shares Redeemed .....................................................................5,799 Due to Advisor ............................................................................. 416 Accrued Expenses and Other Liabilities .......................................................... 86 Total Liabilities .........................................................................29,784 NET ASSETS ............................................................................... $1,675,922 SHARES OUTSTANDING, $0.01 PAR VALUE (1).................................................288,107,424 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE ...........................$ 5.82 Investments at Cost .......................................................................... $1,609,603 NET ASSETS CONSIST OF: Paid-In Capital ............................................................................... $1,684,161 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income).................26,243 Accumulated Net Realized Gain (Loss)...........................................................(32,566) Net Unrealized Appreciation (Depreciation).......................................................(1,916) NET ASSETS ............................................................................... $1,675,922 (1) NUMBER OF SHARES AUTHORIZED ........................................................1,800,000,000 See accompanying Notes to Financial Statements. 176 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2017 (Unaudited) (Amounts in thousands) Investment Income Interest ......................................................................................... $11,734 Dividends#...................................................................................... 125 Income from Securities Lending .................................................................... 125 Total Investment Income ......................................................................11,984 Expenses Investment Management Fees .....................................................................3,006 Accounting & Transfer Agent Fees .................................................................. 48 Custodian Fees .................................................................................. 28 Filing Fees ...................................................................................... 45 Shareholders’ Reports ............................................................................ 31 Directors’/Trustees’ Fees & Expenses ............................................................... 8 Professional Fees ................................................................................ 28 Other .......................................................................................... 19 Total Expenses ..............................................................................3,213 Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note D).......(523) Fees Paid Indirectly (Note C)....................................................................... (8) Net Expenses ...................................................................................2,682 Net Investment Income (Loss)....................................................................9,302 Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**.....................................................................(1,187) Futures .......................................................................................(1,320) Swap Contracts ................................................................................(29,842) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ........................................................(3,563) Futures .......................................................................................(482) Swap Contracts ................................................................................23,359 Net Realized and Unrealized Gain (Loss)...........................................................(13,035) Net Increase (Decrease) in Net Assets Resulting from Operations ...................................... $(3,733) ** Net of foreign capital gain taxes withheld of $0. # Portion of income is from investment in affiliated fund. See accompanying Notes to Financial Statements. 177 DFA INVESTMENT DIMENSIONS GROUP INC. DFA COMMODITY STRATEGY PORTFOLIO CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) DFA Commodity Strategy Portfolio Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)........................................................ $9,302 $ 12,561 Net Realized Gain (Loss) on: Investment Securities Sold*........................................................(1,187) 484 Futures .........................................................................(1,320) 5,533 Swap Contracts ..................................................................(29,842) 22,428 Change in Unrealized Appreciation (Depreciation) of:..................................... Investment Securities and Foreign Currency ..........................................(3,563) 1,678 Futures .........................................................................(482) 9 Swap Contracts ..................................................................23,359 (20,194) Net Increase (Decrease) in Net Assets Resulting from Operations ......................(3,733) 22,499 Distributions From: Net Investment Income: Institutional Class Shares ..........................................................(15,691) (7,538) Net Short-Term Gains: Institutional Class Shares ..........................................................(875) — Net Long-Term Gains: Institutional Class Shares .......................................................... —(155) Total Distributions ..............................................................(16,566) (7,693) Capital Share Transactions (1): Shares Issued .....................................................................379,166 1,017,341 Shares Issued in Lieu of Cash Distributions .............................................16,028 7,499 Shares Redeemed .................................................................(297,070) (648,620) Net Increase (Decrease) from Capital Share Transactions .............................98,124 376,220 Total Increase (Decrease) in Net Assets ............................................77,825 391,026 Net Assets Beginning of Period ................................................................1,598,097 1,207,071 End of Period ......................................................................$1,675,922 $1,598,097 (1) Shares Issued and Redeemed: Shares Issued .....................................................................63,613 183,938 Shares Issued in Lieu of Cash Distributions .............................................2,708 1,318 Shares Redeemed .................................................................(50,092) (116,801) Net Increase (Decrease) from Shares Issued and Redeemed ..........................16,229 68,455 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)...$ 26,243 $ 32,632 * Net of foreign capital gain taxes withheld of $0 and $0, respectively. See accompanying Notes to Financial Statements. 178 DFA INVESTMENT DIMENSIONS GROUP INC.DFA COMMODITY STRATEGY PORTFOLIOCONSOLIDATED FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)DFA Commodity Strategy PortfolioSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012(Unaudited)NetAssetValue,BeginningofPeriod......................................................................... $ 5.88 $ 5.93 $ 8.00 $ 8.30 $ 9.40 $ 9.77Income from Investment OperationsNetInvestmentIncome(Loss)(A) ......................................................................... 0.03 0.05 0.05 0.06 0.06 0.07NetGains(Losses)onSecurities(RealizedandUnrealized) ..................................................... (0.03) (0.07) (2.05) (0.31) (1.10) (0.37)TotalfromInvestmentOperations........................................................................ — (0.02) (2.00) (0.25) (1.04) (0.30)Less DistributionsNetInvestmentIncome ................................................................................. (0.06) (0.03) (0.06) (0.04) (0.04) (0.06)NetRealizedGains .................................................................................... — — (0.01) (0.01) (0.02) (0.01)TotalDistributions.................................................................................... (0.06) (0.03) (0.07) (0.05) (0.06) (0.07)NetAssetValue,EndofPeriod .............................................................................$5.82$5.88$5.93$8.00$8.30$9.40TotalReturn............................................................................................ (0.02)%(D) (0.26)% (25.16)% (3.08)% (11.15)% (3.08)%Net Assets, End of Period (thousands)........................................................................ $1,675,922 $1,598,097 $1,207,071 $1,194,191 $786,314 $458,079Ratio of Expenses to Average Net Assets..................................................................... 0.32%(E) 0.33% 0.34% 0.33% 0.34% 0.35%Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived FeesRecoveredbyAdvisorandFeesPaidIndirectly)............................................................... 0.39%(E) 0.40% 0.40% 0.39% 0.40% 0.41%RatioofNetInvestmentIncometoAverageNetAssets ........................................................... 1.12%(E) 0.95% 0.77% 0.65% 0.66% 0.79%PortfolioTurnoverRate ................................................................................... 45%(D)159% 124% 104% 64% 69%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 179 DFA INVESTMENT DIMENSIONS GROUP INC. NOTES TO CONSOLIDATED 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, as amended (the “1940 Act”), whose shares are generally offered, without a sales charge, to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of ninety-six operational portfolios, one of which, DFA Commodity Strategy Portfolio (the “Portfolio”), is included in this section of the report. The remaining operational portfolios are presented in separate reports. The Portfolio is an investment company, and accordingly, follows the accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Certification (“ASC”) Topic 946, “Financial Services-Investment Companies.” The Portfolio wholly owns and controls Dimensional Cayman Commodity Fund I, LTD. (the “Subsidiary”), a company organized under the laws of the Cayman Islands. The Subsidiary is not registered as an investment company under the 1940 Act. B. Significant Accounting Policies: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1.Security Valuation:The Portfolio utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: • Level 1 – inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, futures contracts) • Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) • Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) Debt securities held by the Portfolio are valued on the basis of evaluated prices provided by one or more pricing services or other reasonably reliable sources including broker/dealers that typically handle the purchase and sale of such securities. Securities that are traded over-the-counter and on a stock exchange generally will be valued according to the broadest and most representative market, and it is expected that for bonds and other fixed income securities, this ordinarily will be the over-the-counter market. Securities for which quotations are not readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Directors of the Fund. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of Dimensional Fund Advisors LP) occur before the net asset value of the Portfolio is calculated. When fair value pricing is used, the prices of securities used by the Portfolio may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. Futures contracts held by the Portfolio are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy. Swap 180 agreements will be valued at the price provided by an independent third-party pricing service or source. If a price is not available from an independent third-party pricing service or source, the swap agreement will be valued in good faith at fair value in accordance with procedures adopted by the Board. These securities are generally categorized as Level 2 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts, do not require material subjectivity as pricing inputs are observed from quoted markets and are categorized as Level 2 in the hierarchy. A summary of the inputs used to value the Portfolio’s investments by each major security type, industry and/or country is disclosed previously in this note. A valuation hierarchy table has been included at the end of the Schedule of Investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For the six months ended April 30, 2017, there were no significant transfers between Level 1 and Level 2 and no significant Level 3 investments held by the Portfolio. 2. Deferred Compensation Plan:Each eligible Director of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the “Plan”). Under the Plan, effective January 1, 2002, such Directors may defer payment of all or a portion of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors’/ 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 (unless the Director files an amended Notice selecting a different distribution date). As of April 30, 2017, none of the Directors have requested or received a distribution of proceeds of a deferred fee account. 3. Other:Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities and foreign currency are accounted for on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments or as a realized gain, respectively. The Portfolio estimates the character of distributions received that may be considered return of capital distributions. Interest income is recorded on an accrual basis. Discount and premium on debt securities purchased are amortized over the lives of the respective securities, utilizing the effective interest method. Expenses directly attributable to the Portfolio are directly charged. Common expenses of the Fund or its portfolios are allocated using methods approved by the Board, generally based on average net assets. C. Basis for Consolidation: The Subsidiary commenced operations on November 9, 2010. The Portfolio commenced reporting on a consolidated basis as of such commencement date in accordance with the accounting principles relating to reporting of a wholly-owned subsidiary. The Portfolio will seek to gain exposure to commodities, commodities- related instruments, derivatives and other investments by directly investing in those instruments or through investments in the Subsidiary. The Subsidiary participates in the same investment goal as the Portfolio. The 181 Subsidiary pursues its investment goal by investing in commodities, commodities-related instruments, derivatives and other investments. The Subsidiary (unlike the Portfolio) may invest without limitation in these instruments. However, the Subsidiary is otherwise subject to the same fundamental, non-fundamental and certain other investment restrictions as the Portfolio. The portion of the Portfolio’s or Subsidiary’s assets exposed to any particular commodity, derivative or other investment will vary based on market conditions, but from time to time some exposure could be substantial. To the extent of the Portfolio’s investment through the Subsidiary, it will be subject to the risks associated with the commodities, derivatives and other instruments in which the Subsidiary invests. By investing in the Subsidiary, the Portfolio is indirectly exposed to the risks associated with the Subsidiary’s investments. The derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Portfolio and are subject to the same risks that apply to similar investments if held directly by the Portfolio. The Subsidiary is classified as a controlled foreign corporation under Subchapter N of the Internal Revenue Code. Therefore, the Portfolio is required to increase its taxable income by its share of the Subsidiary’s income. Net investment losses of the Subsidiary cannot be deducted by the Portfolio in the current period nor carried forward to offset taxable income in future periods. As of April 30, 2017, the Portfolio held a $315,220,279 investment in the Subsidiary, representing 18.81% of the Portfolio’s total assets. The accompanying consolidated financial statements include all assets, liabilities, revenues and expenses of the Portfolio and its wholly-owned Subsidiary. Intercompany balances and transactions have been eliminated in consolidation. D. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides investment management services to the Portfolio. For the six months ended April 30, 2017, the investment management fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.30% of the Portfolio’s average daily net assets. Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption Agreement (the “Fee Waiver Agreement”), the Advisor has contractually agreed to waive all or a portion of the management fee and to assume the expenses of the Portfolio (including the expenses that the Portfolio bears as a shareholder of other funds managed by the Advisor but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in The DFA Short Term Investment Fund and its investment in unaffiliated investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses to no more than 0.55% of the Portfolio’s average net assets on an annualized basis (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of the Portfolio are less than the Expense Limitation Amount, the Advisor retains the right to seek reimbursement for any fees previously waived and/or expenses previously assumed to the extent that the amount of such reimbursement is within thirty-six months and will not cause the annualized Portfolio Expenses of the Portfolio to exceed the Expense Limitation Amount. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. The Fee Waiver Agreement for the Portfolio will remain in effect through February 28, 2018, and may only be terminated by the Fund’s Board of Directors prior to that date. The Fee Waiver Agreement will continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. At April 30, 2017, there were no previously waived fees subject to future recovery by the Advisor. The Subsidiary has entered into a separate contract with the Advisor whereby the Advisor or its affiliates provide investment advisory and other services to the Subsidiary. For the investment advisory services it provides, the Advisor is entitled to a fee from the Subsidiary equal to 0.30% of the Subsidiary’s average net assets on an annualized basis; however, pursuant to a contractual agreement, the Advisor has agreed to waive the management fee of the Subsidiary. For the six months ended April 30, 2017, approximately $523 (in thousands) of the Subsidiary’s management fees were waived pursuant to the Subsidiary fee waiver agreement. 182 Earned Income Credit: In addition, the Portfolio has entered into an arrangement with its custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of the Portfolio’s custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. The impact of such credits is generally less than one basis point of the Portfolio’s net assets. During the six months ended April 30, 2017, expenses reduced were as follows (amounts in thousands): Fees Paid Indirectly DFA Commodity Strategy Portfolio .......................................... $8 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, 2017, the total related amounts paid by the Fund to the CCO were $150 (in thousands). The total related amounts paid by the Portfolio are included in Other Expenses on the Statement of Operations. E. Deferred Compensation: At April 30, 2017, the total liability for deferred compensation to Directors/Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follows (amount in thousands): DFA Commodity Strategy Portfolio .............................................. $19 F. Purchases and Sales of Securities: For the six months ended April 30, 2017, the Portfolio’s transactions related to investment securities, other than short-term securities (amounts in thousands), were as follows: U.S. Government Securities Other Investment Securities Purchases Sales Purchases Sales DFA Commodity Strategy Portfolio ..........................$463,599 $463,568 $317,892 $268,187 G. Federal Income Taxes: The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to shareholders. Accordingly, no provision has been made for federal income taxes. Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gains or losses, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2016, primarily attributable to adjustments between financial and tax reporting related to the Subsidiary, the utilization of accumulated earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction for tax purposes, reversal of book income/loss from controlled foreign corporation and net foreign 183 currency gains/losses, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands): Increase (Decrease) Paid-In Capital Increase (Decrease) Undistributed Net Investment Income Increase (Decrease) Accumulated Net Realized Gains (Losses) DFA Commodity Strategy Portfolio .................... $76 $27,711 $(27,787) The tax character of dividends and distributions declared and paid during the years ended October 31, 2015 and October 31, 2016 were as follows (amounts in thousands): Net Investment Income and Short-Term Capital Gains Long-Term Capital Gains Total DFA Commodity Strategy Portfolio 2015 ...................................................$8,966 $1,009 $9,975 2016 ...................................................7,540 154 7,694 At October 31, 2016, the following net investment income and short-term capital gains and long-term capital gains distributions designated for federal income tax purposes are due to the utilization of accumulated earnings and profits distributed to shareholders upon redemption of shares (amounts in thousands): Net Investment Income and Short-Term Capital Gains Long-Term Capital Gains Total DFA Commodity Strategy Portfolio ..........................$(1,657) — $(1,657) At October 31, 2016, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands): Undistributed Net Investment Income and Short-Term Capital Gains Undistributed Long-Term Capital Gains Capital Loss Carryforwards Unrealized Appreciation (Depreciation) Total Net Distributable Earnings (Accumulated Losses) DFA Commodity Strategy Portfolio .....$11,046 — — $1,109 $12,155 For federal income tax purposes, the Fund measures its capital loss carryforwards annually at October 31, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Portfolio after October 31, 2011 will not be subject to expiration and will retain their character as either short-term or long-term capital losses. In addition, such losses must be utilized prior to the losses incurred in the years preceding enactment. As of October 31, 2016, the Portfolio did not have any capital loss carryforwards. At April 30, 2017, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands): Federal Tax Cost Unrealized Appreciation Unrealized Depreciation Net Unrealized Appreciation (Depreciation) DFA Commodity Strategy Portfolio ....................$1,632,611 $606 $(3,648) $(3,042) 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 184 Portfolio’s tax positions and has concluded that no additional provision for income tax is required in the Portfolio’s financial statements. The Portfolio is not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Portfolio’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. H. Financial Instruments: In accordance with the Portfolio’s investment objective and policies, the Portfolio may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. Foreign Market Risks:Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Portfolio may be inhibited. Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Portfolio. The Portfolio may gain exposure to commodity markets by investing up to 25% of the Portfolio’s total assets in the Subsidiary. The Subsidiary may invest without limitation in commodity-linked notes, swap agreements and other commodity-linked derivative instruments, including futures contracts on individual commodities or a subset of commodities and options on commodities. The accompanying consolidated schedule of investments includes investments of the Portfolio and its wholly-owned Subsidiary. 2. Forward Currency Contracts: The Portfolio may acquire and sell forward currency contracts to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies (foreign exchange rate risk). The decision to hedge the Portfolio’s currency exposure with respect to a foreign market will be based primarily on the Portfolio’s existing exposure to a given foreign currency. Each contract is valued daily and the change in value is recorded by the Portfolio as an unrealized gain or loss, which is presented in the Statement of Operations as the change in unrealized appreciation or depreciation from translation of foreign-currency-denominated amounts. When the contract is closed or offset with the same counterparty, the Portfolio records a realized gain or loss equal to the change in the value of the contract when it was opened and the value at the time it was closed or offset. This is presented in the Statement of Operations as a net realized gain or loss on foreign currency transactions. 3.Commodity-Linked Derivatives:The Portfolio and the Subsidiary invest in commodity-linked derivative instruments, such as swap agreements, commodity options, futures, options on futures, and structured notes. The prices of commodity-linked derivative instruments may move in different directions than investments in traditional equity securities, fixed income securities and commodity spot prices. 4.Swap Agreements:The Portfolio may enter into swap agreements with respect to commodities, interest rates and indexes of commodities or securities, specific securities and commodities, and mortgage, credit and event-linked swaps, and, to the extent the Portfolio may invest in foreign-currency-denominated securities, the Portfolio may enter into swap agreements with respect to foreign currencies. The Portfolio may enter into swap transactions for any legal purpose consistent with its investment objective and policies, such as for the purpose of attempting to obtain or preserve a particular return or spread at a lower cost than obtaining a return or spread through purchases and/or sales of instruments in other markets, to seek to increase total return (speculation), to protect against currency fluctuations, as a duration management technique, to protect against any increase in the price of securities the Portfolio anticipates purchasing at a later date, or to gain exposure to certain markets in the most economical way possible. A swap agreement may be negotiated bilaterally and traded over-the-counter between the two parties (for an uncleared swap), while other swaps must be transacted through a futures commission merchant (“FCM”) and 185 cleared through a clearinghouse that serves as a central counterparty (for a cleared swap), and may be traded on swap execution facilities (exchanges). Swap agreements are contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than one year. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. In an uncleared swap, the swap counterparty is typically a brokerage firm, bank or other financial institution. In a cleared swap, the Portfolio’s ultimate counterparty is a central clearinghouse rather than a brokerage firm, bank or other financial institution. An investment in a commodity swap agreement may involve the exchange of floating-rate interest payments for the total return on a commodity index. In a total return commodity swap, the Portfolio will receive the price appreciation of a commodity index, a portion of the index, or a single commodity in exchange for paying an agreed- upon fee. The Portfolio may also enter into credit default swap agreements. The “buyer” in a credit default contract is obligated to pay the “seller” a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If an event of default occurs, the seller must pay the buyer the full notional value, or “par value,” of the reference obligation in exchange for the reference obligation. The Portfolio may be either the buyer or seller in a credit default swap transaction. Credit default swap transactions involve greater risks than if the Portfolio had invested in the reference obligation directly. Most swap agreements entered into by the Portfolio will calculate the obligations of the parties to the agreement on a “net” basis, which means that the two payment streams are netted out, with the Portfolio receiving or paying, as the case may be, only the net amount of the two payments. The Portfolio’s current obligations under a swap agreement will be accrued daily (offset against any amounts owed to the Portfolio) and any accrued but unpaid net amounts owed to a swap counterparty will be covered by the segregation of assets determined to be liquid to avoid any potential leveraging of the Portfolio’s portfolio. Uncleared swaps are typically executed bilaterally with a swap dealer rather than traded on exchanges. Parties to uncleared swaps face greater counterparty credit risk than those engaging in cleared swaps since performance of uncleared swap obligations is the responsibility only of the swap counterparty rather than a clearinghouse, as is the case with cleared swaps. As a result, the Portfolio bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default, insolvency or bankruptcy of a swap agreement counterparty beyond any collateral received. In such an event, the Portfolio will have contractual remedies pursuant to the swap agreements, but bankruptcy and insolvency laws could affect the Portfolio’s rights as a creditor. The Portfolio will enter into swap agreements only with counterparties that meet certain standards of creditworthiness as determined by the Advisor’s Investment Committee. To the extent that the Portfolio cannot dispose of a swap in the ordinary course of business within seven days at approximately the value at which the Portfolio has valued the swap, the Portfolio will treat the swap as illiquid and subject to its overall limit on illiquid investments of 15% of the Portfolio’s net assets. The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 and implementing rules adopted by the Commodity Futures Trading Commission (“CFTC”) currently require the clearing and exchange-trading of the most common types of credit default index swaps and interest rate swaps, and it is expected that additional categories of swaps will in the future be designated as subject to mandatory clearing and trade execution requirements. Central clearing is intended to reduce counterparty credit risk and increase liquidity, but central clearing does not eliminate these risks completely. There is also a risk of loss by the Portfolio of the initial and variation margin deposits in the event of bankruptcy of the FCM with which the Portfolio has an open position, or the central counterparty in a swap contract. The assets of the Portfolio may not be fully protected in the event of the bankruptcy of the FCM or central counterparty because the Portfolio might be limited to recovering only a pro rata share of all available funds and margin segregated on behalf of an FCM’s customers. Futures Activities: The Portfolio may enter into commodity, foreign currency, interest rate and commodity or securities index futures contracts and purchase and write (sell) related options traded on exchanges designated by the CFTC or, consistent with CFTC regulations, on foreign exchanges. 186 5.Futures Contracts:A commodity futures contract provides for the future sale by one party and the future purchase by the other party of a specified amount of a commodity, such as an energy, agricultural or metal commodity, at a specified price, date, time and place. A foreign currency futures contract provides for the future sale by one party and the future purchase by the other party of a certain amount of a specified non-U.S. currency at a specified price, date, time and place. An interest rate futures contract provides for the future sale by one party and the purchase by the other party of a certain amount of a specific interest rate sensitive financial instrument (debt security) at a specified price, date, time and place. Securities and commodities indexes are typically capitalization or production weighted, respectively. A securities index or commodities index futures contract is an agreement to be settled by delivery of an amount of cash equal to a specified multiplier times the difference between the value of the index at the close of the last trading day on the contract and the price at which the agreement is made. The clearing house of the exchange on which a futures contract is entered into becomes the counterparty to each purchaser and seller of the futures contract. Payments, known as “variation margin,” to and from the broker, will be made daily as the currency, financial instrument or index underlying the futures contract fluctuates, making the long and short positions in the futures contract more or less valuable, a process known as “marking-to-market.” As a result of the small margin deposit that is required, a small change in the market price of a futures contract can produce major losses. At any time prior to the expiration of a futures contract, the Portfolio may elect to close the position by taking an opposite position, which will operate to terminate the Portfolio’s existing position in the contract. Positions in futures contracts and options on futures contracts (described below) may be closed out only on the exchange on which they were entered into (or through a linked exchange). However, there is no assurance that an active market will exist at any particular time. Once the daily fluctuation limit has been reached in a particular contract, most futures exchanges restrict trades at a price beyond that limit or trading may be suspended for specified periods during the day. Such restrictions prevent prompt liquidation of futures positions at an advantageous price, potentially subjecting the Portfolio to substantial losses. In such event, and in the event of adverse price movements, the Portfolio would be required to make daily cash payments of variation margin. Losses incurred in futures transactions and the costs of these transactions will affect the Portfolio’s performance. The price volatility of commodity futures contracts has been historically greater than that for traditional securities, such as stocks and bonds, and there are a variety of factors associated with commodity futures contracts which may subject the Portfolio’s investments in the contracts to greater volatility than investments in traditional securities. 6.Options on Futures Contracts:The Portfolio may purchase and write put and call options on foreign currency, interest rate and stock and commodity index futures contracts and may enter into closing transactions with respect to such options to terminate existing positions. There is no guarantee that such closing transactions can be effected; the ability to establish and close out positions on such options will be subject to the existence of a liquid market. An option on a currency, interest rate or commodity or securities index futures contract, as contrasted with the direct investment in such a contract, gives the purchaser the right, in return for the premium paid, to assume a position in a futures contract at a specified exercise price at any time prior to the expiration date of the option. The writer of the option is required upon exercise to assume an offsetting futures position (a short position if the option is a call and a long position if the option is a put). Upon exercise of an option, the delivery of the futures position by the writer of the option to the holder of the option will be accompanied by delivery of the accumulated balance in the writer’s futures margin account, which represents the amount by which the market price of the futures contract exceeds, in the case of a call, or is less than, in the case of a put, the exercise price of the option on the futures contract. The potential loss related to the purchase of an option on a futures contract is limited to the premium paid for the option (plus transaction costs). The value of the option changes daily, and that change is reflected in the net asset value of the Portfolio. The Portfolio may enter into options and futures transactions for several purposes, including generating current income to offset expenses or increase return, and as hedges to reduce investment risk, generally by making an 187 investment expected to move in the opposite direction of a portfolio position. A hedge is designed to offset a loss in a portfolio position with a gain in the hedged position; at the same time, however, a properly correlated hedge will result in a gain in the portfolio position being offset by a loss in the hedged position. At April 30, 2017, the Subsidiary had the following outstanding commodity-linked futures contracts (dollar amounts in thousands): Description Expiration Date Number of Contracts Contract Amount Unrealized Gain (Loss) Brent Crude Oil Futures ....................................05/31/17 133 $ 6,923 $ (374) CBT Wheat Futures .......................................07/14/17 152 3,285 (20) Coffee ‘C’ Futures .........................................06/30/17 52 3,309 (246) Coffee ‘C’ Futures .........................................07/19/17 43 2,151 (105) Copper Futures ...........................................07/27/17 116 7,562 (159) Corn Futures .............................................07/14/17 402 7,367 (43) Cotton No.2 Futures .......................................07/07/17 38 1,499 39 Gasoline RBOB Futures ....................................06/30/17 52 3,391 (344) Gold 100 oz Futures .......................................06/28/17 92 11,668 161 KCB Wheat Futures .......................................07/14/17 53 1,159 8 LME Nickel Futures ........................................05/15/17 104 5,869 (331) LME Nickel Futures ........................................07/17/17 40 2,267 (150) LME Nickel Futures ........................................05/15/17 (104) (5,869) 449 LME Nickel Futures ........................................05/15/17 (265) (12,614) 82 LME Prime Aluminum Futures ...............................05/15/17 265 12,614 174 LME Prime Aluminum Futures ...............................07/17/17 104 4,969 (124) LME Zinc Futures .........................................05/15/17 102 6,667 (534) LME Zinc Futures .........................................07/17/17 40 2,624 (119) LME Zinc Futures .........................................05/15/17 (102) (6,667) 380 Lean Hogs Futures ........................................06/14/17 79 2,338 (61) Live Cattle Futures ........................................06/30/17 84 4,167 495 Natural Gas Futures .......................................06/28/17 236 7,913 (138) Silver Futures ............................................07/27/17 48 4,143 (250) Soybean Futures ..........................................07/14/17 114 5,451 11 Soybean Meal Futures .....................................07/14/17 91 2,874 24 Soybean Oil Futures .......................................07/14/17 130 2,473 (6) Sugar #11 Futures ........................................06/30/17 142 2,565 (55) WTI Crude Futures ........................................06/20/17 127 6,302 (358) $ 96,400 $(1,594) The Subsidiary’s securities have been segregated as collateral for open futures contracts. At April 30, 2017, the Subsidiary had the following outstanding commodity total return swaps, which are typically on custom commodity indices that include exposure to various precious metal, energy and agricultural commodities (dollar amounts in thousands): Counterparty Commodity Exposure Expiration Date Currency Notional Amount Unrealized Appreciation (Depreciation) Bank of America Corp.......................Custom Index* 06/30/17 USD $188,305 $142 Bank of America Corp.......................Custom Index* 06/30/17 USD 149,690 121 Citibank, N.A..............................Custom Index* 06/30/17 USD 203,997 165 Citibank, N.A..............................Custom Index* 06/30/17 USD 212,050 160 Credit Suisse ..............................Custom Index* 05/31/17 USD 216,714 333 188 Counterparty Commodity Exposure Expiration Date Currency Notional Amount Unrealized Appreciation (Depreciation) Credit Suisse ............................Custom Index* 05/31/17 USD $ 180,409 $ 260 Deutsche Bank AG, London Branch .........Custom Index* 05/30/17 USD 73,490 105 UBSAG ................................Custom Index* 07/31/17 USD 251,402 364 UBSAG ................................Custom Index* 07/31/17 USD 98,630 151 $1,574,687 $1,801 * Swap is exposed to the 22 commodities in the Bloomberg Commodity Index Total Return. The average volume (based on the open positions at each fiscal month-end) of derivative activity for the six months ended April 30, 2017 (amounts in thousands): Futures Swap Contracts DFA Commodity Strategy Portfolio .............................................$160,315 $1,463,333 The following is a summary of the location of derivatives on the Portfolio’s Statement of Assets and Liabilities as of April 30, 2017: Location on the Statement of Assets and Liabilities Derivative Type Asset Derivatives Liability Derivatives Commodity Futures Contracts Receivables: Futures Margin Variation Payables: Futures Margin Variation Commodity Swap Contracts Unrealized Gain on Swap Contracts Unrealized Loss on Swap Contracts The following is a summary of the Portfolio’s derivative instrument holdings categorized by primary risk exposure as of April 30, 2017 (amounts in thousands): Asset Derivatives Value Total Value at April 30, 2017 Commodity Futures Contracts* Swap Contracts DFA Commodity Strategy Portfolio ........................... $3,624 $ 1,823 $1,801 Liability Derivatives Value Total Value at April 30, 2017 Commodity Futures Contracts* Swap Contracts DFA Commodity Strategy Portfolio ...........................$(3,417) $(3,417) $ — * Includes cumulative appreciation (depreciation) of futures contracts. The following is a summary of the location on the Portfolio’s Statement of Operations of realized and change in unrealized gains and losses from the Portfolio’s derivative instrument holdings for the six months ended April 30, 2017: Derivative Type Location of Gain (Loss) on Derivatives Commodity Futures Contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures Swap Contracts Net Realized Gain (Loss) on: Swap Contracts Change in Unrealized Appreciation (Depreciation) of: Swap Contracts 189 The following is a summary of the realized and change in unrealized gains and losses from the Portfolio’s derivative instrument holdings categorized by primary risk exposure through the six months ended April 30, 2017 (amounts in thousands): Realized Gain (Loss) on Derivatives Total Commodity Futures Contracts Swap Contracts DFA Commodity Strategy Portfolio ......................$(31,162) $(1,320) $(29,842) Change in Unrealized Appreciation (Depreciation) on Derivatives Total Commodity Futures Contracts Swap Contracts DFA Commodity Strategy Portfolio ...................... $22,877 $ (482) $ 23,359 Offsetting of Derivative Assets and Derivative Liabilities In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or a similar agreement with certain of its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs over-the counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, provisions in the event of a default and/or termination event and may also include collateral posting items. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted, if any, and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out), including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the “Statement of assets and liabilities.” The following table presents the Portfolio’s gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Portfolio as of April 30, 2017 (Amounts in thousands): Gross Amounts of Recognized Assets (a) Net Amounts of Assets Presented in the Statements of Assets and Liabilities Gross Amounts Not Offset in the Statements of Assets and Liabilities Net Amount (c) Gross Amounts of Recognized Liabilities (a) Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities Gross Amounts Not Offset in the Statements of Assets and Liabilities Net Amount (e)Description Financial Instruments (b) Cash Collateral Received Financial Instruments (d) Cash Collateral Pledged Assets Liabilities DFA Commodity Strategy Portfolio Swap Contracts . . . $1,801 $1,801 — — $1,801 — — — — — (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. 190 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 29, 2017, with its domestic custodian bank. A line of credit with similar terms was in effect through March 29, 2017. 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 28, 2018. 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 6, 2017. A line of credit with similar terms was in effect through January 6, 2017. 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 5, 2018. There were no borrowings by the Portfolio under the lines of credit during the six months ended April 30, 2017. 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 Portfolio did not utilize the interfund lending program during the six months ended April 30, 2017. J. Securities Lending: As of April 30, 2017, the Portfolio had a security on loan to a broker/dealer, for which the Portfolio received cash collateral. The Portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral in an amount (i) equal to at least 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) generally equal to 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) generally equal to 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Portfolio’s collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Portfolio or, at the option of the lending agent, to replace the securities. In the event of the bankruptcy of the borrower, the Portfolio could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value. Subject to its stated investment policy, the Portfolio will generally invest the cash collateral received for the loaned securities in the Money Market Series, an affiliated registered money market fund advised by the Advisor for 191 which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. The Portfolio also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, the Portfolio will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of April 30, 2017: Remaining Contractual Maturity of the Agreements As of April 30, 2017 Overnight and Continuous <30 days Between 30 & 90 days >90 days Total Securities Lending Transactions DFA Commodity Strategy Portfolio Bonds, U.S. Treasury Obligations ............$22,080,299 — — — $22,080,299 K. Indemnitees; Contractual Obligations: Under the Fund’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. L. Other: At April 30, 2017, 3 shareholders held 63% of the outstanding shares of the Portfolio. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors. M. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolio through the date that the financial statements were issued and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 192 DIMENSIONAL INVESTMENT GROUP INC. DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund’s costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return and “Expenses Paid During Period” reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.” Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund’s costs with those of other mutual funds. The hypothetical “Ending Account Value” and “Expenses Paid During Period” are derived from the fund’s actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The “Annualized Expense Ratio” represents the actual expenses for the six-month period indicated. Six Months Ended April 30, 2017 EXPENSE TABLES Beginning Account Value 11/01/16 Ending Account Value 04/30/17 Annualized Expense Ratio* Expenses Paid During Period* DFA International Value Portfolio** Actual Fund Return Class R2 Shares .............................$1,000.00 $1,113.20 0.67% $3.51 Institutional Class Shares .....................$1,000.00 $1,115.00 0.42% $2.20 Hypothetical 5% Annual Return Class R2 Shares .............................$1,000.00 $1,021.47 0.67% $3.36 Institutional Class Shares .....................$1,000.00 $1,022.71 0.42% $2.11 193 DISCLOSURE OF FUND EXPENSES CONTINUED Beginning Account Value 11/01/16 Ending Account Value 04/30/17 Annualized Expense Ratio* Expenses Paid During Period* U.S. Large Company Portfolio Actual Fund Return ............................$1,000.00 $1,132.80 0.08% $0.42 Hypothetical 5% Annual Return ..................$1,000.00 $1,024.40 0.08% $0.40 * 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). 194 DIMENSIONAL INVESTMENT GROUP INC. DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For Dimensional Investment Group Inc., this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. Dimensional Investment Group Inc. filed its most recent Form N-Q with the SEC on March 30, 2017. They are available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). SEC regulations permit a fund to include in its reports to shareholders a “Summary Schedule of Portfolio Holdings” in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund’s 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund’s net assets at the end of the reporting period. The regulations also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. A fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories of industry classification for the Affiliated Investment Company are represented in its Disclosure of Portfolio Holdings, which is included elsewhere within the report. Refer to the Summary Schedule of Portfolio Holdings for the underlying Affiliated Investment Company’s holdings, which reflect the investments by category. FEEDER FUND Affiliated Investment Company DFA International Value Portfolio ............................................100.0% DOMESTIC EQUITY PORTFOLIO U.S. Large Company Portfolio Consumer Discretionary ..........12.5% Consumer Staples ...............9.3% Energy ........................6.3% Financials ......................14.1% Health Care ....................14.0% Industrials ......................10.1% Information Technology ...........22.5% Materials .......................2.8% Real Estate .....................2.9% Telecommunication Services ......2.3% Utilities ........................3.2% 100.0% 195 DFA INTERNATIONAL VALUE PORTFOLIO SCHEDULE OF INVESTMENTS April 30, 2017 (Unaudited) Value† AFFILIATED INVESTMENT COMPANY — (100.0%) Investment in The DFA International Value Series of The DFA Investment Trust Company ................................................$8,617,732,695 TOTAL INVESTMENTS IN AFFILIATED INVESTMENT COMPANY (Cost $7,869,569,171)........................................................$8,617,732,695 Summary of the Portfolio’s Master Fund’s investments as of April 30, 2017, based on their valuation inputs, is located within this report (See Security Valuation Note). See accompanying Notes to Financial Statements. 196 U.S. LARGE COMPANY PORTFOLIO SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value† Percentage of Net Assets** COMMON STOCKS — (96.2%) Consumer Discretionary — (12.0%) * Amazon.com, Inc..........................................142,958 $ 132,234,720 1.8% Comcast Corp. Class A ....................................1,708,313 66,948,786 0.9% Home Depot, Inc. (The)....................................439,705 68,637,951 0.9% McDonald’s Corp..........................................295,622 41,366,386 0.6% * Priceline Group, Inc. (The)..................................17,748 32,777,361 0.4% Walt Disney Co. (The).....................................525,103 60,701,907 0.8% Other Securities ..........................................520,955,734 7.0% Total Consumer Discretionary ...................................923,622,845 12.4% Consumer Staples — (8.9%) Altria Group, Inc...........................................700,050 50,249,589 0.7% Coca-Cola Co. (The)......................................1,394,785 60,184,973 0.8% PepsiCo, Inc..............................................515,165 58,357,891 0.8% Philip Morris International, Inc...............................559,986 62,068,848 0.8% Procter & Gamble Co. (The)................................922,782 80,586,552 1.1% Wal-Mart Stores, Inc.......................................543,554 40,864,390 0.5% Other Securities ..........................................334,056,724 4.5% Total Consumer Staples ........................................686,368,967 9.2% Energy — (6.1%) Chevron Corp............................................683,331 72,911,418 1.0% Exxon Mobil Corp.........................................1,496,719 122,207,106 1.6% Schlumberger, Ltd.........................................503,219 36,528,667 0.5% Other Securities ..........................................235,035,971 3.2% Total Energy ..................................................466,683,162 6.3% Financials — (13.6%) Bank of America Corp......................................3,618,650 84,459,291 1.1% * Berkshire Hathaway, Inc. Class B ............................685,565 113,262,194 1.5% Citigroup, Inc.............................................1,000,110 59,126,503 0.8% JPMorgan Chase & Co.....................................1,289,330 112,171,710 1.5% Wells Fargo & Co.........................................1,625,406 87,511,859 1.2% Other Securities ..........................................584,259,159 7.9% Total Financials ...............................................1,040,790,716 14.0% Health Care — (13.4%) AbbVie, Inc...............................................575,339 37,937,854 0.5% Amgen, Inc...............................................265,829 43,415,192 0.6% Bristol-Myers Squibb Co....................................603,780 33,841,869 0.5% * Celgene Corp.............................................280,813 34,834,853 0.5% Gilead Sciences, Inc.......................................471,797 32,341,684 0.4% Johnson & Johnson .......................................979,405 120,927,135 1.6% Medtronic P.L.C...........................................494,110 41,055,600 0.6% Merck & Co., Inc..........................................991,037 61,771,336 0.8% Pfizer, Inc................................................2,148,377 72,872,948 1.0% UnitedHealth Group, Inc....................................347,274 60,731,277 0.8% Other Securities ..........................................491,510,019 6.6% Total Health Care .............................................1,031,239,767 13.9% Industrials — (9.8%) 3MCo...................................................215,203 42,143,204 0.6% Boeing Co. (The).........................................205,604 38,001,787 0.5% General Electric Co........................................3,149,283 91,297,714 1.2% 197 U.S. LARGE COMPANY PORTFOLIO CONTINUED Shares Value† Percentage of Net Assets** Industrials — (Continued) Honeywell International, Inc.................................274,759 $ 36,031,895 0.5% Union Pacific Corp........................................293,746 32,887,802 0.4% United Technologies Corp..................................270,521 32,189,294 0.4% Other Securities ..........................................477,822,336 6.5% Total Industrials ...............................................750,374,032 10.1% Information Technology — (21.6%) * Alphabet, Inc. Class A .....................................107,247 99,151,996 1.3% * Alphabet, Inc. Class C .....................................106,663 96,632,411 1.3% Apple, Inc................................................1,893,782 272,041,784 3.7% Broadcom, Ltd............................................144,758 31,964,014 0.4% Cisco Systems, Inc........................................1,807,627 61,585,852 0.8% * Facebook, Inc. Class A ....................................850,117 127,730,079 1.7% Intel Corp................................................1,706,611 61,693,988 0.8% # International Business Machines Corp........................309,819 49,660,888 0.7% Mastercard, Inc. Class A ...................................340,078 39,557,873 0.5% Microsoft Corp............................................2,789,316 190,956,573 2.6% Oracle Corp..............................................1,081,815 48,638,402 0.7% # Visa, Inc. Class A .........................................670,668 61,178,335 0.8% Other Securities ..........................................522,256,433 7.1% Total Information Technology ....................................1,663,048,628 22.4% Materials — (2.7%) Other Securities ..........................................210,421,139 2.8% Real Estate — (2.8%) Other Securities ..........................................215,134,372 2.9% Telecommunication Services — (2.2%) AT&T, Inc................................................2,216,850 87,853,765 1.2% Verizon Communications, Inc...............................1,471,370 67,550,597 0.9% Other Securities ..........................................11,471,335 0.2% Total Telecommunication Services ...............................166,875,697 2.3% Utilities — (3.1%) Other Securities ..........................................235,272,540 3.2% TOTAL COMMON STOCKS ....................................7,389,831,865 99.5% TOTAL INVESTMENT SECURITIES .............................7,389,831,865 TEMPORARY CASH INVESTMENTS — (0.4%) State Street Institutional U.S. Government Money Market Fund, 0.680%...............................................30,114,086 30,114,086 0.4% SECURITIES LENDING COLLATERAL — (3.4%) §@ DFA Short Term Investment Fund ...........................22,788,791 263,734,682 3.6% TOTAL INVESTMENTS — (100.0%) (Cost $3,863,196,580).......................................$7,683,680,633 103.5% 198 U.S. LARGE COMPANY PORTFOLIO CONTINUED Summary of the Fund’s investments as of April 30, 2017, 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 ............................ $923,622,845 — — $ 923,622,845 Consumer Staples .................................686,368,967 — — 686,368,967 Energy ...........................................466,683,162 — — 466,683,162 Financials ........................................1,040,790,716 — — 1,040,790,716 Health Care .......................................1,031,239,767 — — 1,031,239,767 Industrials ........................................750,374,032 — — 750,374,032 Information Technology .............................1,663,048,628 — — 1,663,048,628 Materials .........................................210,421,139 — — 210,421,139 Real Estate .......................................215,134,372 — — 215,134,372 Telecommunication Services ........................166,875,697 — — 166,875,697 Utilities ...........................................235,272,540 — — 235,272,540 Temporary Cash Investments ..........................30,114,086 — — 30,114,086 Securities Lending Collateral .......................... —$263,734,682 — 263,734,682 Futures Contracts**..................................418,101 — — 418,101 TOTAL .............................................$7,420,364,052 $263,734,682 — $7,684,098,734 ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 199 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2017 (Unaudited) (Amounts in thousands, except share and per share amounts) DFA International Value Portfolio U.S. Large Company Portfolio * ASSETS: Investments in Affiliated Investment Company at Value ............................... $8,617,733 — Investments at Value (including $0 and $493,855 of securities on loan, respectively)....... — $7,389,832 Temporary Cash Investments at Value & Cost ....................................... —30,114 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $0 and $263,686)...............................................................— 263,735 Segregated Cash for Futures Contracts ............................................ —1,460 Receivables: Investment Securities Sold ..................................................... — 971 Dividends, Interest and Tax Reclaims ............................................ —7,264 Securities Lending Income ..................................................... — 57 Fund Shares Sold ............................................................5,760 6,019 Prepaid Expenses and Other Assets ............................................... 176 121 Total Assets .............................................................8,623,669 7,699,573 LIABILITIES: Payables: Upon Return of Securities Loaned ............................................... —263,651 Investment Securities Purchased ................................................ — 276 Fund Shares Redeemed .......................................................7,322 8,112 Due to Advisor ...............................................................1,381 333 Futures Margin Variation ...................................................... — 89 Accrued Expenses and Other Liabilities .................................... 396 668 Total Liabilities ...........................................................9,099 273,129 NET ASSETS ................................................................. $8,614,570 $ 7,426,444 NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE: Class R2 Shares — based on net assets of $4,760 and $0 and shares outstanding of 265,966 and 0, respectively ....................................................$ 17.90 N/A NUMBER OF SHARES AUTHORIZED .............................................100,000,000 N/A Institutional Class Shares — based on net assets of $8,609,810 and $7,426,444 and shares outstanding of 479,718,879 and 400,229,592, respectively ..........................$ 17.95 $ 18.56 NUMBER OF SHARES AUTHORIZED .............................................1,500,000,000 900,000,000 Investments in Affiliated Investment Companies at Cost ............................... $7,869,569 $ — Investments at Cost ............................................................ $ — $3,569,397 NET ASSETS CONSIST OF: Paid-In Capital ................................................................. $8,007,910 $ 3,773,795 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income) . . . 54,575 9,903 Accumulated Net Realized Gain (Loss)............................................(196,035) (178,156) Net Unrealized Foreign Exchange Gain (Loss)......................................(44) — Net Unrealized Appreciation (Depreciation).........................................748,164 3,820,902 NET ASSETS ................................................................. $8,614,570 $ 7,426,444 * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 200 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2017 (Unaudited) (Amounts in thousands) DFA International Value Portfolio* U.S. Large Company Portfolio# Investment Income Net Investment Income Allocated from Affiliated Investment Companies: Dividends (Net of Foreign Taxes Withheld of $10,969 and $0, respectively).................$123,840 $ — Income from Securities Lending .....................................................3,858 — Expenses Allocated from Affiliated Investment Company ................................(8,359) — Total Net Investment Income Received from Affiliated Investment Companies .............119,339 — Fund Investment Income Dividends ......................................................................... $ — $74,163 Income from Securities Lending ....................................................... — 464 Total Investment Income ......................................................... —74,627 Fund Expenses Investment Management Fees ......................................................15,692 2,105 Accounting & Transfer Agent Fees ................................................... 61 194 S&P 500 ®Fees .................................................................. — 51 Custodian Fees .................................................................. — 45 Shareholder Servicing Fees .......................................................... Class R2 Shares ................................................................. 5 — Filing Fees ...................................................................... 113 56 Shareholders’ Reports ............................................................. 112 56 Directors’/Trustees’ Fees & Expenses ................................................ 38 34 Professional Fees ................................................................ 75 92 Other ........................................................................... 19 96 Total Expenses .................................................................16,115 2,729 Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)........................................................................ — 78 Fees Waived, (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor (Note C)........................................................................ Institutional Class Shares ..........................................................(7,842) — Class R2 Shares ................................................................. (4) — Net Expenses ......................................................................8,269 2,807 Net Investment Income (Loss).......................................................111,070 71,820 Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**........................................................(8,449) (1,478) Futures .........................................................................6,084 2,617 Foreign Currency Transactions ......................................................(2,636) — Change in Unrealized Appreciation (Depreciation) of:..................................... Investment Securities and Foreign Currency ...........................................760,265 788,540 Futures .........................................................................2,541 516 Translation of Foreign Currency Denominated Amounts ................................. 799 — Net Realized and Unrealized Gain (Loss).............................................758,604 790,195 Net Increase (Decrease) in Net Assets Resulting from Operations .........................$869,674 $862,015 * Investment Income and Realized and Unrealized Gain (Loss) were allocated from the Portfolio’s Master Fund (Affiliated Investment Company). ** Net of foreign capital gain taxes withheld of $0 and $0, respectively. # Portion of income is from investment in affiliated fund. See accompanying Notes to Financial Statements. 201 DIMENSIONAL INVESTMENT GROUP INC. STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) DFA International Value Portfolio U.S. Large Company Portfolio Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).............................. $111,070 $ 229,798 $ 71,820 $ 131,507 Net Realized Gain (Loss) on:............................... Investment Securities Sold*...............................(8,449) (189,967) (1,478) 44,973 Futures ...............................................6,084 4,316 2,617 (5,349) Foreign Currency Transactions ............................(2,636) 4,081 — — Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency .................760,265 3,950 788,540 140,290 Futures ...............................................2,541 (482) 516 (356) Translation of Foreign Currency Denominated Amounts ....... 799 (650) — — Net Increase (Decrease) in Net Assets Resulting from Operations .........................................869,674 51,046 862,015 311,065 Distributions From: Net Investment Income: Class R2 Shares ........................................(44) (336) — — Institutional Class Shares ................................(96,958) (224,465) (81,547) (125,202) Net Short-Term Gains: Institutional Class Shares ................................ — —(124) — Net Long-Term Gains: Institutional Class Shares ................................ — —(38,779) (47,852) Total Distributions .....................................(97,002) (224,801) (120,450) (173,054) Capital Share Transactions (1): Shares Issued ............................................1,131,966 2,442,715 906,063 1,529,402 Shares Issued in Lieu of Cash Distributions ....................94,144 218,177 105,596 150,286 Shares Redeemed ........................................(658,185) (2,019,049) (692,716) (1,262,506) Net Increase (Decrease) from Capital Share Transactions ....567,925 641,843 318,943 417,182 Total Increase (Decrease) in Net Assets ..................1,340,597 468,088 1,060,508 555,193 Net Assets Beginning of Period .......................................7,273,973 6,805,885 6,365,936 5,810,743 End of Period ............................................$8,614,570 $ 7,273,973 $7,426,444 $ 6,365,936 (1) Shares Issued and Redeemed: Shares Issued ............................................66,606 158,003 50,981 96,985 Shares Issued in Lieu of Cash Distributions ....................5,519 14,327 5,951 9,320 Shares Redeemed ........................................(38,305) (128,304) (38,636) (78,179) Net Increase (Decrease) from Shares Issued and Redeemed .........................................33,820 44,026 18,296 28,126 Undistributed Net Investment Income (Distributions in Excess of Net Investment Income)..................................$ 54,575 $ 40,507 $ 9,903 $ 19,630 * Net of foreign capital gain taxes withheld of $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 202 DIMENSIONAL INVESTMENT GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)DFA International Value Portfolio-Class R2 SharesSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012(Unaudited)NetAssetValue,BeginningofPeriod..................................................................................... $16.27$16.93 $ 18.48 $ 19.46 $15.72 $15.83Income from Investment OperationsNetInvestmentIncome(Loss)(A) ..................................................................................... 0.22 0.53 0.51 0.74 0.49 0.51NetGains(Losses)onSecurities(RealizedandUnrealized) ................................................................. 1.61 (0.65) (1.55) (0.93) 3.77 (0.13)TotalfromInvestmentOperations ................................................................................... 1.83 (0.12) (1.04) (0.19) 4.26 0.38Less DistributionsNetInvestmentIncome ............................................................................................. (0.20) (0.54) (0.51) (0.79) (0.52) (0.49)TotalDistributions ............................................................................................... (0.20) (0.54) (0.51) (0.79) (0.52) (0.49)NetAssetValue,EndofPeriod .........................................................................................$17.90$16.27$ 16.93$ 18.48$19.46$15.72TotalReturn........................................................................................................ 11.32%(D) (0.43)% (5.78)% (1.21)% 27.61% 2.70%Net Assets, End of Period (thousands).................................................................................... $4,760 $3,308$10,404 $11,200 $5,517 $6,407Ratio of Expenses to Average Net Assets (B).............................................................................. 0.67%(E) 0.68% 0.68% 0.68% 0.69% 0.71%Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees Recovered by Advisor) (B) . . . 0.87%(E)0.88% 0.73% 0.68% 0.69% 0.71%RatioofNetInvestmentIncometoAverageNetAssets ....................................................................... 2.60%(E) 3.42% 2.81% 3.79% 2.84% 3.33%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 203 DIMENSIONAL INVESTMENT GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)DFA International Value Portfolio-Institutional Class SharesSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012(Unaudited)NetAssetValue,BeginningofPeriod ....................................................................... $ 16.30 $ 16.92 $ 18.47 $ 19.45 $15.72 $ 15.83Income from Investment OperationsNetInvestmentIncome(Loss)(A)........................................................................ 0.24 0.55 0.56 0.84 0.52 0.54NetGains(Losses)onSecurities(RealizedandUnrealized).................................................... 1.62 (0.63) (1.56) (0.98) 3.78 (0.12)TotalfromInvestmentOperations...................................................................... 1.86 (0.08) (1.00) (0.14) 4.30 0.42Less DistributionsNetInvestmentIncome................................................................................ (0.21) (0.54) (0.55) (0.84) (0.57) (0.53)TotalDistributions.................................................................................. (0.21) (0.54) (0.55) (0.84) (0.57) (0.53)NetAssetValue,EndofPeriod............................................................................$ 17.95$ 16.30$ 16.92$ 18.47$ 19.45$ 15.72TotalReturn .......................................................................................... 11.50%(D) (0.20)% (5.58)% (0.97)% 27.90% 2.98%Net Assets, End of Period (thousands)...................................................................... $8,609,810 $7,270,665 $6,795,481 $6,991,214 $6,522,355 $5,480,888Ratio of Expenses to Average Net Assets (B)................................................................. 0.42%(E) 0.43% 0.43% 0.43% 0.43% 0.45%Ratio of Expenses to Average Net Assets (Fees (Waived), (Expenses Reimbursed), and/or Previously Waived Fees RecoveredbyAdvisorandFeesPaidIndirectly)(B) ................................................................... 0.62%(E) 0.63% 0.49% 0.43% 0.43% 0.45%RatioofNetInvestmentIncometoAverageNetAssets ......................................................... 2.83%(E) 3.51% 3.10% 4.29% 3.00% 3.54%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 204 DIMENSIONAL INVESTMENT GROUP INC.FINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)U.S. Large Company PortfolioSix MonthsEndedApril 30,2017YearEndedOct. 31,2016YearEndedOct. 31,2015YearEndedOct. 31,2014YearEndedOct. 31,2013YearEndedOct. 31,2012(Unaudited)NetAssetValue,BeginningofPeriod ....................................................................... $ 16.67 $ 16.42 $ 15.94 $ 13.87 $11.15 $ 9.90Income from Investment OperationsNetInvestmentIncome(Loss)(A) ........................................................................ 0.18 0.35 0.33 0.29 0.27 0.22NetGains(Losses)onSecurities(RealizedandUnrealized) .................................................... 2.02 0.38 0.47 2.07 2.71 1.25TotalfromInvestmentOperations ...................................................................... 2.20 0.73 0.80 2.36 2.98 1.47Less DistributionsNetInvestmentIncome ................................................................................ (0.21) (0.34) (0.32) (0.29) (0.26) (0.22)NetRealizedGains ................................................................................... (0.10) (0.14)————TotalDistributions .................................................................................. (0.31) (0.48) (0.32) (0.29) (0.26) (0.22)NetAssetValue,EndofPeriod ............................................................................$ 18.56$ 16.67$ 16.42$ 15.94$ 13.87$ 11.15TotalReturn .......................................................................................... 13.28%(D) 4.54% 5.09% 17.17% 27.10% 15.02%Net Assets, End of Period (thousands)...................................................................... $7,426,444 $6,365,936 $5,810,743 $5,668,374 $4,917,336 $4,037,336Ratio of Expenses to Average Net Assets.................................................................... 0.08%(E) 0.08% 0.08% 0.08% 0.09% 0.10%Ratio of Expenses to Average Net Assets (Excluding Fees (Waived), (Expenses Reimbursed), and/or Previously Waived FeesRecoveredbyAdvisor) ................................................................................ 0.08%(E) 0.08% 0.09% 0.08% 0.10%0.10%RatioofNetInvestmentIncometoAverageNetAssets.......................................................... 2.05%(E) 2.17% 2.05% 1.95% 2.13% 2.10%PortfolioTurnoverRate .................................................................................. 3%(D) 9% 2% 3% 3% 4%See page 1 for the Definitions of Abbreviations and Footnotes.See accompanying Notes to Financial Statements. 205 DIMENSIONAL INVESTMENT GROUP INC. NOTES TO FINANCIAL STATEMENTS (Unaudited) A. Organization: Dimensional Investment Group Inc. (the “Fund”) is an open-end management investment company registered under the Investment Company Act of 1940, whose shares are generally offered to institutional investors, retirement plans and clients of registered investment advisors. The Fund consists of fourteen portfolios, two of which, DFA International Value Portfolio and U.S. Large Company Portfolio (the “Portfolios”), are presented in this section of the report. The remaining operational portfolios are presented in separate reports. The Portfolios are investment companies, and accordingly, follow the accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Certification (“ASC”) Topic 946, “Financial Services-Investment Companies.” DFA International Value Portfolio (the “Feeder Fund”) primarily invests its assets in The DFA International Value Series (the “Series”), a corresponding series of The DFA Investment Trust Company. At April 30, 2017, the Feeder Fund owned 77% of the Series. The financial statements of the Series are included elsewhere in this report and should be read in conjunction with the financial statements of the Feeder Fund. B. Significant Accounting Policies: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1.Security Valuation:The Portfolios utilize a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: • Level 1 – inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, futures contracts) • Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) • Level 3 – significant unobservable inputs (including the Portfolios’ own assumptions in determining the fair value of investments) The Feeder Fund’s investment reflects its proportionate interest in the net assets of the Series. This valuation is classified as Level 1 in the hierarchy. Securities held by U.S. Large Company Portfolio, including over-the-counter securities, are valued at the last quoted sale price of the day. Securities held by the Portfolio that are listed on Nasdaq are valued at the Nasdaq Official Closing Price (“NOCP”). If there is no last reported sale price or NOCP for the day, the Portfolio values the securities within the range of the most recent quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end management investment companies are valued using their respective net asset values or public offering prices, as appropriate, for purchase orders placed at the close of the New York Stock Exchange (NYSE). These securities are generally categorized as Level 1 in the hierarchy. Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures 206 adopted by the Board of Directors of the Fund. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of Dimensional Fund Advisors LP) occur before the net asset value of the Portfolio is calculated. When fair value pricing is used, the prices of securities used by the Portfolio may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. Futures contracts held by U.S. Large Company Portfolio are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy. A summary of the inputs used to value the Portfolios’ investments by each major security type, industry and/or country is disclosed previously in this note. A valuation hierarchy table has been included at the end of the Summary Schedule of Portfolio Holdings/Schedule of Investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For the six months ended April 30, 2017, there were no significant transfers between Level 1 and Level 2 and no significant Level 3 investments held by the Portfolios. 2.Deferred Compensation Plan:Each eligible Director of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the “Plan”). Under the Plan, effective January 1, 2002, such Directors may defer payment of all or a portion of their total fees earned as a Director. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors’/ 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 (unless the Director files an amended Notice selecting a different distribution date). As of April 30, 2017, none of the Directors have requested or received a distribution of proceeds of a deferred fee account. 3.Other:The Feeder Fund recognizes its pro-rata share, on a daily basis, of net investment income and realized and unrealized gains and losses of investment securities from the Series, which is treated as a partnership for federal income tax purposes. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments or as a realized gain, respectively. The Portfolios estimate the character of distributions received that may be considered return of capital distributions. Expenses directly attributable to a Portfolio are directly charged. Common expenses of the Fund or the Portfolios are allocated using methods approved by the Board of Directors, generally based on average net assets. Class R2 Shares and Institutional Class Shares have equal rights to assets and earnings of the Feeder Fund. Income, gains and losses, and common expenses of the Feeder Fund are allocated to each class of shares based on its relative net assets. Each class will bear its own class-specific expenses, if any. 207 C. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides investment management services to the Portfolio. For the six months ended April 30, 2017, the U.S. Large Company Portfolio’s and the Feeder Fund’s investment management fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.06% and 0.40%, respectively, of average daily net assets. Pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption Agreement (the “Fee Waiver Agreement”), the Advisor has contractually agreed to waive certain fees, and in certain instances, assume certain expenses of the Portfolios, as described in the notes below. The Fee Waiver Agreement for the U.S. Large Company Portfolio, and a portion of the Fee Waiver Agreement for the Feeder Fund, will remain in effect through February 28, 2018, and may only be terminated by the Fund’s Board of Directors prior to that date and shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. The Fee Waiver Agreement with respect to the total management fees paid by the Feeder Fund, as described in the notes below, will remain in effect permanently, unless terminated by the Feeder Fund. For the six months ended April 30, 2017, the Portfolios had expense limits based on a percentage of average net assets on an annualized basis, and the Advisor recovered previously waived fees and/or expenses assumed as listed below (amounts in thousands). Previously waived fees subject to future recovery by the Advisor and the net amount of waived fees/expenses assumed (recovered previously waived fees/expenses assumed) during the six months ended April 30, 2017, are also reflected below (amounts in thousands). The Portfolios are not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of recovery. Institutional Class Shares Expense Limitation Amount Recovery of Previously Waived Fees/ Expenses Assumed Previously Waived Fees/ Expenses Assumed Subject to Future Recovery Net Waived Fees/Expenses Assumed (Recovered Previously Waived Fees/Expenses Assumed) DFA International Value Portfolio (1) 0.40% — — $7,842 U.S. Large Company Portfolio (2) . . . 0.08% $117 $744 (78) Class R2 Shares DFA International Value Portfolio (1) 0.79% — — 4 (1) Effective July 21, 2015, the Advisor has contractually agreed to permanently waive all or a portion of the management fee of the DFA International Value Portfolio to the extent necessary to limit the total management fees paid to the Advisor by the Portfolio, including the proportionate share of the management fees the Portfolio pays indirectly through its investment in other funds managed by the Advisor, except for the fees paid indirectly through its investment of securities lending cash collateral in The DFA Short Term Investment Fund, to 0.40% of the average net assets of a class of the Portfolio on an annualized basis (the “Permanent Fee Waiver”). In addition to the Permanent Fee Waiver, the Advisor has contractually agreed (including for the time period prior to July 21, 2015) to assume the direct expenses of Class R2 shares of the Portfolio (excluding management fees and custodian fees), to the extent necessary to limit the annualized expenses of Class R2 shares of the Portfolio (excluding the expenses the Portfolio incurs indirectly through investment in other investment companies) to the rate listed above (the “Annualized Expense Ratio”). At any time that the annualized expenses of Class R2 shares of the Portfolio are less than the Annualized Expense Ratio identified above, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that the amount of such recovery does not cause the annualized expense ratio of Class R2 shares of the Portfolio to exceed the Annualized Expense Ratio identified above. Except, the Portfolio is not obligated to reimburse the Advisor for fees waived in connection with the Permanent Fee Waiver. (2) Effective August 1, 2013, the Advisor has contractually agreed to waive all or a portion of its management fee to the extent necessary to reduce the ordinary operating expenses (excluding expenses incurred through investment in other investment companies) (“Portfolio Expenses”) of the U.S. Large Company Portfolio so that the Portfolio Expenses, on an annualized basis, do not exceed the rate listed above as a percentage of the Portfolio’s average net assets (the “Annualized Expense Ratio”). At any time that the annualized Portfolio Expenses of the 208 Portfolio are less than the Annualized Expense Ratio identified above, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that the amount of such recovery will not cause the annualized Portfolio Expenses of the Portfolio to exceed the applicable Annualized Expense Ratio identified above. Prior to August 1, 2013, the Advisor contractually agreed to waive all or a portion of its administration fee to the extent necessary to reduce the Portfolio Expenses of the Portfolio so that such Portfolio Expenses did not exceed 0.10% of the Portfolio’s average net assets on an annualized basis. 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, 2017, the total related amounts paid by the Fund to the CCO were $15 (in thousands). The total related amounts paid by each Portfolio are included in Other Expenses on the Statement of Operations. D. Deferred Compensation: At April 30, 2017, the total liability for deferred compensation to Directors is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follows (amounts in thousands): DFA International Value Portfolio ...............................................$259 U.S. Large Company Portfolio ................................................. 307 E. Purchases and Sales of Securities: For the six months ended April 30, 2017, U.S. Large Company Portfolio’s transactions related to investment securities, other than short-term securities and U.S. government securities (amounts in thousands), were as follows: Purchases Sales U.S. Large Company Portfolio ...................................$446,655 $185,057 There were no purchases or sales of long-term U.S. government securities. F. Federal Income Taxes: Each Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to its shareholders. Accordingly, no provision has been made for federal income taxes. Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income, accumulated net realized gains or losses, or unrealized appreciation, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of October 31, 2016, primarily attributable to net foreign currency gains/losses, foreign capital gains tax reclass and 209 realized gains on securities considered to be “passive foreign investment companies”, were reclassified to the following accounts. These reclassifications had no effect on net assets or net asset value per share (amounts in thousands): Increase (Decrease) Paid-In Capital Increase (Decrease) Undistributed Net Investment Income Increase (Decrease) Accumulated Net Realized Gains (Losses) DFA International Value Portfolio ......................$(303,109) $7,584 $295,525 U.S. Large Company Portfolio ........................5,155 2,682 (7,837) The tax character of dividends and distributions declared and paid during the years ended October 31, 2015 and October 31, 2016 were as follows (amounts in thousands): Net Investment Income and Short-Term Capital Gains Long-Term Capital Gains Total DFA International Value Portfolio 2015 .................................................$211,038 — $211,038 2016 .................................................224,802 — 224,802 U.S. Large Company Portfolio 2015 .................................................110,940 — 110,940 2016 .................................................125,202 $47,852 173,054 At October 31, 2016, the following net investment income and short-term capital gains and long-term capital gains distributions designated for federal income tax purposes are due to the utilization of accumulated earnings and profits distributed to shareholders upon redemption of shares (amounts in thousands): Net Investment Income and Short-Term Capital Gains Long-Term Capital Gains Total U.S. Large Company Portfolio .............................$(3,737) $(1,254) $(4,991) At October 31, 2016, the components of distributable earnings (accumulated losses) were as follows (amounts in thousands): Undistributed Net Investment Income and Short-Term Capital Gains Undistributed Long-Term Capital Gains Capital Loss Carryforwards Unrealized Appreciation (Depreciation) Total Net Distributable Earnings (Accumulated Losses) DFA International Value Portfolio .....$48,835 — $(176,437) $ (68,856) $ (196,458) U.S. Large Company Portfolio ........20,036 $38,777 — 2,855,003 2,913,816 For federal income tax purposes, the Fund measures its capital loss carryforwards annually at October 31, its fiscal year end. Capital loss carryforwards may be carried forward and applied against future capital gains. Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by these Portfolios after October 31, 2011 will not be subject to expiration and will retain their character as either short-term or long-term capital losses. In addition, such losses must be utilized prior to the losses incurred in the years preceding enactment. As of October 31, 2016, the Portfolios had the following capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates (amounts in thousands): Unlimited Total DFA International Value Portfolio .................................$176,437 $176,437 U.S. Large Company Portfolio ................................... — — 210 At April 30, 2017, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands): Federal Tax Cost Unrealized Appreciation Unrealized Depreciation Net Unrealized Appreciation (Depreciation) DFA International Value Portfolio ....................$7,894,749 $ 722,984 $ — $ 722,984 U.S. Large Company Portfolio ......................4,042,583 3,699,971 (58,873) 3,641,098 The difference between book-basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales and investments in passive foreign investment companies. Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed the Portfolios’ tax positions and has concluded that no additional provision for income tax is required in the Portfolios’ financial statements. The Portfolios are not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Portfolios’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. G. Capital Share Transactions: The capital share transactions by class were as follows (amounts in thousands): Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 (Unaudited) Amount Shares Amount Shares DFA International Value Portfolio Class R2 Shares Shares Issued ....................................... $2,023 118 $ 2,205 144 Shares Issued in Lieu of Cash Distributions ............... 44 3 336 22 Shares Redeemed ....................................(1,001) (58) (8,814) (578) Net Increase (Decrease) — Class R2 Shares ................ $1,066 63 $ (6,273) (412) Institutional Class Shares Shares Issued .......................................$1,129,943 66,488 $ 2,440,510 157,859 Shares Issued in Lieu of Cash Distributions ...............94,100 5,516 217,841 14,305 Shares Redeemed ....................................(657,184) (38,247) (2,010,235) (127,726) Net Increase (Decrease) — Institutional Class Shares ......... $566,859 33,757 $ 648,116 44,438 H. Financial Instruments: In accordance with the Portfolio’s investment objectives and policies, the Portfolios may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Portfolios. 1.Futures Contracts:The Portfolios may purchase or sell futures contracts and options on futures contracts for equity securities and indices to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolios. The Portfolios, however, do not intend to sell futures contracts to establish short positions in individual securities. Upon entering into a futures contract, the Portfolios deposit cash or pledge U.S. government 211 securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Portfolios as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolios record a realized gain or loss, which is presented in the Statements of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Portfolios could lose more than the initial margin requirements. The Portfolios entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. At April 30, 2017, the U.S. Large Company Portfolio had the following outstanding futures contracts (dollar amounts in thousands): Description Expiration Date Number of Contracts* Contract Value Unrealized Gain (Loss) Cash Collateral U.S. Large Company Portfolio ................. S&P500Emini Index ®06/16/17 333 $39,635 $418 $1,460 $39,635 $418 $1,460 The average volume (based on the open positions at each fiscal month-end) of derivative activity for the six months ended April 30, 2017 (amounts in thousands): Futures U.S. Large Company Portfolio ...............................................$27,049 The following is a summary of the location of derivatives on the U.S. Large Company Portfolio’s Statements of Assets and Liabilities as of April 30, 2017: Location on the Statements of Assets and Liabilities Derivative Type Liability Derivatives Equity contracts Payables: Futures Margin Variation The following is a summary of the U.S. Large Company Portfolio’s derivative instrument holdings categorized by primary risk exposure as of April 30, 2017 (amounts in thousands): Asset Derivatives Value Total Value at April 30, 2017 Equity Contracts* U.S. Large Company Portfolio ........................................$418 $418 * Includes cumulative appreciation (depreciation) of futures contracts. Only current day’s margin variation is reported within the Statements of Assets and Liabilities. The following is a summary of the location of realized and change in unrealized gains and losses on the Portfolios’ Statements of Operations for the Portfolios’ derivative instrument holdings for the six months ended April 30, 2017: Derivative Type Location of Gain (Loss) on Derivatives Recognized in Income Equity contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures 212 The following is a summary of the realized and change in unrealized gains and losses from the Portfolios’ direct investment in derivative instrument holdings categorized by primary risk exposure through the six months ended April 30, 2017 (amounts in thousands): Realized Gain (Loss) on Derivatives Total Equity Contracts DFA International Value Portfolio*....................................$6,084 $6,084 U.S. Large Company Portfolio .......................................2,617 2,617 Change in Unrealized Appreciation (Depreciation) on Derivatives Total Equity Contracts DFA International Value Portfolio*....................................$2,541 $2,541 U.S. Large Company Portfolio ....................................... 516 516 * As of April 30, 2017, there were no futures contracts outstanding. During the six months ended April 30, 2017, the Portfolios had limited activity in futures contracts. 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 29, 2017, with its domestic custodian bank. A line of credit with similar terms was in effect through March 29, 2017. 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 28, 2018. 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 6, 2017. A line of credit with similar terms was in effect through January 6, 2017. 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 5, 2018. For the six months ended April 30, 2017, borrowings by the Portfolios under the lines of credit were as follows (amounts in thousands, except percentages and days): Weighted Average Interest Rate Weighted Average Loan Balance Number of Days Outstanding* Interest Expense Incurred Maximum Amount Borrowed During the Period U.S. Large Company Portfolio ...........1.59% $12,591 19 $10 $46,041 * Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2017, that the Portfolio’s available line of credit was utilized. There were no outstanding borrowings by the Portfolios under the lines of credit as of April 30, 2017. Pursuant to an exemptive order issued by the SEC (the “Order”), the U.S. Large Company Portfolio may participate in an interfund lending program among certain portfolios managed by the Advisor (portfolios that operate as feeder funds do not participate in the program). The program allows the participating portfolios to borrow money from and loan money to each other for temporary or emergency purposes, subject to the conditions in the Order. A loan can only be made through the program if the interfund loan rate on that day is more favorable 213 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 U.S. Large Company Portfolio did not utilize the interfund lending program during the six months ended April 30, 2017. J. Securities Lending: As of April 30, 2017, U.S. Large Company Portfolio had securities on loan to brokers/dealers, for which the Portfolio received cash collateral. The non-cash collateral includes short and/or long term U.S. Treasuries and U.S. Government Agency Securities with a market value of $244,981 (amount in thousands). The Portfolio invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral in an amount (i) equal to at least 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) generally equal to 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) generally equal to 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Portfolio’s collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Portfolio or, at the option of the lending agent, to replace the securities. In the event of the bankruptcy of the borrower, a Portfolio could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value. Subject to its stated investment policies, the Portfolio will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the “Money Market Series”), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. The Portfolio also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage- backed securities. In addition, the Portfolio will be able to terminate the loan at any time and will receive reasonable 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, 2017: Remaining Contractual Maturity of the Agreements As of April 30, 2017 Overnight and Continuous <30 days Between 30 & 90 days >90 days Total Securities Lending Transactions U.S. Large Company Portfolio Common Stocks .......................$263,734,682 — — — $263,734,682 K. Shareholder Servicing Fees: The Class R2 Shares pay a shareholder servicing fee in an amount up to 0.25% of their annual average net assets to compensate service agents that provide shareholder servicing, record keeping, account maintenance and other services to investors in the DFA International Value Portfolio’s Class R2 Shares. 214 L. Indemnitees; Contractual Obligations: Under the Fund’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. M. Other: At April 30, 2017, the following number of shareholders held the following approximate percentages of the Portfolios’ outstanding shares. One or more of the shareholders may be omnibus accounts, which typically hold shares for the benefit of several other underlying investors. Number of Shareholders Approximate Percentage of Outstanding Shares DFA International Value Portfolio-Class R2 Shares .............. 5 99% DFA International Value Portfolio-Institutional Class Shares ...... 4 74% U.S. Large Company Portfolio ............................... 4 74% N. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Portfolios through the date that the financial statements were issued and has determined that there are no other subsequent events requiring recognition or disclosure in the financial statements. 215 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 funds paid distributions to shareholders of record a portion of which is estimated to be in excess of a fund’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 fund will not be available until the end of a fund’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 Portfolio Name Net income for the current or preceding fiscal year, and accumulated undistributed net income Accumulated undistributed net profits from the sale of securities or other properties Paid-in surplus or other capital source DFA International Value Portfolio December 15, 2016 .................................. 85% 0% 15% U.S. Large Company Portfolio December 14, 2016 .................................. 90% 0% 10% 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. 216 THE DFA INVESTMENT TRUST COMPANY DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund’s costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return and “Expenses Paid During Period” reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.” Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund’s costs with those of other mutual funds. The hypothetical “Ending Account Value” and “Expenses Paid During Period” are derived from the fund’s actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The “Annualized Expense Ratio” represents the actual expenses for the six-month period indicated. Six Months Ended April 30, 2017 EXPENSE TABLES Beginning Account Value 11/01/16 Ending Account Value 04/30/17 Annualized Expense Ratio* Expenses Paid During Period* The U.S. Large Cap Value Series Actual Fund Return ............................$1,000.00 $1,152.90 0.11% $0.59 Hypothetical 5% Annual Return ..................$1,000.00 $1,024.25 0.11% $0.55 The DFA International Value Series Actual Fund Return ............................$1,000.00 $1,115.30 0.22% $1.15 Hypothetical 5% Annual Return ..................$1,000.00 $1,023.70 0.22% $1.10 217 DISCLOSURE OF FUND EXPENSES CONTINUED Beginning Account Value 11/01/16 Ending Account Value 04/30/17 Annualized Expense Ratio* Expenses Paid During Period* The Japanese Small Company Series Actual Fund Return ............................$1,000.00 $1,071.10 0.13% $0.67 Hypothetical 5% Annual Return ..................$1,000.00 $1,024.15 0.13% $0.65 The Asia Pacific Small Company Series Actual Fund Return ............................$1,000.00 $1,050.60 0.13% $0.66 Hypothetical 5% Annual Return ..................$1,000.00 $1,024.15 0.13% $0.65 The United Kingdom Small Company Series Actual Fund Return ............................$1,000.00 $1,207.20 0.12% $0.66 Hypothetical 5% Annual Return ..................$1,000.00 $1,024.20 0.12% $0.60 The Continental Small Company Series Actual Fund Return ............................$1,000.00 $1,183.80 0.12% $0.65 Hypothetical 5% Annual Return ..................$1,000.00 $1,024.20 0.12% $0.60 The Canadian Small Company Series Actual Fund Return ............................$1,000.00 $1,050.00 0.11% $0.56 Hypothetical 5% Annual Return ..................$1,000.00 $1,024.25 0.11% $0.55 The Emerging Markets Series Actual Fund Return ............................$1,000.00 $1,093.90 0.15% $0.78 Hypothetical 5% Annual Return ..................$1,000.00 $1,024.05 0.15% $0.75 The Emerging Markets Small Cap Series Actual Fund Return ............................$1,000.00 $1,100.60 0.26% $1.35 Hypothetical 5% Annual Return ..................$1,000.00 $1,023.51 0.26% $1.30 * 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. 218 THE DFA INVESTMENT TRUST COMPANY DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For The DFA Investment Trust Company, this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. The DFA Investment Trust Company filed its most recent Form N-Q with the SEC on March 30, 2017. They are available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). SEC regulations permit a fund to include in its reports to shareholders a “Summary Schedule of Portfolio Holdings” in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund’s 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund’s net assets at the end of the reporting period. The regulations also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. A fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. DOMESTIC AND INTERNATIONAL EQUITY PORTFOLIOS The U.S. Large Cap Value Series Consumer Discretionary ..........13.5% Consumer Staples ...............7.0% Energy ........................11.6% Financials ......................23.0% Health Care ....................12.3% Industrials ......................9.4% Information Technology ...........14.6% Materials .......................3.7% Telecommunication Services ......4.7% Utilities ........................0.2% 100.0% The DFA International Value Series Consumer Discretionary ..........13.2% Consumer Staples ...............2.4% Energy ........................14.6% Financials ......................32.7% Health Care ....................1.9% Industrials ......................9.7% Information Technology ...........3.2% Materials .......................14.7% Real Estate .....................2.3% Telecommunication Services ......3.8% Utilities ........................1.5% 100.0% The Japanese Small Company Series Consumer Discretionary ..........19.1% Consumer Staples ...............8.2% Energy ........................1.0% Financials ......................8.8% Health Care ....................5.1% Industrials ......................28.6% Information Technology ...........14.0% Materials .......................12.0% Real Estate .....................2.1% Telecommunication Services ......0.1% Utilities ........................1.0% 100.0% 219 DISCLOSURE OF PORTFOLIO HOLDINGS CONTINUED The Asia Pacific Small Company Series Consumer Discretionary ..........24.9% Consumer Staples ...............6.0% Energy ........................2.9% Financials ......................10.9% Health Care ....................5.6% Industrials ......................16.6% Information Technology ...........6.7% Materials .......................13.5% Real Estate .....................7.0% Telecommunication Services ......2.7% Utilities ........................3.2% 100.0% The United Kingdom Small Company Series Consumer Discretionary ..........20.4% Consumer Staples ...............5.4% Energy ........................4.8% Financials ......................14.3% Health Care ....................3.6% Industrials ......................29.1% Information Technology ...........9.3% Materials .......................7.6% Real Estate .....................2.6% Telecommunication Services ......1.1% Utilities ........................1.8% 100.0% The Continental Small Company Series Consumer Discretionary ..........13.3% Consumer Staples ...............5.7% Energy ........................2.8% Financials ......................11.6% Health Care ....................8.8% Industrials ......................26.4% Information Technology ...........10.6% Materials .......................10.2% Real Estate .....................5.3% Telecommunication Services ......2.7% Utilities ........................2.6% 100.0% The Canadian Small Company Series Consumer Discretionary ..........9.9% Consumer Staples ...............5.0% Energy ........................21.2% Financials ......................6.0% Health Care ....................2.0% Industrials ......................12.3% Information Technology ...........5.3% Materials .......................29.3% Real Estate .....................2.6% Utilities ........................6.4% 100.0% The Emerging Markets Series Consumer Discretionary ..........10.1% Consumer Staples ...............8.2% Energy ........................6.8% Financials ......................23.5% Health Care ....................2.5% Industrials ......................7.2% Information Technology ...........22.7% Materials .......................9.1% Real Estate .....................1.8% Telecommunication Services ......5.2% Utilities ........................2.9% 100.0% The Emerging Markets Small Cap Series Consumer Discretionary ..........17.1% Consumer Staples ...............7.5% Energy ........................1.6% Financials ......................8.8% Health Care ....................6.5% Industrials ......................14.6% Information Technology ...........16.9% Materials .......................12.8% Real Estate .....................7.8% Telecommunication Services ......1.1% Utilities ........................5.3% 100.0% 220 THE U.S. LARGE CAP VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value† Percentage of Net Assets** COMMON STOCKS — (95.3%) Consumer Discretionary — (12.9%) * Charter Communications, Inc. Class A ......................956,927 $ 330,292,923 1.3% Comcast Corp. Class A ..................................21,211,780 831,289,658 3.4% Ford Motor Co..........................................15,336,087 175,904,918 0.7% General Motors Co......................................5,741,467 198,884,417 0.8% Royal Caribbean Cruises, Ltd.............................1,461,968 155,845,789 0.6% Time Warner, Inc........................................3,804,556 377,678,274 1.5% Other Securities ........................................1,237,062,804 5.1% Total Consumer Discretionary .................................3,306,958,783 13.4% Consumer Staples — (6.7%) CVS Health Corp........................................3,989,908 328,928,016 1.3% Mondelez International, Inc. Class A .......................3,943,573 177,579,092 0.7% Wal-Mart Stores, Inc.....................................5,609,449 421,718,376 1.7% Other Securities ........................................796,139,783 3.3% Total Consumer Staples ......................................1,724,365,267 7.0% Energy — (11.0%) Chevron Corp...........................................3,705,888 395,418,250 1.6% ConocoPhillips .........................................3,218,408 154,193,927 0.6% Exxon Mobil Corp.......................................11,307,726 923,275,828 3.7% Valero Energy Corp......................................2,810,052 181,557,460 0.7% Other Securities ........................................1,183,622,848 4.9% Total Energy ................................................2,838,068,313 11.5% Financials — (21.9%) American International Group, Inc..........................2,742,987 167,075,338 0.7% Bank of America Corp....................................21,700,899 506,498,983 2.1% Bank of New York Mellon Corp. (The)......................4,371,565 205,725,849 0.8% Capital One Financial Corp...............................2,042,506 164,176,632 0.7% Citigroup, Inc...........................................8,942,092 528,656,479 2.1% Fifth Third Bancorp ......................................5,417,348 132,345,812 0.5% Goldman Sachs Group, Inc. (The).........................1,040,153 232,786,241 0.9% Hartford Financial Services Group, Inc. (The)................2,880,302 139,291,405 0.6% JPMorgan Chase & Co...................................11,460,834 997,092,558 4.0% Morgan Stanley .........................................3,862,094 167,499,017 0.7% PNC Financial Services Group, Inc. (The)...................1,341,871 160,689,052 0.7% Travelers Cos., Inc. (The)................................1,129,653 137,433,584 0.6% Wells Fargo & Co.......................................4,436,796 238,877,097 1.0% Other Securities ........................................1,852,943,282 7.4% Total Financials .............................................5,631,091,329 22.8% Health Care — (11.7%) Abbott Laboratories .....................................4,117,151 179,672,470 0.7% Aetna, Inc..............................................1,805,018 243,803,781 1.0% Anthem, Inc............................................1,447,321 257,463,933 1.0% Danaher Corp..........................................2,154,324 179,519,819 0.7% * Express Scripts Holding Co...............................2,740,464 168,100,062 0.7% Humana, Inc............................................708,361 157,241,975 0.6% Medtronic P.L.C.........................................4,179,517 347,276,068 1.4% Pfizer, Inc..............................................16,341,666 554,309,311 2.3% Thermo Fisher Scientific, Inc..............................1,050,474 173,674,866 0.7% 221 THE U.S. LARGE CAP VALUE SERIES CONTINUED Shares Value† Percentage of Net Assets** Health Care — (Continued) Other Securities ........................................ $742,504,228 3.0% Total Health Care ...........................................3,003,566,513 12.1% Industrials — (9.0%) CSX Corp..............................................5,240,612 266,432,714 1.1% Delta Air Lines, Inc......................................2,872,498 130,526,309 0.5% Norfolk Southern Corp...................................1,571,094 184,587,834 0.7% Republic Services, Inc...................................2,082,943 131,204,580 0.5% Stanley Black & Decker, Inc...............................1,101,159 149,922,798 0.6% Other Securities ........................................1,446,022,833 5.9% Total Industrials .............................................2,308,697,068 9.3% Information Technology — (13.9%) Cisco Systems, Inc......................................19,508,609 664,658,309 2.7% Hewlett Packard Enterprise Co............................9,176,127 170,951,246 0.7% HP, Inc................................................9,619,949 181,047,440 0.7% Intel Corp..............................................22,961,820 830,069,793 3.4% # Lam Research Corp.....................................1,022,498 148,108,835 0.6% * Micron Technology, Inc..................................5,266,057 145,711,797 0.6% NVIDIA Corp...........................................1,824,559 190,301,504 0.8% QUALCOMM, Inc.......................................2,686,624 144,379,174 0.6% Other Securities ........................................1,092,435,693 4.3% Total Information Technology .................................3,567,663,791 14.4% Materials — (3.5%) Nucor Corp............................................2,299,243 141,012,573 0.6% Other Securities ........................................757,131,978 3.0% Total Materials ..............................................898,144,551 3.6% Real Estate — (0.0%) Other Securities ........................................8,492,863 0.0% Telecommunication Services — (4.5%) AT&T, Inc..............................................23,201,858 919,489,632 3.7% Other Securities ........................................231,418,744 1.0% Total Telecommunication Services .............................1,150,908,376 4.7% Utilities — (0.2%) Other Securities ........................................42,210,023 0.2% TOTAL COMMON STOCKS ..................................24,480,166,877 99.0% RIGHTS/WARRANTS — (0.0%) Other Securities ........................................208,566 0.0% TOTAL INVESTMENT SECURITIES ...........................24,480,375,443 TEMPORARY CASH INVESTMENTS — (1.1%) State Street Institutional U.S. Government Money Market Fund, 0.680%.............................................288,414,347 288,414,347 1.2% SECURITIES LENDING COLLATERAL — (3.6%) §@ DFA Short Term Investment Fund .........................79,584,549 921,031,983 3.7% TOTAL INVESTMENTS — (100.0%) (Cost $17,961,870,109)....................................$25,689,821,773 103.9% 222 THE U.S. LARGE CAP VALUE SERIES CONTINUED Summary of the Series’ investments as of April 30, 2017, 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 .......................... $3,306,958,783 — — $ 3,306,958,783 Consumer Staples ...............................1,724,365,267 — — 1,724,365,267 Energy .........................................2,838,068,313 — — 2,838,068,313 Financials ......................................5,631,091,329 — — 5,631,091,329 Health Care ....................................3,003,566,513 — — 3,003,566,513 Industrials ......................................2,308,697,068 — — 2,308,697,068 Information Technology ...........................3,567,663,791 — — 3,567,663,791 Materials .......................................898,144,551 — — 898,144,551 Real Estate .....................................8,492,863 — — 8,492,863 Telecommunication Services ......................1,150,908,376 — — 1,150,908,376 Utilities .........................................42,210,023 — — 42,210,023 Rights/Warrants ................................... — $208,566 — 208,566 Temporary Cash Investments ........................288,414,347 — — 288,414,347 Securities Lending Collateral ........................ —921,031,983 — 921,031,983 Futures Contracts**................................1,385,776 — — 1,385,776 TOTAL ..........................................$24,769,967,000 $921,240,549 — $25,691,207,549 ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note G) See accompanying Notes to Financial Statements. 223 THE DFA INTERNATIONAL VALUE SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value†† Percentage of Net Assets** COMMON STOCKS — (91.2%) AUSTRALIA — (6.0%) Australia & New Zealand Banking Group, Ltd.................5,694,220 $ 139,388,687 1.3% BHP Billiton, Ltd..........................................6,202,634 110,431,283 1.0% # BHP Billiton, Ltd. Sponsored ADR ..........................1,703,682 60,651,079 0.5% Woodside Petroleum, Ltd..................................2,846,042 68,508,412 0.6% Other Securities .........................................333,550,416 3.0% TOTAL AUSTRALIA ..........................................712,529,877 6.4% AUSTRIA — (0.1%) Other Securities .........................................11,349,837 0.1% BELGIUM — (1.0%) Other Securities .........................................116,069,925 1.0% CANADA — (7.2%) Bank of Montreal .........................................1,609,124 114,006,435 1.0% Manulife Financial Corp...................................3,005,038 52,701,813 0.5% Suncor Energy, Inc.......................................3,911,426 122,582,195 1.1% Other Securities .........................................575,405,187 5.1% TOTAL CANADA .............................................864,695,630 7.7% DENMARK — (1.7%) Vestas Wind Systems A.S.................................636,500 54,768,619 0.5% Other Securities .........................................151,735,285 1.3% TOTAL DENMARK ...........................................206,503,904 1.8% FINLAND — (0.8%) Other Securities .........................................101,406,100 0.9% FRANCE — (9.4%) # AXASA ................................................2,945,233 78,579,188 0.7% # BNP Paribas SA .........................................1,948,140 137,494,233 1.2% Cie de Saint-Gobain ......................................1,715,632 92,570,057 0.8% # Engie SA ...............................................4,083,126 57,572,240 0.5% Orange SA ..............................................5,375,197 83,193,733 0.7% Renault SA .............................................797,219 74,341,567 0.7% Societe Generale SA .....................................1,935,625 106,135,467 0.9% Total SA ................................................5,191,725 266,507,837 2.4% Other Securities .........................................227,414,521 2.1% TOTAL FRANCE .............................................1,123,808,843 10.0% GERMANY — (7.1%) Allianz SE ..............................................730,758 139,119,953 1.2% Allianz SE Sponsored ADR ................................2,811,910 53,451,597 0.5% Bayerische Motoren Werke AG .............................1,004,588 95,980,102 0.9% Daimler AG .............................................2,793,294 208,140,301 1.9% Other Securities .........................................349,162,383 3.0% TOTAL GERMANY ...........................................845,854,336 7.5% HONG KONG — (2.5%) CK Hutchison Holdings, Ltd................................6,496,484 81,123,446 0.7% Other Securities .........................................222,111,215 2.0% TOTAL HONG KONG .........................................303,234,661 2.7% 224 THE DFA INTERNATIONAL VALUE SERIES CONTINUED Shares Value†† Percentage of Net Assets** IRELAND — (0.2%) Other Securities ......................................... $29,131,060 0.3% ISRAEL — (0.4%) Other Securities .........................................43,478,987 0.4% ITALY — (1.5%) * UniCredit SpA ...........................................4,382,253 71,353,969 0.6% Other Securities .........................................105,827,466 1.0% TOTAL ITALY ...............................................177,181,435 1.6% JAPAN — (20.3%) Hitachi, Ltd..............................................12,504,000 69,076,694 0.6% Honda Motor Co., Ltd.....................................4,256,100 123,876,586 1.1% Mitsubishi UFJ Financial Group, Inc.........................17,854,906 113,139,273 1.0% Mizuho Financial Group, Inc................................49,478,100 90,442,450 0.8% Nissan Motor Co., Ltd.....................................6,443,700 61,379,912 0.6% Sumitomo Mitsui Financial Group, Inc........................2,854,200 105,978,196 1.0% Other Securities .........................................1,869,223,662 16.6% TOTAL JAPAN ...............................................2,433,116,773 21.7% NETHERLANDS — (2.9%) ING Groep NV ...........................................6,261,830 102,064,860 0.9% Other Securities .........................................245,236,517 2.2% TOTAL NETHERLANDS .......................................347,301,377 3.1% NEW ZEALAND — (0.1%) Other Securities .........................................14,021,311 0.1% NORWAY — (0.6%) Other Securities .........................................77,013,604 0.7% PORTUGAL — (0.0%) Other Securities .........................................4,123,963 0.0% SINGAPORE — (1.0%) Other Securities .........................................116,434,877 1.0% SPAIN — (3.1%) # Banco Santander SA .....................................39,540,115 257,679,834 2.3% Other Securities .........................................108,668,964 1.0% TOTAL SPAIN ...............................................366,348,798 3.3% SWEDEN — (2.2%) Nordea Bank AB .........................................5,922,770 72,843,038 0.7% Other Securities .........................................191,028,990 1.7% TOTAL SWEDEN ............................................263,872,028 2.4% SWITZERLAND — (7.4%) Cie Financiere Richemont SA ..............................1,058,106 88,413,728 0.8% Novartis AG .............................................1,799,547 138,538,243 1.2% # Swatch Group AG (The)..................................139,269 55,717,144 0.5% Swiss Re AG ............................................1,028,159 89,428,549 0.8% * UBS Group AG ..........................................3,507,610 59,877,836 0.5% Zurich Insurance Group AG ................................375,926 104,033,104 0.9% Other Securities .........................................345,494,406 3.2% TOTAL SWITZERLAND .......................................881,503,010 7.9% 225 THE DFA INTERNATIONAL VALUE SERIES CONTINUED Shares Value†† Percentage of Net Assets** UNITED KINGDOM — (15.7%) * Anglo American P.L.C....................................3,819,283 $ 54,682,386 0.5% # Barclays P.L.C. Sponsored ADR ...........................4,808,211 51,976,761 0.5% BP P.L.C. Sponsored ADR ................................9,857,735 338,317,465 3.0% * Glencore P.L.C..........................................33,377,354 131,177,614 1.2% HSBC Holdings P.L.C.....................................21,450,751 176,889,695 1.6% HSBC Holdings P.L.C. Sponsored ADR .....................2,999,605 123,493,738 1.1% Lloyds Banking Group P.L.C...............................95,091,730 85,442,299 0.8% Royal Dutch Shell P.L.C. Class A ...........................2,296,200 59,628,687 0.5% Royal Dutch Shell P.L.C. Sponsored ADR, Class A ............3,383,207 176,569,554 1.6% # Royal Dutch Shell P.L.C. Sponsored ADR, Class B ............3,846,085 208,150,120 1.9% Vodafone Group P.L.C....................................58,351,986 150,293,687 1.3% # Vodafone Group P.L.C. Sponsored ADR .....................4,011,201 105,053,361 0.9% Other Securities .........................................216,955,016 1.9% TOTAL UNITED KINGDOM ....................................1,878,630,383 16.8% TOTAL COMMON STOCKS ...................................10,917,610,719 97.4% PREFERRED STOCKS — (0.9%) GERMANY — (0.9%) Volkswagen AG .........................................552,438 87,697,713 0.8% Other Securities .........................................20,195,820 0.2% TOTAL GERMANY ...........................................107,893,533 1.0% TOTAL PREFERRED STOCKS ................................107,893,533 1.0% TOTAL INVESTMENT SECURITIES ............................11,025,504,252 Value† SECURITIES LENDING COLLATERAL — (7.9%) §@ DFA Short Term Investment Fund ..........................81,424,353 942,324,037 8.4% TOTAL INVESTMENTS — (100.0%) (Cost $10,991,608,709).....................................$11,967,828,289 106.8% 226 THE DFA INTERNATIONAL VALUE SERIES CONTINUED Summary of the Series’ investments as of April 30, 2017, 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 ....................................... $64,318,760 $ 648,211,117 — $ 712,529,877 Austria ........................................ —11,349,837 — 11,349,837 Belgium ....................................... —116,069,925 — 116,069,925 Canada .......................................864,695,630 — — 864,695,630 Denmark ...................................... —206,503,904 — 206,503,904 Finland ........................................2,929,942 98,476,158 — 101,406,100 France ........................................264,230 1,123,544,613 — 1,123,808,843 Germany ......................................82,554,873 763,299,463 — 845,854,336 Hong Kong ..................................... —303,234,661 — 303,234,661 Ireland ........................................7,217,111 21,913,949 — 29,131,060 Israel .......................................... —43,478,987 — 43,478,987 Italy ...........................................28,485,970 148,695,465 — 177,181,435 Japan .........................................42,004,787 2,391,111,986 — 2,433,116,773 Netherlands ....................................42,895,709 304,405,668 — 347,301,377 New Zealand ................................... —14,021,311 — 14,021,311 Norway ........................................4,056,980 72,956,624 — 77,013,604 Portugal ....................................... —4,123,963 — 4,123,963 Singapore ..................................... —116,434,877 — 116,434,877 Spain .........................................5,114,699 361,234,099 — 366,348,798 Sweden .......................................5,138,678 258,733,350 — 263,872,028 Switzerland ....................................49,768,218 831,734,792 — 881,503,010 United Kingdom .................................1,030,183,246 848,447,137 — 1,878,630,383 Preferred Stocks Germany ...................................... —107,893,533 — 107,893,533 Securities Lending Collateral ........................ —942,324,037 — 942,324,037 Futures Contracts**...............................2,548,565 — — 2,548,565 TOTAL ..........................................$2,232,177,398 $9,738,199,456 — $11,970,376,854 ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note G) See accompanying Notes to Financial Statements. 227 THE JAPANESE SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value†† Percentage of Net Assets** COMMON STOCKS — (90.2%) Consumer Discretionary — (17.3%) Aoyama Trading Co., Ltd...................................304,000 $ 10,861,408 0.3% Toyo Tire & Rubber Co., Ltd.................................623,700 10,970,652 0.3% Wacoal Holdings Corp......................................676,000 8,569,570 0.3% Other Securities ..........................................608,843,652 18.0% Total Consumer Discretionary ...................................639,245,282 18.9% Consumer Staples — (7.4%) # Ain Holdings, Inc..........................................124,600 8,631,761 0.3% Fuji Oil Holdings, Inc.......................................362,600 8,507,936 0.3% Morinaga Milk Industry Co., Ltd..............................1,164,000 9,201,550 0.3% Takara Holdings, Inc.......................................980,300 10,507,796 0.3% Other Securities ..........................................238,106,495 6.9% Total Consumer Staples ........................................274,955,538 8.1% Energy — (0.9%) Other Securities ..........................................34,558,720 1.0% Financials — (7.9%) Daishi Bank, Ltd. (The).....................................2,071,000 8,314,742 0.3% North Pacific Bank, Ltd.....................................2,303,600 8,784,562 0.3% Other Securities ..........................................276,244,391 8.1% Total Financials ...............................................293,343,695 8.7% Health Care — (4.6%) Nipro Corp...............................................767,500 11,645,622 0.4% Rohto Pharmaceutical Co., Ltd...............................546,700 10,206,903 0.3% Sawai Pharmaceutical Co., Ltd..............................149,200 8,153,044 0.2% #* Sosei Group Corp.........................................98,000 10,078,919 0.3% Tsumura & Co............................................359,800 11,660,144 0.4% Other Securities ..........................................118,772,098 3.5% Total Health Care ..............................................170,516,730 5.1% Industrials — (25.8%) Aica Kogyo Co., Ltd........................................314,300 8,958,192 0.3% Fujikura, Ltd..............................................1,935,000 14,547,297 0.4% Furukawa Electric Co., Ltd..................................355,200 14,379,113 0.4% Glory, Ltd................................................268,900 9,029,242 0.3% GS Yuasa Corp...........................................2,130,000 9,868,679 0.3% Hanwa Co., Ltd...........................................1,221,000 8,657,367 0.3% #* Kawasaki Kisen Kaisha, Ltd.................................3,035,000 7,980,002 0.2% Nishimatsu Construction Co., Ltd.............................1,794,000 9,125,318 0.3% Nisshinbo Holdings, Inc.....................................870,500 8,898,378 0.3% OKUMA Corp.............................................849,000 8,905,039 0.3% # OSG Corp................................................452,700 9,326,305 0.3% Penta-Ocean Construction Co., Ltd...........................1,890,000 9,574,936 0.3% Sankyu, Inc...............................................1,540,000 9,780,372 0.3% Sanwa Holdings Corp......................................1,232,600 12,424,809 0.4% Ushio, Inc................................................655,900 8,241,490 0.3% Other Securities ..........................................806,595,268 23.6% Total Industrials ...............................................956,291,807 28.3% Information Technology — (12.6%) Amano Corp..............................................377,600 8,064,547 0.2% 228 THE JAPANESE SMALL COMPANY SERIES CONTINUED Shares Value†† Percentage of Net Assets** Information Technology — (Continued) Citizen Watch Co., Ltd.....................................1,523,200 $ 10,105,630 0.3% Horiba, Ltd...............................................212,650 12,537,098 0.4% Ibiden Co., Ltd............................................620,978 10,930,807 0.3% Taiyo Yuden Co., Ltd......................................678,700 8,284,441 0.3% TIS, Inc..................................................505,101 12,731,466 0.4% Topcon Corp.............................................595,400 10,519,627 0.3% Ulvac, Inc................................................252,600 11,859,057 0.4% Other Securities ..........................................382,708,618 11.3% Total Information Technology ....................................467,741,291 13.9% Materials — (10.8%) ADEKA Corp.............................................544,000 8,029,869 0.2% Daido Steel Co., Ltd.......................................1,685,000 9,382,340 0.3% Denka Co., Ltd............................................1,949,000 10,041,869 0.3% Mitsui Mining & Smelting Co., Ltd............................3,627,000 12,238,033 0.4% Nippon Kayaku Co., Ltd....................................683,000 9,331,778 0.3% NOF Corp................................................870,000 9,803,495 0.3% * Showa Denko K.K.........................................730,399 13,950,565 0.4% Sumitomo Osaka Cement Co., Ltd...........................2,493,000 10,819,816 0.3% * Tokuyama Corp...........................................2,159,000 10,628,809 0.3% Toyobo Co., Ltd...........................................5,688,000 10,061,433 0.3% Ube Industries, Ltd........................................3,982,000 9,257,192 0.3% Other Securities ..........................................288,527,560 8.5% Total Materials ................................................402,072,759 11.9% Real Estate — (1.9%) Leopalace21 Corp.........................................1,960,700 10,421,817 0.3% Other Securities ..........................................58,326,178 1.7% Total Real Estate ..............................................68,747,995 2.0% Telecommunication Services — (0.1%) Other Securities ..........................................3,291,143 0.1% Utilities — (0.9%) # Hokkaido Electric Power Co., Inc............................1,189,200 8,632,838 0.3% Other Securities ..........................................23,601,374 0.7% Total Utilities .................................................32,234,212 1.0% TOTAL COMMON STOCKS ....................................3,342,999,172 99.0% TOTAL INVESTMENT SECURITIES .............................3,342,999,172 Value† SECURITIES LENDING COLLATERAL — (9.8%) §@ DFA Short Term Investment Fund ...........................31,241,094 361,553,180 10.7% TOTAL INVESTMENTS — (100.0%) (Cost $3,127,028,918).......................................$3,704,552,352 109.7% 229 THE JAPANESE SMALL COMPANY SERIES CONTINUED Summary of the Series’ investments as of April 30, 2017, 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 .................................. — $639,245,282 — $ 639,245,282 Consumer Staples ....................................... —274,955,538 — 274,955,538 Energy ................................................ —34,558,720 — 34,558,720 Financials .............................................. —293,343,695 — 293,343,695 Health Care ............................................ —170,516,730 — 170,516,730 Industrials .............................................. —956,291,807 — 956,291,807 Information Technology .................................. —467,741,291 — 467,741,291 Materials ............................................... —402,072,759 — 402,072,759 Real Estate ............................................. —68,747,995 — 68,747,995 Telecommunication Services .............................. —3,291,143 — 3,291,143 Utilities ................................................ —32,234,212 — 32,234,212 Securities Lending Collateral ................................ —361,553,180 — 361,553,180 TOTAL .................................................. —$3,704,552,352 — $3,704,552,352 See accompanying Notes to Financial Statements. 230 THE ASIA PACIFIC SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value†† Percentage of Net Assets** COMMON STOCKS — (87.6%) AUSTRALIA — (43.7%) Adelaide Brighton, Ltd......................................3,668,074 $ 16,262,304 1.0% Ansell, Ltd................................................659,275 11,735,730 0.7% carsales.com, Ltd.........................................1,702,940 14,935,754 0.9% Cleanaway Waste Management, Ltd..........................10,470,362 9,942,536 0.6% CSR, Ltd.................................................3,680,857 13,497,307 0.8% Downer EDI, Ltd..........................................4,075,221 17,907,909 1.1% DuluxGroup, Ltd...........................................3,101,823 15,705,453 1.0% Evolution Mining, Ltd.......................................5,025,776 8,735,334 0.5% Fairfax Media, Ltd.........................................15,303,894 12,132,462 0.7% GrainCorp, Ltd. Class A ....................................1,251,687 8,347,630 0.5% # GUD Holdings, Ltd.........................................893,134 8,313,592 0.5% Iluka Resources, Ltd.......................................2,032,058 12,769,532 0.8% InvoCare, Ltd.............................................920,100 10,038,767 0.6% # IOOF Holdings, Ltd........................................2,068,330 13,633,856 0.8% # IRESS, Ltd...............................................1,175,824 10,948,975 0.7% # JB Hi-Fi, Ltd..............................................962,791 17,788,459 1.1% # Magellan Financial Group, Ltd...............................493,135 8,692,337 0.5% #* Metcash, Ltd..............................................5,204,963 8,379,582 0.5% Mineral Resources, Ltd.....................................1,168,088 9,342,036 0.6% nib holdings, Ltd...........................................2,772,247 12,451,528 0.8% Northern Star Resources, Ltd................................4,806,957 15,628,853 1.0% Nufarm, Ltd..............................................1,407,770 10,699,413 0.7% Orora, Ltd................................................4,298,532 9,691,935 0.6% OZ Minerals, Ltd..........................................2,198,276 11,672,477 0.7% # Perpetual, Ltd.............................................356,426 14,076,157 0.9% Primary Health Care, Ltd...................................3,326,526 8,434,735 0.5% Sims Metal Management, Ltd................................1,382,214 12,689,455 0.8% Spark Infrastructure Group .................................11,913,246 22,214,185 1.4% # Super Retail Group, Ltd....................................1,280,749 9,045,457 0.6% Tabcorp Holdings, Ltd......................................3,586,818 12,743,164 0.8% # Vocus Group, Ltd..........................................4,330,071 10,915,915 0.7% #* Whitehaven Coal, Ltd......................................4,143,411 8,475,472 0.5% Other Securities ..........................................423,556,393 25.5% TOTAL AUSTRALIA ...........................................811,404,694 49.4% CHINA — (0.1%) Other Securities ..........................................1,873,398 0.1% HONG KONG — (25.7%) # Dah Sing Financial Holdings, Ltd.............................1,500,544 11,375,430 0.7% #* Esprit Holdings, Ltd........................................14,828,050 11,504,335 0.7% Hopewell Holdings, Ltd.....................................3,345,000 12,783,103 0.8% # IGG, Inc.................................................7,821,000 11,867,174 0.7% # Luk Fook Holdings International, Ltd..........................3,243,000 11,849,222 0.7% Man Wah Holdings, Ltd.....................................13,578,800 11,244,359 0.7% Melco International Development, Ltd.........................5,011,000 10,287,907 0.6% Television Broadcasts, Ltd..................................2,183,300 8,392,612 0.5% # Vitasoy International Holdings, Ltd...........................5,537,000 10,929,571 0.7% VTech Holdings, Ltd.......................................854,500 10,821,392 0.7% Xinyi Glass Holdings, Ltd...................................17,658,000 15,647,317 1.0% Other Securities ..........................................350,471,207 21.3% TOTAL HONG KONG ..........................................477,173,629 29.1% 231 THE ASIA PACIFIC SMALL COMPANY SERIES CONTINUED Shares Value†† Percentage of Net Assets** NEW ZEALAND — (6.8%) # Mainfreight, Ltd...........................................539,049 $ 8,177,745 0.5% Ryman Healthcare, Ltd.....................................1,373,542 8,135,375 0.5% SKYCITY Entertainment Group, Ltd..........................5,292,424 15,824,989 1.0% Other Securities ..........................................94,380,005 5.7% TOTAL NEW ZEALAND ........................................126,518,114 7.7% SINGAPORE — (11.3%) SATS, Ltd................................................2,695,900 9,830,591 0.6% # Singapore Post, Ltd........................................10,740,900 10,598,792 0.7% # UOL Group, Ltd...........................................2,062,964 10,685,015 0.7% Venture Corp., Ltd.........................................1,994,100 17,403,323 1.1% Other Securities ..........................................161,396,114 9.7% TOTAL SINGAPORE ..........................................209,913,835 12.8% TOTAL COMMON STOCKS ....................................1,626,883,670 99.1% RIGHTS/WARRANTS — (0.0%) TOTAL RIGHTS/WARRANTS ................................... —0.0% TOTAL INVESTMENT SECURITIES .............................1,626,883,670 Value† SECURITIES LENDING COLLATERAL — (12.4%) §@ DFA Short Term Investment Fund ...........................19,833,334 229,531,178 14.0% TOTAL INVESTMENTS — (100.0%) (Cost $1,878,880,317).......................................$1,856,414,848 113.1% Summary of the Series’ investments as of April 30, 2017, 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 ............................................ — $811,404,694 — $ 811,404,694 China .............................................. —1,873,398 — 1,873,398 Hong Kong .........................................$1,932,166 475,241,463 — 477,173,629 New Zealand ........................................ —126,518,114 — 126,518,114 Singapore .......................................... —209,913,835 — 209,913,835 Securities Lending Collateral ............................. —229,531,178 — 229,531,178 TOTAL ...............................................$1,932,166 $1,854,482,682 — $1,856,414,848 See accompanying Notes to Financial Statements. 232 THE UNITED KINGDOM SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value†† Percentage of Net Assets** COMMON STOCKS — (95.1%) Consumer Discretionary — (19.4%) B&M European Value Retail SA .............................3,475,343 $ 15,166,218 0.7% Bellway P.L.C.............................................669,602 24,678,497 1.2% Greene King P.L.C.........................................1,786,209 17,382,557 0.8% Inchcape P.L.C............................................2,190,976 24,237,663 1.1% UBM P.L.C...............................................2,051,912 18,872,206 0.9% WH Smith P.L.C...........................................680,498 15,585,586 0.7% William Hill P.L.C..........................................4,310,927 16,379,107 0.8% Other Securities ..........................................294,060,731 13.9% Total Consumer Discretionary ...................................426,362,565 20.1% Consumer Staples — (5.1%) Booker Group P.L.C.......................................8,370,700 21,029,486 1.0% Tate & Lyle P.L.C..........................................2,479,497 24,315,771 1.2% Other Securities ..........................................67,584,685 3.1% Total Consumer Staples ........................................112,929,942 5.3% Energy — (4.6%) Amec Foster Wheeler P.L.C.................................2,037,469 14,304,490 0.7% John Wood Group P.L.C....................................1,951,303 19,181,450 0.9% #* Tullow Oil P.L.C...........................................5,009,214 13,590,053 0.6% Other Securities ..........................................53,616,510 2.6% Total Energy ..................................................100,692,503 4.8% Financials — (13.6%) Beazley P.L.C............................................2,787,563 15,881,056 0.7% Close Brothers Group P.L.C.................................794,193 17,400,275 0.8% # Henderson Group P.L.C....................................5,628,395 16,835,060 0.8% Hiscox, Ltd...............................................1,520,623 22,299,635 1.1% Intermediate Capital Group P.L.C............................1,383,225 14,000,597 0.7% Jupiter Fund Management P.L.C.............................2,227,194 13,699,960 0.6% Man Group P.L.C..........................................9,049,878 18,010,333 0.8% Phoenix Group Holdings ...................................1,737,356 16,615,887 0.8% Saga P.L.C...............................................5,099,450 13,842,156 0.7% TP ICAP P.L.C............................................2,685,808 15,959,516 0.8% Other Securities ..........................................134,870,712 6.3% Total Financials ...............................................299,415,187 14.1% Health Care — (3.5%) * BTG P.L.C...............................................1,870,654 16,478,442 0.8% Indivior P.L.C.............................................3,801,468 16,500,258 0.8% Other Securities ..........................................43,418,915 2.0% Total Health Care ..............................................76,397,615 3.6% Industrials — (27.7%) Aggreko P.L.C............................................1,332,278 15,313,810 0.7% BBA Aviation P.L.C........................................5,667,084 22,861,121 1.1% # Cobham P.L.C............................................8,760,026 15,030,676 0.7% G4S P.L.C...............................................4,049,674 15,990,244 0.8% Hays P.L.C...............................................6,845,876 15,191,629 0.7% Howden Joinery Group P.L.C................................3,209,546 19,245,279 0.9% IMI P.L.C.................................................1,390,031 23,021,328 1.1% IWG P.L.C...............................................3,349,423 14,088,047 0.7% Meggitt P.L.C.............................................4,129,202 24,727,993 1.2% 233 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED Shares Value†† Percentage of Net Assets** Industrials — (Continued) Melrose Industries P.L.C...................................10,887,020 $ 33,327,310 1.6% Rentokil Initial P.L.C.......................................8,861,710 28,570,895 1.3% Rotork P.L.C.............................................4,239,914 13,506,673 0.6% Spirax-Sarco Engineering P.L.C.............................375,981 25,316,750 1.2% Weir Group P.L.C. (The)...................................1,080,278 27,833,648 1.3% WS Atkins P.L.C..........................................502,623 13,982,271 0.7% Other Securities ..........................................301,029,248 14.1% Total Industrials ...............................................609,036,922 28.7% Information Technology — (8.8%) Electrocomponents P.L.C...................................2,396,207 16,105,456 0.8% Halma P.L.C.............................................1,951,180 26,611,092 1.3% * Paysafe Group P.L.C......................................2,424,051 14,248,550 0.7% Playtech P.L.C............................................1,158,736 14,390,929 0.7% Rightmove P.L.C..........................................477,301 25,877,484 1.2% Spectris P.L.C............................................637,634 22,798,926 1.1% Other Securities ..........................................73,658,299 3.3% Total Information Technology ....................................193,690,736 9.1% Materials — (7.2%) Centamin P.L.C...........................................6,065,603 13,897,201 0.7% DS Smith P.L.C...........................................4,938,232 27,609,390 1.3% RPC Group P.L.C.........................................2,047,901 21,512,987 1.0% Other Securities ..........................................96,573,608 4.5% Total Materials ................................................159,593,186 7.5% Real Estate — (2.5%) # Capital & Counties Properties P.L.C..........................3,827,320 15,651,992 0.7% Other Securities ..........................................39,757,281 1.9% Total Real Estate ..............................................55,409,273 2.6% Telecommunication Services — (1.0%) Other Securities ..........................................22,023,468 1.0% Utilities — (1.7%) Pennon Group P.L.C.......................................2,088,940 23,174,947 1.1% Other Securities ..........................................14,888,194 0.7% Total Utilities .................................................38,063,141 1.8% TOTAL COMMON STOCKS ....................................2,093,614,538 98.6% PREFERRED STOCKS — (0.0%) Other Securities ..........................................18,495 0.0% RIGHTS/WARRANTS — (0.2%) Other Securities ..........................................5,231,708 0.3% TOTAL INVESTMENT SECURITIES .............................2,098,864,741 Value† SECURITIES LENDING COLLATERAL — (4.7%) §@ DFA Short Term Investment Fund ...........................8,944,086 103,509,904 4.9% TOTAL INVESTMENTS — (100.0%) (Cost $1,865,624,237).......................................$2,202,374,645 103.8% 234 THE UNITED KINGDOM SMALL COMPANY SERIES CONTINUED Summary of the Series’ investments as of April 30, 2017, 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 .................................. — $426,362,565 — $ 426,362,565 Consumer Staples ....................................... —112,929,942 — 112,929,942 Energy ................................................ —100,692,503 — 100,692,503 Financials .............................................. —299,415,187 — 299,415,187 Health Care ............................................ —76,397,615 — 76,397,615 Industrials .............................................. —609,036,922 — 609,036,922 Information Technology .................................. —193,690,736 — 193,690,736 Materials ............................................... —159,593,186 — 159,593,186 Real Estate ............................................. —55,409,273 — 55,409,273 Telecommunication Services .............................. —22,023,468 — 22,023,468 Utilities ................................................ —38,063,141 — 38,063,141 Preferred Stocks .......................................... —18,495 — 18,495 Rights/Warrants ........................................... —5,231,708 — 5,231,708 Securities Lending Collateral ................................ —103,509,904 — 103,509,904 TOTAL .................................................. —$2,202,374,645 — $2,202,374,645 See accompanying Notes to Financial Statements. 235 THE CONTINENTAL SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value†† Percentage of Net Assets** COMMON STOCKS — (87.6%) AUSTRIA — (2.9%) ANDRITZ AG .............................................327,520 $ 18,097,813 0.4% Other Securities ..........................................143,507,956 2.9% TOTAL AUSTRIA ..............................................161,605,769 3.3% BELGIUM — (3.9%) Ackermans & van Haaren NV ...............................134,383 21,994,102 0.5% # Umicore SA ..............................................412,343 24,158,003 0.5% Other Securities ..........................................169,789,244 3.3% TOTAL BELGIUM .............................................215,941,349 4.3% DENMARK — (4.6%) # GN Store Nord A.S........................................855,243 22,230,374 0.5% Jyske Bank A.S...........................................404,159 21,612,779 0.4% TDC A.S.................................................4,743,975 25,448,893 0.5% Other Securities ..........................................186,226,928 3.7% TOTAL DENMARK ............................................255,518,974 5.1% FINLAND — (6.1%) Elisa Oyj .................................................734,075 24,963,650 0.5% # Huhtamaki Oyj ............................................467,536 18,122,853 0.4% Metso Oyj ................................................576,499 20,646,714 0.4% Nokian Renkaat Oyj .......................................623,433 26,795,638 0.5% Orion Oyj Class B .........................................436,647 25,024,035 0.5% # Outokumpu Oyj ...........................................3,022,031 28,938,913 0.6% Other Securities ..........................................195,177,870 3.9% TOTAL FINLAND ..............................................339,669,673 6.8% FRANCE — (12.2%) # Edenred .................................................946,779 24,253,318 0.5% Ipsen SA ................................................162,032 18,864,249 0.4% Lagardere SCA ...........................................663,377 20,306,215 0.4% Orpea ...................................................182,255 18,615,617 0.4% Rexel SA ................................................1,596,995 28,519,669 0.6% Rubis SCA ...............................................203,675 20,691,708 0.4% SEBSA .................................................120,657 19,429,843 0.4% STMicroelectronics NV .....................................1,780,023 28,575,890 0.6% Teleperformance ..........................................336,308 42,290,345 0.9% * Ubisoft Entertainment SA ...................................521,852 24,721,360 0.5% Other Securities ..........................................437,133,251 8.7% TOTAL FRANCE ..............................................683,401,465 13.8% GERMANY — (14.3%) * Dialog Semiconductor P.L.C.................................382,079 17,877,837 0.4% Freenet AG ..............................................652,809 20,487,314 0.4% # Hugo Boss AG ...........................................285,824 21,734,995 0.4% # K+SAG .................................................990,931 23,641,923 0.5% KION Group AG ..........................................258,832 17,534,672 0.4% Lanxess AG ..............................................484,758 35,002,637 0.7% LEG Immobilien AG .......................................306,750 26,353,575 0.5% MTU Aero Engines AG .....................................249,839 35,835,367 0.7% Osram Licht AG ...........................................343,036 22,979,780 0.5% 236 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED Shares Value†† Percentage of Net Assets** GERMANY — (Continued) QIAGEN NV ..............................................717,083 $ 21,481,790 0.4% Rheinmetall AG ...........................................223,411 20,506,818 0.4% Stada Arzneimittel AG .....................................306,492 21,718,100 0.4% Other Securities ..........................................512,371,012 10.4% TOTAL GERMANY ............................................797,525,820 16.1% IRELAND — (1.2%) Kingspan Group P.L.C.....................................667,888 23,234,094 0.5% Other Securities ..........................................43,587,492 0.8% TOTAL IRELAND ..............................................66,821,586 1.3% ISRAEL — (2.1%) Other Securities ..........................................118,570,564 2.4% ITALY — (9.4%) Banco BPM SpA ..........................................6,471,527 18,900,113 0.4% # Mediaset SpA ............................................4,351,208 17,782,080 0.4% Prysmian SpA ............................................1,026,230 29,615,643 0.6% Recordati SpA ............................................474,431 17,582,541 0.4% # Unione di Banche Italiane SpA ..............................4,861,323 20,483,378 0.4% Other Securities ..........................................418,052,493 8.3% TOTAL ITALY .................................................522,416,248 10.5% NETHERLANDS — (4.6%) Aalberts Industries NV .....................................645,848 25,608,846 0.5% Boskalis Westminster ......................................522,771 19,228,989 0.4% Other Securities ..........................................212,724,011 4.3% TOTAL NETHERLANDS ........................................257,561,846 5.2% NORWAY — (2.2%) Other Securities ..........................................124,590,766 2.5% PORTUGAL — (0.9%) Other Securities ..........................................52,437,284 1.1% SPAIN — (5.2%) Gamesa Corp. Tecnologica SA ..............................1,203,576 25,957,211 0.5% Other Securities ..........................................262,551,292 5.3% TOTAL SPAIN ................................................288,508,503 5.8% SWEDEN — (7.2%) Other Securities ..........................................404,985,681 8.2% SWITZERLAND — (10.8%) # amsAG .................................................372,640 23,973,214 0.5% Flughafen Zuerich AG .....................................104,871 23,111,210 0.5% Georg Fischer AG .........................................22,511 21,227,134 0.4% Helvetia Holding AG .......................................36,269 20,140,004 0.4% Logitech International SA ...................................708,858 23,690,881 0.5% PSP Swiss Property AG ....................................201,709 18,084,267 0.4% Temenos Group AG .......................................318,043 27,528,471 0.6% Other Securities ..........................................445,434,838 8.9% TOTAL SWITZERLAND ........................................603,190,019 12.2% 237 THE CONTINENTAL SMALL COMPANY SERIES CONTINUED Shares Value†† Percentage of Net Assets** UNITED STATES — (0.0%) Other Securities .......................................... $1,271,788 0.0% TOTAL COMMON STOCKS ....................................4,894,017,335 98.6% PREFERRED STOCKS — (0.7%) GERMANY — (0.7%) Other Securities ..........................................40,608,644 0.8% TOTAL PREFERRED STOCKS ..................................40,608,644 0.8% RIGHTS/WARRANTS — (0.0%) ITALY — (0.0%) Other Securities ..........................................41,792 0.0% TOTAL RIGHTS/WARRANTS ...................................41,792 0.0% TOTAL INVESTMENT SECURITIES .............................4,934,667,771 Value† SECURITIES LENDING COLLATERAL — (11.7%) §@ DFA Short Term Investment Fund ...........................56,722,188 656,445,884 13.2% TOTAL INVESTMENTS — (100.0%) (Cost $4,328,293,736).......................................$5,591,113,655 112.6% Summary of the Series’ investments as of April 30, 2017, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Austria ................................................. — $161,605,769 — $ 161,605,769 Belgium ................................................ —215,941,349 — 215,941,349 Denmark ............................................... —255,518,974 — 255,518,974 Finland ................................................ —339,669,673 — 339,669,673 France ................................................. —683,401,465 — 683,401,465 Germany ............................................... —797,525,820 — 797,525,820 Ireland ................................................. —66,821,586 — 66,821,586 Israel .................................................. —118,570,564 — 118,570,564 Italy ................................................... —522,416,248 — 522,416,248 Netherlands ............................................ —257,561,846 — 257,561,846 Norway ................................................ —124,590,766 — 124,590,766 Portugal ............................................... —52,437,284 — 52,437,284 Spain .................................................. —288,508,503 — 288,508,503 Sweden ................................................ —404,985,681 — 404,985,681 Switzerland ............................................. —603,190,019 — 603,190,019 United States ........................................... —1,271,788 — 1,271,788 Preferred Stocks Germany ............................................... —40,608,644 — 40,608,644 Rights/Warrants Italy ................................................... —41,792 — 41,792 Securities Lending Collateral ................................ —656,445,884 — 656,445,884 TOTAL .................................................. —$5,591,113,655 — $5,591,113,655 See accompanying Notes to Financial Statements. 238 THE CANADIAN SMALL COMPANY SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value†† Percentage of Net Assets** COMMON STOCKS — (85.0%) Consumer Discretionary — (8.4%) #* Amaya, Inc...............................................529,592 $ 9,408,158 0.8% # Cineplex, Inc..............................................355,683 14,000,108 1.1% Enercare, Inc.............................................611,459 9,711,315 0.8% Linamar Corp.............................................291,014 12,373,505 1.0% Other Securities ..........................................73,519,719 6.1% Total Consumer Discretionary ...................................119,012,805 9.8% Consumer Staples — (4.3%) Cott Corp................................................701,676 9,231,970 0.8% Maple Leaf Foods, Inc......................................510,145 12,769,975 1.1% Premium Brands Holdings Corp..............................156,662 9,805,649 0.8% Other Securities ..........................................28,883,609 2.3% Total Consumer Staples ........................................60,691,203 5.0% Energy — (18.0%) # Enbridge Income Fund Holdings, Inc..........................472,655 11,599,533 1.0% Gibson Energy, Inc........................................702,339 9,523,677 0.8% * Parex Resources, Inc......................................855,191 10,619,016 0.9% # Parkland Fuel Corp........................................530,725 11,547,220 1.0% * Precision Drilling Corp......................................1,924,403 7,655,037 0.6% Veresen, Inc..............................................1,597,192 17,820,032 1.5% # Whitecap Resources, Inc...................................2,075,112 14,684,870 1.2% Other Securities ..........................................171,811,938 14.1% Total Energy ..................................................255,261,323 21.1% Financials — (5.1%) # Canadian Western Bank ...................................519,727 10,215,212 0.8% # Genworth MI Canada, Inc...................................317,380 7,881,896 0.7% Laurentian Bank of Canada .................................221,646 9,066,857 0.7% TMX Group, Ltd...........................................229,180 12,947,776 1.1% Other Securities ..........................................32,516,102 2.7% Total Financials ...............................................72,627,843 6.0% Health Care — (1.7%) Other Securities ..........................................24,592,836 2.0% Industrials — (10.5%) Finning International, Inc....................................552,678 10,510,619 0.9% MacDonald Dettwiler & Associates, Ltd........................196,107 9,682,877 0.8% New Flyer Industries, Inc....................................254,471 9,479,397 0.8% # Stantec, Inc...............................................641,429 16,460,392 1.4% TFI International, Inc.......................................524,953 11,429,327 0.9% Toromont Industries, Ltd....................................426,913 15,186,913 1.3% Other Securities ..........................................75,850,527 6.2% Total Industrials ...............................................148,600,052 12.3% Information Technology — (4.5%) * Celestica, Inc.............................................698,843 9,957,508 0.8% * Descartes Systems Group, Inc. (The).........................405,356 9,354,027 0.8% DH Corp.................................................431,732 8,030,237 0.7% Other Securities ..........................................37,097,590 3.0% Total Information Technology ....................................64,439,362 5.3% 239 THE CANADIAN SMALL COMPANY SERIES CONTINUED Shares Value†† Percentage of Net Assets** Materials — (24.9%) # Alamos Gold, Inc. Class A ..................................1,807,660 $ 12,937,870 1.1% * B2Gold Corp.............................................5,693,373 14,305,900 1.2% Eldorado Gold Corp.......................................4,259,785 15,571,830 1.3% #* First Majestic Silver Corp...................................956,624 7,778,857 0.6% HudBay Minerals, Inc......................................1,487,005 8,878,130 0.7% * IAMGOLD Corp...........................................2,772,941 11,457,007 0.9% #* Ivanhoe Mines, Ltd. Class A ................................2,184,189 7,664,382 0.6% Methanex Corp...........................................188,866 8,679,216 0.7% * New Gold, Inc............................................2,843,983 8,062,865 0.7% OceanaGold Corp.........................................3,690,660 12,031,381 1.0% Pan American Silver Corp..................................990,673 16,612,216 1.4% * Silver Standard Resources, Inc..............................763,090 7,870,999 0.7% Stella-Jones, Inc..........................................242,305 7,675,373 0.6% Tahoe Resources, Inc......................................990,247 8,023,246 0.7% * Torex Gold Resources, Inc..................................462,775 7,838,070 0.6% West Fraser Timber Co., Ltd................................315,210 14,164,303 1.2% Other Securities ..........................................183,417,257 15.2% Total Materials ................................................352,968,902 29.2% Real Estate — (2.2%) Colliers International Group, Inc.............................178,695 8,749,843 0.7% FirstService Corp..........................................185,371 11,536,036 0.9% Other Securities ..........................................10,424,590 0.9% Total Real Estate ..............................................30,710,469 2.5% Utilities — (5.4%) Algonquin Power & Utilities Corp.............................1,268,653 12,016,910 1.0% Capital Power Corp........................................541,609 9,871,603 0.8% # Northland Power, Inc.......................................661,188 11,687,826 1.0% # Superior Plus Corp........................................838,165 8,025,213 0.7% TransAlta Corp............................................1,535,471 7,862,673 0.6% Other Securities ..........................................27,534,765 2.3% Total Utilities .................................................76,998,990 6.4% TOTAL COMMON STOCKS ....................................1,205,903,785 99.6% TOTAL INVESTMENT SECURITIES .............................1,205,903,785 Value† SECURITIES LENDING COLLATERAL — (15.0%) §@ DFA Short Term Investment Fund ...........................18,396,460 212,902,234 17.6% TOTAL INVESTMENTS — (100.0%) (Cost $1,622,593,198).......................................$1,418,806,019 117.2% 240 THE CANADIAN SMALL COMPANY SERIES CONTINUED Summary of the Series’ investments as of April 30, 2017, 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 ............................ $117,722,013 $ 1,290,792 — $ 119,012,805 Consumer Staples .................................60,691,203 — — 60,691,203 Energy ...........................................255,261,314 9 — 255,261,323 Financials ........................................72,627,843 — — 72,627,843 Health Care .......................................24,592,836 — — 24,592,836 Industrials ........................................148,600,052 — — 148,600,052 Information Technology .............................64,439,362 — — 64,439,362 Materials .........................................352,955,853 13,049 — 352,968,902 Real Estate .......................................30,710,469 — — 30,710,469 Utilities ...........................................76,998,990 — — 76,998,990 Securities Lending Collateral .......................... —212,902,234 — 212,902,234 TOTAL .............................................$1,204,599,935 $214,206,084 — $1,418,806,019 See accompanying Notes to Financial Statements. 241 THE EMERGING MARKETS SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value†† Percentage of Net Assets** COMMON STOCKS — (93.6%) BRAZIL — (4.6%) Ambev SA ADR ..........................................5,984,451 $ 34,290,904 0.6% Other Securities ..........................................238,179,979 4.1% TOTAL BRAZIL ...............................................272,470,883 4.7% CHILE — (1.3%) Other Securities ..........................................79,091,303 1.4% CHINA — (16.5%) * Alibaba Group Holding, Ltd. Sponsored ADR ..................599,851 69,282,791 1.2% * Baidu, Inc. Sponsored ADR .................................125,455 22,610,755 0.4% Bank of China, Ltd. Class H .................................63,274,181 30,606,519 0.5% China Construction Bank Corp. Class H ......................70,499,590 57,221,928 1.0% China Mobile, Ltd. Sponsored ADR ..........................918,178 48,957,251 0.9% Industrial & Commercial Bank of China, Ltd. Class H ............68,306,185 44,526,454 0.8% NetEase, Inc. ADR ........................................73,351 19,466,622 0.3% Ping An Insurance Group Co. of China, Ltd. Class H ............4,622,500 25,988,862 0.5% Tencent Holdings, Ltd......................................4,351,400 136,343,809 2.4% Other Securities ..........................................519,944,703 8.9% TOTAL CHINA ................................................974,949,694 16.9% COLOMBIA — (0.4%) Other Securities ..........................................24,607,143 0.4% CZECH REPUBLIC — (0.2%) Other Securities ..........................................9,897,790 0.2% EGYPT — (0.1%) Other Securities ..........................................7,802,832 0.1% GREECE — (0.2%) Other Securities ..........................................13,702,003 0.2% HUNGARY — (0.4%) Other Securities ..........................................23,024,874 0.4% INDIA — (11.6%) HDFC Bank, Ltd...........................................1,441,144 34,551,495 0.6% Hindustan Unilever, Ltd.....................................1,148,145 16,667,187 0.3% Housing Development Finance Corp., Ltd.....................1,180,098 28,172,063 0.5% Infosys, Ltd...............................................1,886,232 27,012,159 0.5% ITC, Ltd..................................................4,896,443 21,126,769 0.4% Reliance Industries, Ltd....................................1,625,226 35,197,372 0.6% Tata Consultancy Services, Ltd..............................720,066 25,445,822 0.4% Other Securities ..........................................496,918,898 8.6% TOTAL INDIA .................................................685,091,765 11.9% INDONESIA — (2.9%) Bank Central Asia Tbk PT ..................................15,447,700 20,544,529 0.4% Other Securities ..........................................147,297,854 2.5% TOTAL INDONESIA ...........................................167,842,383 2.9% 242 THE EMERGING MARKETS SERIES CONTINUED Shares Value†† Percentage of Net Assets** MALAYSIA — (3.2%) Other Securities .......................................... $189,247,313 3.3% MEXICO — (4.6%) America Movil S.A.B. de C.V. Series L ........................46,329,297 35,610,944 0.6% Grupo Financiero Banorte S.A.B. de C.V. Class O ..............4,609,848 26,603,306 0.4% Grupo Mexico S.A.B. de C.V. Series B ........................6,058,822 17,704,721 0.3% # Grupo Televisa S.A.B. Series CPO ..........................3,436,374 16,675,091 0.3% Other Securities ..........................................173,002,403 3.1% TOTAL MEXICO ..............................................269,596,465 4.7% PERU — (0.2%) Other Securities ..........................................14,261,752 0.3% PHILIPPINES — (1.5%) Other Securities ..........................................89,168,404 1.6% POLAND — (1.7%) # Polski Koncern Naftowy Orlen SA ............................649,675 19,415,914 0.3% Other Securities ..........................................79,741,857 1.4% TOTAL POLAND ..............................................99,157,771 1.7% RUSSIA — (1.8%) Gazprom PJSC Sponsored ADR ............................4,944,295 23,473,283 0.4% Sberbank of Russia PJSC Sponsored ADR ....................1,818,206 21,676,319 0.4% Other Securities ..........................................60,893,307 1.0% TOTAL RUSSIA ...............................................106,042,909 1.8% SOUTH AFRICA — (7.2%) # AngloGold Ashanti, Ltd. Sponsored ADR ......................1,637,102 18,712,076 0.3% Bid Corp., Ltd.............................................778,465 16,491,818 0.3% FirstRand, Ltd............................................4,730,180 17,647,443 0.3% # MTN Group, Ltd...........................................2,516,919 23,803,309 0.4% Naspers, Ltd. Class N .....................................370,571 70,464,622 1.2% # Sasol, Ltd. Sponsored ADR .................................778,314 23,754,143 0.4% Standard Bank Group, Ltd..................................2,023,352 22,468,480 0.4% # Steinhoff International Holdings NV ..........................3,453,813 17,569,874 0.3% Other Securities ..........................................214,695,127 3.8% TOTAL SOUTH AFRICA ........................................425,606,892 7.4% SOUTH KOREA — (16.5%) Hana Financial Group, Inc..................................545,466 18,734,035 0.3% Hyundai Motor Co.........................................181,576 22,965,170 0.4% KB Financial Group, Inc....................................441,762 19,418,701 0.3% LG Electronics, Inc........................................310,602 18,854,663 0.3% NAVER Corp.............................................37,790 26,559,711 0.5% Samsung Electronics Co., Ltd...............................101,911 199,789,105 3.5% Samsung Electronics Co., Ltd. GDR ..........................52,509 51,524,207 0.9% Shinhan Financial Group Co., Ltd............................399,454 16,677,763 0.3% SK Hynix, Inc.............................................801,175 37,954,353 0.7% Other Securities ..........................................558,136,318 9.7% TOTAL SOUTH KOREA ........................................970,614,026 16.9% TAIWAN — (14.9%) Hon Hai Precision Industry Co., Ltd...........................17,267,653 56,519,814 1.0% # Largan Precision Co., Ltd...................................133,860 22,230,057 0.4% 243 THE EMERGING MARKETS SERIES CONTINUED Shares Value†† Percentage of Net Assets** TAIWAN — (Continued) Taiwan Semiconductor Manufacturing Co., Ltd.................25,317,808 $ 163,094,652 2.8% Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR . .1,789,031 59,163,255 1.0% Other Securities ..........................................574,947,338 10.0% TOTAL TAIWAN ..............................................875,955,116 15.2% THAILAND — (2.5%) PTTPCL ................................................1,634,600 18,382,752 0.3% Other Securities ..........................................130,514,871 2.3% TOTAL THAILAND ............................................148,897,623 2.6% TURKEY — (1.3%) Other Securities ..........................................78,263,283 1.4% TOTAL COMMON STOCKS ....................................5,525,292,224 96.0% PREFERRED STOCKS — (2.9%) BRAZIL — (2.8%) Banco Bradesco SA .......................................2,489,914 26,208,795 0.5% Itau Unibanco Holding SA ..................................4,317,027 53,397,546 0.9% Vale SA .................................................2,522,202 20,867,039 0.4% Other Securities ..........................................63,170,926 1.0% TOTAL BRAZIL ...............................................163,644,306 2.8% CHILE — (0.0%) Other Securities ..........................................471,539 0.0% COLOMBIA — (0.1%) Other Securities ..........................................5,806,583 0.1% INDIA — (0.0%) Other Securities ..........................................245,422 0.0% TOTAL PREFERRED STOCKS ..................................170,167,850 2.9% RIGHTS/WARRANTS — (0.0%) TAIWAN — (0.0%) Other Securities ..........................................84,770 0.0% THAILAND — (0.0%) Other Securities ..........................................37,666 0.0% TOTAL RIGHTS/WARRANTS ...................................122,436 0.0% TOTAL INVESTMENT SECURITIES .............................5,695,582,510 Value† SECURITIES LENDING COLLATERAL — (3.5%) §@ DFA Short Term Investment Fund ...........................17,835,440 206,409,543 3.6% TOTAL INVESTMENTS — (100.0%) (Cost $4,377,646,228).......................................$5,901,992,053 102.5% 244 THE EMERGING MARKETS SERIES CONTINUED Summary of the Series’ investments as of April 30, 2017, 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 .......................................... $272,470,883 — — $ 272,470,883 Chile ...........................................41,813,686 $ 37,277,617 — 79,091,303 China ..........................................258,393,582 716,556,112 — 974,949,694 Colombia .......................................24,607,143 — — 24,607,143 Czech Republic .................................. —9,897,790 — 9,897,790 Egypt ..........................................610,718 7,192,114 — 7,802,832 Greece ......................................... —13,702,003 — 13,702,003 Hungary ........................................ —23,024,874 — 23,024,874 India ...........................................31,017,907 654,073,858 — 685,091,765 Indonesia .......................................6,484,710 161,357,673 — 167,842,383 Malaysia ........................................ —189,247,313 — 189,247,313 Mexico .........................................269,596,465 — — 269,596,465 Peru ...........................................14,261,752 — — 14,261,752 Philippines ......................................2,096,191 87,072,213 — 89,168,404 Poland ......................................... —99,157,771 — 99,157,771 Russia .........................................4,533,588 101,509,321 — 106,042,909 South Africa .....................................51,053,298 374,553,594 — 425,606,892 South Korea .....................................28,753,005 941,861,021 — 970,614,026 Taiwan .........................................69,665,168 806,289,948 — 875,955,116 Thailand ........................................148,897,623 — — 148,897,623 Turkey .........................................646,083 77,617,200 — 78,263,283 Preferred Stocks Brazil ..........................................163,644,306 — — 163,644,306 Chile ........................................... —471,539 — 471,539 Colombia .......................................5,806,583 — — 5,806,583 India ........................................... —245,422 — 245,422 Rights/Warrants Taiwan ......................................... —84,770 — 84,770 Thailand ........................................ —37,666 — 37,666 Securities Lending Collateral ......................... —206,409,543 — 206,409,543 Futures Contracts**................................1,408,077 — — 1,408,077 TOTAL ...........................................$1,395,760,768 $4,507,639,362 — $5,903,400,130 ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note G) See accompanying Notes to Financial Statements. 245 THE EMERGING MARKETS SMALL CAP SERIES SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value†† Percentage of Net Assets** COMMON STOCKS — (90.4%) BRAZIL — (7.2%) * BR Malls Participacoes SA .................................5,957,732 $ 26,372,028 0.4% Cia Hering ...............................................1,553,736 10,779,057 0.2% * Cia Siderurgica Nacional SA ................................5,120,808 12,503,351 0.2% Cyrela Brazil Realty SA Empreendimentos e Participacoes ......2,823,034 11,740,221 0.2% EDP — Energias do Brasil SA ..............................3,186,314 13,471,853 0.2% Equatorial Energia SA .....................................2,114,158 38,292,700 0.6% Estacio Participacoes SA ..................................3,477,890 19,536,800 0.3% Fleury SA ...............................................731,906 12,110,617 0.2% Localiza Rent a Car SA ....................................1,572,075 23,427,214 0.4% MRV Engenharia e Participacoes SA .........................2,976,660 14,948,712 0.2% Multiplan Empreendimentos Imobiliarios SA ...................624,699 13,324,340 0.2% Qualicorp SA .............................................2,351,105 16,740,434 0.3% * Rumo SA ................................................6,787,474 18,668,467 0.3% Smiles SA ...............................................505,800 11,001,853 0.2% Sul America SA ..........................................3,005,954 15,900,808 0.2% Totvs SA ................................................1,272,826 11,148,081 0.2% Transmissora Alianca de Energia Eletrica SA ..................1,918,518 13,908,130 0.2% Other Securities ..........................................221,438,989 3.3% TOTAL BRAZIL ...............................................505,313,655 7.8% CHILE — (1.6%) Parque Arauco SA ........................................7,008,665 18,285,264 0.3% Other Securities ..........................................91,263,732 1.4% TOTAL CHILE ................................................109,548,996 1.7% CHINA — (15.1%) Agile Group Holdings, Ltd..................................13,027,500 11,643,733 0.2% China Everbright, Ltd......................................6,106,000 13,948,773 0.2% China National Building Material Co., Ltd. Class H ..............19,622,000 13,043,664 0.2% # GOME Electrical Appliances Holding, Ltd......................84,442,000 11,500,726 0.2% # Intime Retail Group Co., Ltd.................................9,442,000 11,944,925 0.2% Kingboard Chemical Holdings, Ltd...........................4,301,921 15,493,603 0.3% Minth Group, Ltd..........................................3,963,000 14,706,962 0.2% Shanghai Industrial Holdings, Ltd............................3,333,000 10,544,432 0.2% Shenzhen International Holdings, Ltd.........................7,292,722 12,242,025 0.2% # Sihuan Pharmaceutical Holdings Group, Ltd...................26,984,000 11,991,715 0.2% # Sunac China Holdings, Ltd..................................15,053,000 19,604,450 0.3% * YY, Inc. ADR .............................................220,940 10,819,432 0.2% Other Securities ..........................................896,822,368 13.6% TOTAL CHINA ................................................1,054,306,808 16.2% COLOMBIA — (0.2%) Other Securities ..........................................12,135,744 0.2% GREECE — (0.3%) Other Securities ..........................................20,910,141 0.3% HONG KONG — (0.0%) Other Securities ..........................................456,686 0.0% HUNGARY — (0.1%) Other Securities ..........................................6,121,958 0.1% 246 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED Shares Value†† Percentage of Net Assets** INDIA — (14.1%) * Crompton Greaves Consumer Electricals, Ltd..................3,425,286 $ 11,715,861 0.2% Federal Bank, Ltd.........................................8,408,191 14,100,583 0.2% IIFL Holdings, Ltd.........................................1,532,495 11,384,136 0.2% TVS Motor Co., Ltd........................................1,601,124 12,289,647 0.2% Other Securities ..........................................934,753,407 14.3% TOTAL INDIA .................................................984,243,634 15.1% INDONESIA — (3.0%) Other Securities ..........................................213,658,046 3.3% MALAYSIA — (3.7%) Other Securities ..........................................259,025,484 4.0% MEXICO — (2.5%) # Alsea S.A.B. de C.V.......................................5,357,900 19,054,802 0.3% Banregio Grupo Financiero S.A.B. de C.V.....................1,983,160 11,451,083 0.2% # Gentera S.A.B. de C.V.....................................7,327,998 12,320,215 0.2% #* Industrias CH S.A.B. de C.V. Series B ........................2,193,173 11,778,318 0.2% Other Securities ..........................................122,994,739 1.8% TOTAL MEXICO ..............................................177,599,157 2.7% PHILIPPINES — (1.4%) Other Securities ..........................................96,346,056 1.5% POLAND — (1.6%) * CD Projekt SA ............................................636,728 11,125,547 0.2% Other Securities ..........................................104,526,918 1.6% TOTAL POLAND ..............................................115,652,465 1.8% SOUTH AFRICA — (6.7%) AVI, Ltd..................................................3,408,319 24,916,050 0.4% Barloworld, Ltd............................................2,216,736 19,968,651 0.3% Clicks Group, Ltd..........................................2,723,654 27,373,356 0.4% EOH Holdings, Ltd.........................................1,098,252 11,628,003 0.2% Foschini Group, Ltd. (The)..................................1,886,464 22,523,749 0.4% Imperial Holdings, Ltd......................................1,074,427 13,588,858 0.2% * Northam Platinum, Ltd.....................................3,612,389 13,415,603 0.2% Sappi, Ltd................................................2,275,007 16,895,152 0.3% # SPAR Group, Ltd. (The)....................................1,162,708 15,671,335 0.2% Telkom SA SOC, Ltd.......................................1,921,390 10,753,072 0.2% Other Securities ..........................................293,163,410 4.4% TOTAL SOUTH AFRICA ........................................469,897,239 7.2% SOUTH KOREA — (12.7%) Other Securities ..........................................886,000,191 13.6% TAIWAN — (15.5%) Other Securities ..........................................1,082,705,887 16.6% THAILAND — (3.3%) Other Securities ..........................................230,761,783 3.6% TURKEY — (1.4%) Other Securities ..........................................98,867,480 1.5% TOTAL COMMON STOCKS ....................................6,323,551,410 97.2% 247 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED Shares Value†† Percentage of Net Assets** PREFERRED STOCKS — (1.4%) BRAZIL — (1.3%) Cia Energetica de Minas Gerais .............................5,514,829 $ 15,428,768 0.2% Other Securities ..........................................79,111,913 1.2% TOTAL BRAZIL ...............................................94,540,681 1.4% CHILE — (0.1%) Other Securities ..........................................4,064,551 0.1% COLOMBIA — (0.0%) Other Securities ..........................................2,384,477 0.0% INDIA — (0.0%) Other Securities ..........................................115,799 0.0% TOTAL PREFERRED STOCKS ..................................101,105,508 1.5% RIGHTS/WARRANTS — (0.0%) BRAZIL — (0.0%) Other Securities ..........................................71,472 0.0% INDONESIA — (0.0%) Other Securities ..........................................17,448 0.0% MALAYSIA — (0.0%) Other Securities ..........................................343,860 0.0% PHILIPPINES — (0.0%) Other Securities ..........................................27,542 0.0% SOUTH KOREA — (0.0%) Other Securities ..........................................60,805 0.0% TAIWAN — (0.0%) Other Securities ..........................................11,544 0.0% TOTAL RIGHTS/WARRANTS ...................................532,671 0.0% TOTAL INVESTMENT SECURITIES .............................6,425,189,589 Value† SECURITIES LENDING COLLATERAL — (8.2%) §@ DFA Short Term Investment Fund ...........................49,493,179 572,784,566 8.8% TOTAL INVESTMENTS — (100.0%) (Cost $6,281,544,083).......................................$6,997,974,155 107.5% 248 THE EMERGING MARKETS SMALL CAP SERIES CONTINUED Summary of the Series’ investments as of April 30, 2017, based on their valuation inputs, is as follows (See Security Valuation Note): Investments in Securities (Market Value) Level 1 Level 2 Level 3 Total Common Stocks Brazil .......................................... $505,313,655 — — $ 505,313,655 Chile ...........................................1,088,052 $ 108,460,944 — 109,548,996 China ..........................................55,673,829 998,632,979 — 1,054,306,808 Colombia .......................................12,135,744 — — 12,135,744 Greece ......................................... —20,910,141 — 20,910,141 Hong Kong ...................................... —456,686 — 456,686 Hungary ........................................ —6,121,958 — 6,121,958 India ...........................................97,036 984,146,598 — 984,243,634 Indonesia .......................................1,583,335 212,074,711 — 213,658,046 Malaysia ........................................129,593 258,895,891 — 259,025,484 Mexico .........................................177,599,157 — — 177,599,157 Philippines ...................................... —96,346,056 — 96,346,056 Poland ......................................... —115,652,465 — 115,652,465 South Africa .....................................6,931,188 462,966,051 — 469,897,239 South Korea .....................................4,773,434 881,226,757 — 886,000,191 Taiwan .........................................87,165 1,082,618,722 — 1,082,705,887 Thailand ........................................230,211,435 550,348 — 230,761,783 Turkey ......................................... —98,867,480 — 98,867,480 Preferred Stocks Brazil ..........................................94,540,681 — — 94,540,681 Chile ........................................... —4,064,551 — 4,064,551 Colombia .......................................2,384,477 — — 2,384,477 India ...........................................115,799 — — 115,799 Rights/Warrants Brazil .......................................... —71,472 — 71,472 Indonesia ....................................... —17,448 — 17,448 Malaysia ........................................ —343,860 — 343,860 Philippines ...................................... —27,542 — 27,542 South Korea ..................................... —60,805 — 60,805 Taiwan ......................................... —11,544 — 11,544 Securities Lending Collateral ......................... —572,784,566 — 572,784,566 Futures Contracts**................................1,040,556 — — 1,040,556 TOTAL ...........................................$1,093,705,136 $5,905,309,575 — $6,999,014,711 ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note G) See accompanying Notes to Financial Statements. 249 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2017 (Unaudited) (Amounts in thousands) The U.S. Large Cap Value Series* The DFA International Value Series* The Japanese Small Company Series* The Asia Pacific Small Company Series* ASSETS: Investments at Value (including $1,404,990, $975,662, $348,773 and $262,689 of securities on loan, respectively)........................................$24,480,375 $11,025,504 $3,342,999 $1,626,884 Temporary Cash Investments at Value & Cost ..............288,414 — — — Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $920,913, $942,244, $361,558 and $229,488)..........................................921,032 942,324 361,553 229,531 Segregated Cash for Futures Contracts ....................7,160 4,695 — — Foreign Currencies at Value ............................. —13,627 146 7,301 Cash ................................................ —114,845 7,943 2,602 Receivables: Investment Securities Sold ............................22,846 — 764 3,333 Dividends, Interest and Tax Reclaims ....................29,866 48,739 29,767 1,519 Securities Lending Income ............................. 190 1,144 708 405 Unrealized Gain on Foreign Currency Contracts ............. — — 2 — Prepaid Expenses and Other Assets ...................... 27 12 3 3 Total Assets .....................................25,749,910 12,150,890 3,743,885 1,871,578 LIABILITIES: Payables: Upon Return of Securities Loaned ......................920,816 942,176 361,462 229,460 Investment Securities Purchased .......................104,940 — 3,783 771 Due to Advisor ......................................2,002 1,797 271 135 Futures Margin Variation .............................. 401 238 — — Accrued Expenses and Other Liabilities ....................1,158 667 212 108 Total Liabilities ...................................1,029,317 944,878 365,728 230,474 NET ASSETS .........................................$24,720,593 $11,206,012 $3,378,157 $1,641,104 Investments at Cost ....................................$16,752,543 $10,049,365 $2,765,471 $1,649,392 Foreign Currencies at Cost .............................. $ — $13,691 $ 146 $ 7,320 * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 250 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF ASSETS AND LIABILITIES APRIL 30, 2017 (Unaudited) (Amounts in thousands) The United Kingdom Small Company Series The Continental Small Company Series* The Canadian Small Company Series The Emerging Markets Series* The Emerging Markets Small Cap Series* ASSETS: Investments at Value (including $99,512, $617,598, $205,744, $290,124 and $1,021,332 of securities on loan, respectively).........................$2,098,865 $4,934,668 $1,205,904 $5,695,583 $6,425,190 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $103,496, $656,453, $212,866, $206,382 and $572,651)........................103,510 656,446 212,902 206,410 572,785 Segregated Cash for Futures Contracts ..... — — —1,793 2,100 Foreign Currencies at Value ..............1,478 7,704 596 39,902 53,172 Cash .................................10,808 14,285 11,540 23,327 29,178 Receivables: Investment Securities Sold .............1,036 1,682 2,703 4,095 2,576 Dividends, Interest and Tax Reclaims ....12,907 14,940 733 5,490 8,957 Securities Lending Income ............. 121 1,652 427 370 4,345 Futures Margin Variation ............... — — — 54 62 Unrealized Gain on Foreign Currency Contracts ............................ 11 2 — 1 — Prepaid Expenses and Other Assets ....... 2 4 1 6 6 Total Assets ......................2,228,738 5,631,383 1,434,806 5,977,031 7,098,371 LIABILITIES: Payables: Upon Return of Securities Loaned .......103,492 656,374 212,835 206,377 572,625 Investment Securities Purchased ........2,265 10,387 10,993 12,910 17,328 Due to Advisor ....................... 166 389 100 465 1,055 Unrealized Loss on Foreign Currency Contracts ............................ 1 3 2 2 2 Accrued Expenses and Other Liabilities ..... 118 264 45 432 329 Total Liabilities ...................106,042 667,417 223,975 220,186 591,339 NET ASSETS ..........................$2,122,696 $4,963,966 $1,210,831 $5,756,845 $6,507,032 Investments at Cost .....................$1,762,128 $3,671,841 $1,409,727 $4,171,265 $5,708,893 Foreign Currencies at Cost ............... $1,468 $ 7,694 $ 594 $ 39,522 $ 53,051 * See Note J in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 251 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2017 (Unaudited) (Amounts in thousands) The U.S. Large Cap Value Series The DFA International Value Series The Japanese Small Company Series The Asia Pacific Small Company Series Investment Income Dividends (Net of Foreign Taxes Withheld of $1, $14,368, $3,918 and $506, respectively)#........................ $259,498 $ 162,876 $ 35,781 $22,117 Income from Securities Lending ...........................1,279 5,087 3,424 2,360 Total Investment Income .............................260,777 167,963 39,205 24,477 Expenses Investment Management Fees ............................11,654 10,383 1,573 776 Accounting & Transfer Agent Fees ........................ 536 244 74 41 Custodian Fees ........................................ 110 423 251 153 Shareholders’ Reports .................................. 19 9 3 1 Directors’/Trustees’ Fees & Expenses ...................... 113 50 15 8 Professional Fees ...................................... 170 94 27 14 Other ................................................. 263 154 52 27 Total Expenses ....................................12,865 11,357 1,995 1,020 Fees Paid Indirectly (Note C)............................. —(292) (18) (8) Net Expenses .........................................12,865 11,065 1,977 1,012 Net Investment Income (Loss)..........................247,912 156,898 37,228 23,465 Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**...........................800,632 (11,728) 30,970 25,519 Futures .............................................14,271 8,027 — — Foreign Currency Transactions ......................... —(3,521) (2,331) (461) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ..............2,137,765 986,251 153,107 28,041 Futures .............................................5,258 3,401 — — Translation of Foreign Currency Denominated Amounts ..... —1,063 682 (15) Net Realized and Unrealized Gain (Loss).................2,957,926 983,493 182,428 53,084 Net Increase (Decrease) in Net Assets Resulting from Operations ...........................................$3,205,838 $1,140,391 $219,656 $76,549 ** 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. 252 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2017 (Unaudited) (Amounts in thousands) The United Kingdom Small Company Series The Continental Small Company Series The Canadian Small Company Series The Emerging Markets Series The Emerging Markets Small Cap Series Investment Income Dividends (Net of Foreign Taxes Withheld of $29, $6,775, $1,680, $5,475 and $4,297, respectively)#........................... $35,116 $ 45,764 $ 9,568 $ 42,192 $ 39,086 Income from Securities Lending .............. 507 6,784 2,352 2,082 21,556 Total Investment Income ................35,623 52,548 11,920 44,274 60,642 Expenses Investment Management Fees ............... 912 2,159 527 2,589 5,770 Accounting & Transfer Agent Fees ............ 44 104 24 124 138 Custodian Fees ............................ 49 317 30 981 1,433 Shareholders’ Reports ...................... 2 4 1 4 5 Directors’/Trustees’ Fees & Expenses ......... 9 21 5 25 27 Professional Fees .......................... 17 38 8 81 88 Other .................................... 31 76 14 81 93 Total Expenses ........................1,064 2,719 609 3,885 7,554 Fees Paid Indirectly (Note C).................(14) (36) (24) (66) (122) Net Expenses .............................1,050 2,683 585 3,819 7,432 Net Investment Income (Loss)..............34,573 49,865 11,335 40,455 53,210 Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold**...............19,709 54,963 158 (19,021) 16,948 Futures ................................. — — —2,422 3,170 Foreign Currency Transactions .............(145) 360 100 111 758 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency .............................301,413 658,587 27,773 474,245 527,025 Futures ................................. — — —1,674 752 Translation of Foreign Currency Denominated Amounts .............................. 424 56 8 (54) (67) Net Realized and Unrealized Gain (Loss).....321,401 713,966 28,039 459,377 548,586 Net Increase (Decrease) in Net Assets Resulting from Operations ..........................$355,974 $763,831 $39,374 $499,832 $601,796 ** 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. 253 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) The U.S. Large Cap Value Series The DFA International Value Series The Japanese Small Company Series Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)..... $247,912 $ 464,438 $ 156,898 $ 332,006 $ 37,228 $ 54,226 Net Realized Gain (Loss) on: Investment Securities Sold*.....800,632 567,193 (11,728) (261,808) 30,970 122,152 Futures ......................14,271 21,037 8,027 5,988 — — Foreign Currency Transactions ............... — —(3,521) 5,590 (2,331) 2,170 Forward Currency Contracts .... — — — 8 —(36) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ...........2,137,765 (57,128) 986,251 (32,753) 153,107 214,787 Futures ......................5,258 (3,872) 3,401 (852) — — Translation of Foreign Currency Denominated Amounts ....... — —1,063 (908) 682 (688) Net Increase (Decrease) in Net Assets Resulting from Operations ...............3,205,838 991,668 1,140,391 47,271 219,656 392,611 Transactions in Interest: Contributions ...................1,266,304 1,812,211 706,688 1,394,282 120,920 224,138 Withdrawals ....................(668,117) (981,368) (370,607) (939,918) (95,013) (115,843) Net Increase (Decrease) from Transactions in Interest ....598,187 830,843 336,081 454,364 25,907 108,295 Total Increase (Decrease) in Net Assets ...............3,804,025 1,822,511 1,476,472 501,635 245,563 500,906 Net Assets Beginning of Period .............20,916,568 19,094,057 9,729,540 9,227,905 3,132,594 2,631,688 End of Period ..................$24,720,593 $20,916,568 $11,206,012 $9,729,540 $3,378,157 $3,132,594 * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 254 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) The Asia Pacific Small Company Series The United Kingdom Small Company Series The Continental Small Company Series Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)........ $23,465 $ 55,379 $ 34,573 $ 79,465 $ 49,865 $ 98,312 Net Realized Gain (Loss) on: Investment Securities Sold*........25,519 (8,246) 19,709 71,244 54,963 122,507 Futures .........................—————687 Foreign Currency Transactions .....(461) 309 (145) (1,277) 360 (394) Forward Currency Contracts ....... —(18) — — — (5) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency ......................28,041 168,801 301,413 (469,059) 658,587 27,064 Futures .........................—————19 Translation of Foreign Currency Denominated Amounts ..........(15) 22 424 (215) 56 (32) Net Increase (Decrease) in Net Assets Resulting from Operations ..................76,549 216,247 355,974 (319,842) 763,831 248,158 Transactions in Interest: Contributions ......................48,524 137,711 90,326 112,811 101,189 441,553 Withdrawals .......................(39,705) (26,496) (7,069) (193,617) (48,979) (195,529) Net Increase (Decrease) from Transactions in Interest ........8,819 111,215 83,257 (80,806) 52,210 246,024 Total Increase (Decrease) in Net Assets ......................85,368 327,462 439,231 (400,648) 816,041 494,182 Net Assets Beginning of Period ................1,555,736 1,228,274 1,683,465 2,084,113 4,147,925 3,653,743 End of Period ......................$1,641,104 $1,555,736 $2,122,696 $1,683,465 $4,963,966 $4,147,925 * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $0, respectively. See accompanying Notes to Financial Statements. 255 THE DFA INVESTMENT TRUST COMPANY STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) The Canadian Small Company Series The Emerging Markets Series The Emerging Markets Small Cap Series Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 (Unaudited) (Unaudited) (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss)......... $11,335 $ 18,822 $ 40,455 $ 110,781 $ 53,210 $ 144,191 Net Realized Gain (Loss) on: Investment Securities Sold*.......... 158 (24,152) (19,021) (106,229) 16,948 140,851 Futures .......................... — —2,422 5,752 3,170 4,055 Foreign Currency Transactions ....... 100 229 111 975 758 457 Forward Currency Contracts ......... — — — (4) —(116) Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency .......................27,773 135,836 474,245 512,891 527,025 400,224 Futures .......................... — —1,674 (266) 752 289 Translation of Foreign Currency Denominated Amounts ............ 8 (6)(54) 207 (67) 586 Net Increase (Decrease) in Net Assets Resulting from Operations ....................39,374 130,729 499,832 524,107 601,796 690,537 Transactions in Interest: Contributions .......................238,636 187,903 371,644 471,019 692,553 448,086 Withdrawals ........................(443) (8,500) (112,362) (400,950) (302,964) (521,283) Net Increase (Decrease) from Transactions in Interest .........238,193 179,403 259,282 70,069 389,589 (73,197) Total Increase (Decrease) in Net Assets .......................277,567 310,132 759,114 594,176 991,385 617,340 Net Assets Beginning of Period ..................933,264 623,132 4,997,731 4,403,555 5,515,647 4,898,307 End of Period .......................$1,210,831 $933,264 $5,756,845 $4,997,731 $6,507,032 $5,515,647 * Net of foreign capital gain taxes withheld of $0, $0, $0, $0, $0 and $68, respectively. See accompanying Notes to Financial Statements. 256 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS The U.S. Large Cap Value Series Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 (Unaudited) TotalReturn ............................. 15.29%(D) 4.75% 1.32% 15.67% 35.68% 18.31% Net Assets, End of Period (thousands).........$24,720,593 $20,916,568 $19,094,057 $18,376,682 $14,838,988 $10,589,152 Ratio of Expenses to Average Net Assets ....... 0.11%(E) 0.11% 0.11% 0.11% 0.11% 0.12% Ratio of Net Investment Income to Average NetAssets ............................ 2.13%(E) 2.39% 2.20% 1.90% 1.98% 2.15% PortfolioTurnoverRate..................... 9%(D) 15% 16% 15% 15% 10% The DFA International Value Series Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 (Unaudited) TotalReturn............................. 11.53%(D) (0.10)% (5.35)% (0.72)% 28.18% 3.17% Net Assets, End of Period (thousands).........$11,206,012 $9,729,540 $9,227,905 $9,343,666 $8,792,130 $7,238,249 Ratio of Expenses to Average Net Assets ...... 0.22%(E) 0.22% 0.22% 0.22% 0.22% 0.24% Ratio of Expenses to Average Net Assets (ExcludingFeesPaidIndirectly) ............ 0.22%(E) 0.22% 0.22% 0.22% 0.22% 0.24% Ratio of Net Investment Income to Average NetAssets ............................ 3.02%(E) 3.72% 3.31% 4.50% 3.20% 3.75% PortfolioTurnoverRate .................... 8%(D) 17% 21% 17% 15% 14% See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 257 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS The Japanese Small Company Series Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 (Unaudited) TotalReturn.............................. 7.11%(D) 14.53% 9.04% 2.46% 30.62% 0.54% Net Assets, End of Period (thousands).......... $3,378,157 $3,132,594 $2,631,688 $2,505,409 $2,281,624 $1,686,731 Ratio of Expenses to Average Net Assets ....... 0.13%(E) 0.13% 0.13% 0.13% 0.14% 0.15% Ratio of Expenses to Average Net Assets (ExcludingFeesPaidIndirectly) ............. 0.13%(E) 0.13% 0.13% 0.13% 0.14% 0.15% Ratio of Net Investment Income to Average NetAssets ............................. 2.37%(E) 1.99% 1.69% 1.71% 1.87% 2.17% PortfolioTurnoverRate ..................... 4%(D) 10% 6% 9% 16% 7% The Asia Pacific Small Company Series Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 (Unaudited) TotalReturn.............................. 5.06%(D) 16.69% (11.83)% (3.46)% 10.97% 7.48% Net Assets, End of Period (thousands).......... $1,641,104 $1,555,736 $1,228,274 $1,453,786 $1,265,498 $1,003,860 Ratio of Expenses to Average Net Assets ....... 0.13%(E) 0.13% 0.13% 0.13% 0.15% 0.16% Ratio of Expenses to Average Net Assets (ExcludingFeesPaidIndirectly) ............. 0.13%(E) 0.13% 0.13% 0.13% 0.15% 0.16% Ratio of Net Investment Income to Average NetAssets ............................. 3.03%(E) 4.00% 4.17% 3.96% 4.64% 4.26% PortfolioTurnoverRate ..................... 8%(D) 10% 7% 7% 9% 18% See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 258 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS The United Kingdom Small Company Series Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 (Unaudited) TotalReturn.............................. 20.72%(D) (15.82)% 9.95% 1.22% 37.42% 23.41% Net Assets, End of Period (thousands).......... $2,122,696 $1,683,465 $2,084,113 $1,995,898 $1,988,287 $1,464,838 Ratio of Expenses to Average Net Assets ....... 0.12%(E) 0.12% 0.11% 0.11% 0.12% 0.13% Ratio of Expenses to Average Net Assets (ExcludingFeesPaidIndirectly) ............. 0.12%(E) 0.12% 0.11% 0.11% 0.12% 0.13% Ratio of Net Investment Income to Average NetAssets ............................. 3.79%(E) 4.36% 3.44% 2.98% 3.29% 3.37% PortfolioTurnoverRate ..................... 3%(D) 15% 10% 8% 17% 6% The Continental Small Company Series Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 (Unaudited) TotalReturn.............................. 18.38%(D) 6.10% 9.81% (2.25)% 43.67% 2.29% Net Assets, End of Period (thousands).......... $4,963,966 $4,147,925 $3,653,743 $3,152,277 $3,217,766 $2,245,179 Ratio of Expenses to Average Net Assets ....... 0.12%(E) 0.13% 0.13% 0.13% 0.14% 0.16% Ratio of Expenses to Average Net Assets (ExcludingFeesPaidIndirectly) ............. 0.13%(E) 0.13% 0.13% 0.13% 0.14% 0.16% Ratio of Net Investment Income to Average NetAssets ............................. 2.31%(E) 2.49% 2.44% 2.40% 2.67% 3.15% PortfolioTurnoverRate ..................... 5%(D) 9% 14% 13% 13% 9% See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 259 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS The Canadian Small Company Series Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 (Unaudited) TotalReturn ..................................... 5.00%(D) 20.77% (25.00)% (3.83)% 5.71% (2.51)% Net Assets, End of Period (thousands)................. $1,210,831 $933,264 $623,132 $849,429 $741,204 $689,086 Ratio of Expenses to Average Net Assets ............... 0.11%(E) 0.12% 0.12% 0.12% 0.13% 0.15% Ratio of Expenses to Average Net Assets (Excluding Fees PaidIndirectly) ................................. 0.12%(E) 0.12% 0.12% 0.12% 0.13% 0.15% RatioofNetInvestmentIncometoAverageNetAssets .... 2.15%(E) 2.52% 2.73% 2.42% 2.99% 2.29% PortfolioTurnoverRate............................. 4%(D) 8% 18% 5% 14% 22% The Emerging Markets Series Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 (Unaudited) TotalReturn.............................. 9.41%(D) 11.44% (14.86)% 1.74% 6.99% 4.55% Net Assets, End of Period (thousands).......... $5,756,845 $4,997,731 $4,403,555 $4,185,451 $3,766,160 $2,913,307 Ratio of Expenses to Average Net Assets ....... 0.15%(E) 0.15% 0.16% 0.15% 0.16% 0.20% Ratio of Expenses to Average Net Assets (ExcludingFeesPaidIndirectly) ............. 0.15%(E) 0.15% 0.16% 0.15% 0.16% 0.20% Ratio of Net Investment Income to Average NetAssets ............................. 1.56%(E) 2.45% 2.39% 2.51% 2.38% 2.55% PortfolioTurnoverRate ..................... 1%(D) 5% 9% 5% 4% 5% See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 260 THE DFA INVESTMENT TRUST COMPANY FINANCIAL HIGHLIGHTS The Emerging Markets Small Cap Series Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 (Unaudited) TotalReturn ............................ 10.08%(D) 14.45% (9.42)% 5.60% 9.41% 7.19% Net Assets, End of Period (thousands)........ $6,507,032 $5,515,647 $4,898,307 $4,921,438 $4,091,523 $2,953,350 Ratio of Expenses to Average Net Assets ...... 0.26%(E) 0.26% 0.26% 0.26% 0.29% 0.36% Ratio of Expenses to Average Net Assets (ExcludingFeesPaidIndirectly)............ 0.26%(E) 0.26% 0.27% 0.26% 0.29% 0.36% Ratio of Net Investment Income to Average NetAssets............................ 1.84%(E) 2.89% 2.62% 2.48% 2.37% 2.48% PortfolioTurnoverRate .................... 6%(D) 18% 18% 9% 11% 13% See page 1 for the Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 261 THE DFA INVESTMENT TRUST COMPANY NOTES TO FINANCIAL STATEMENTS (Unaudited) A. Organization: The DFA Investment Trust Company (the “Trust”) is an open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of eleven portfolios, nine of which are included in this section of the report (collectively, the “Series”). The remaining operational portfolios are presented in separate reports. The Series are investment companies, and accordingly, follow the accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Certification (“ASC”) Topic 946, “Financial Services-Investment Companies.” Domestic Equity Portfolio International Equity Portfolios The U.S. Large Cap Value Series The DFA International Value Series The Japanese Small Company Series The Asia Pacific Small Company Series The United Kingdom Small Company Series The Continental Small Company Series The Canadian Small Company Series The Emerging Markets Series The Emerging Markets Small Cap Series B. Significant Accounting Policies: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Trust in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1.Security Valuation:The Series utilize a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: • Level 1 – inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, futures contracts) • Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) • Level 3 – significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments) Securities held by the Domestic Equity Portfolio and the International Equity Portfolios, including over-the-counter securities, are valued at the last quoted sale price of the day. International equity securities are subject to a fair value factor, as described later in this note. Securities held by the Domestic Equity Portfolio and the International Equity Portfolios that are listed on Nasdaq are valued at the Nasdaq Official Closing Price (“NOCP”). If there is no last reported sale price or NOCP for the day, the Domestic Equity Portfolio and the International Equity Portfolios value the securities within the range of the most recent quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end management investment companies are valued using their respective net asset values or public offering prices, as appropriate, for purchase orders placed at the close of the New York Stock Exchange (NYSE). These securities are generally categorized as Level 1 in the hierarchy. 262 Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Trustees of the Trust. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of Dimensional Fund Advisors LP) occur before the net asset value of the Series is calculated. When fair value pricing is used, the prices of securities used by the Domestic Equity Portfolio and the International Equity Portfolios may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. The International Equity Portfolios will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the time that the net asset values of the International Equity Portfolios are computed. Due to the time differences between the closings of the relevant foreign securities exchanges and the time the International Equity Portfolios price their shares at the close of the NYSE, the International Equity Portfolios will fair value their foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets’ perceptions and trading activities on the International Equity Portfolios’ foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Trustees of the International Equity Portfolios has determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the International Equity Portfolios utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When an International Equity Portfolio uses fair value pricing, the values assigned to the International Equity Portfolio’s foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. Futures contracts held by the Series are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts, do not require material subjectivity as pricing inputs are observed from quoted markets and are categorized as Level 2 in the hierarchy. A summary of the inputs used to value the Series’ investments by each major security type, industry and/or country is disclosed previously in this note. Valuation hierarchy tables have been included at the end of the Summary Schedules of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For the six months ended April 30, 2017, there were no significant transfers between Level 1 and Level 2 and no significant Level 3 investments held by the Series. 2.Foreign Currency Translation:Securities and other assets and liabilities of the International Equity Portfolios, whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recent bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked- to-market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The International Equity Portfolios do not isolate the effect of fluctuations in foreign currency rates when determining the realized gain or loss upon the sale or maturity of foreign currency denominated debt obligations pursuant to U.S. Federal income tax regulations; such amounts are categorized as foreign exchange gain or loss for income tax reporting purposes. 263 Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and any foreign withholding taxes recorded on the books of the International Equity Portfolios and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan:Each eligible Trustee of the Trust may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the “Plan”). Under the Plan, effective January 1, 2002, such Trustees may defer payment of all or a portion of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors’/ Trustees’ Fees & Expenses. Each Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed-upon years; or quarterly installments over a period of agreed- upon years. Each Trustee shall have the right in a notice of election (the “Notice”) to defer the receipt of the Trustee’s deferred compensation until a date specified by such Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Trustee ceases to be a member of the Board of Trustees of the Trust; and (ii) five years following the effective date of the Trustee’s first deferral election. If a Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Trustee’s deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Trustee ceases to be a member of the Board (unless the Trustee files an amended Notice selecting a different distribution date). As of April 30, 2017, none of the Trustees have requested or received a distribution of proceeds of a deferred fee account. 4. Other:Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities and foreign currency are accounted for on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments or as a realized gain, respectively. The Series estimate the character of distributions received that may be considered return of capital distributions. Interest income is recorded on an accrual basis. Discount and premium on securities purchased are amortized over the lives of the respective securities, utilizing the effective interest method. Expenses directly attributable to a Series are directly charged. Common expenses of the Trust or Series are allocated using methods approved by the Board of Trustees, generally based on average net assets. The International Equity Portfolios may be subject to taxes imposed by countries in which they invest, with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Series accrue such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. The Emerging Markets Series and The Emerging Markets Small Cap Series are subject to a 15% tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The capital gains taxes are recognized when the capital gains are earned. 264 C. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides investment management services to the Series. For the six months ended April 30, 2017, the Series’ investment management fees were accrued daily and paid monthly to the Advisor based on the following effective annual rates of average daily net assets: The U.S. Large Cap Value Series ...............................................0.10% The DFA International Value Series .............................................0.20% The Japanese Small Company Series ...........................................0.10% The Asia Pacific Small Company Series .........................................0.10% The United Kingdom Small Company Series ......................................0.10% The Continental Small Company Series ..........................................0.10% The Canadian Small Company Series ...........................................0.10% The Emerging Markets Series ..................................................0.10% The Emerging Markets Small Cap Series .........................................0.20% Earned Income Credit: In addition, the Series have entered into arrangements with their custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of each Series’ custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. The impact of such credits is generally less than one basis point of each Series’ net assets. During the six months ended April 30, 2017, expenses reduced were as follows (amounts in thousands): Fees Paid Indirectly The DFA International Value Series ..........................................$292 The Japanese Small Company Series ........................................ 18 The Asia Pacific Small Company Series ...................................... 8 The United Kingdom Small Company Series .................................. 14 The Continental Small Company Series ...................................... 36 The Canadian Small Company Series ........................................ 24 The Emerging Markets Series .............................................. 66 The Emerging Markets Small Cap Series ..................................... 122 Fees Paid to Officers and Directors/Trustees: Certain Officers and Trustees of the Advisor are also Officers and Trustees of the Trust; however, such Officers and Trustees (with the exception of the Chief Compliance Officer (“CCO”)) receive no compensation from the Trust. For the six months ended April 30, 2017, the total related amounts paid by the Trust to the CCO were $42 (in thousands). The total related amounts paid by each of the Series are included in Other Expenses on the Statement of Operations. D. Deferred Compensation: At April 30, 2017, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities as follows (amounts in thousands): The U.S. Large Cap Value Series ..............................................$553 The DFA International Value Series ............................................. 354 The Japanese Small Company Series ........................................... 85 The Asia Pacific Small Company Series ......................................... 44 The United Kingdom Small Company Series ..................................... 56 The Continental Small Company Series ......................................... 108 The Canadian Small Company Series ........................................... 26 The Emerging Markets Series ................................................. 138 The Emerging Markets Small Cap Series ........................................ 115 265 E. Purchases and Sales of Securities: For the six months ended April 30, 2017, the Series’ transactions related to investment securities, other than short-term securities and U.S. government securities (amounts in thousands), were as follows: Purchases Sales The U.S. Large Cap Value Series .............................$2,909,117 $2,060,806 The DFA International Value Series ............................1,120,394 791,279 The Japanese Small Company Series ..........................178,785 127,844 The Asia Pacific Small Company Series ........................157,386 124,684 The United Kingdom Small Company Series ....................148,543 48,625 The Continental Small Company Series ........................306,903 225,291 The Canadian Small Company Series ..........................293,679 42,758 The Emerging Markets Series ................................361,319 67,294 The Emerging Markets Small Cap Series .......................785,027 371,213 There were no purchases or sales of long-term U.S. government securities. F. Federal Income Taxes: No provision for federal income taxes is required since the Series are treated as partnerships for federal income tax purposes. Any net investment income and realized and unrealized gains and losses have been deemed to have been “passed down” to their respective partners. At April 30, 2017, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands): Federal Tax Cost Unrealized Appreciation Unrealized Depreciation Net Unrealized Appreciation (Depreciation) The U.S. Large Cap Value Series ...................$17,961,870 $8,223,481 $(495,529) $7,727,952 The DFA International Value Series ..................10,991,609 1,800,145 (823,925) 976,220 The Japanese Small Company Series ................3,127,029 812,799 (235,276) 577,523 The Asia Pacific Small Company Series ..............1,878,880 349,009 (371,474) (22,465) The United Kingdom Small Company Series ...........1,865,624 524,507 (187,757) 336,750 The Continental Small Company Series ..............4,328,294 1,676,933 (414,113) 1,262,820 The Canadian Small Company Series ................1,622,593 160,757 (364,544) (203,787) The Emerging Markets Series .......................4,377,646 1,844,395 (320,049) 1,524,346 The Emerging Markets Small Cap Series .............6,281,544 1,505,625 (789,195) 716,430 The difference between book-basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales and investments in passive foreign investment companies. Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed the Series’ tax positions and has concluded that no additional provision for income tax is required in any Series’ financial statements. The Series are not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Series’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. 266 G. Financial Instruments: In accordance with the Series’ investment objectives and policies, the Series may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1.Foreign Market Risks:Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Series may be inhibited. Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Series. 2.Futures Contracts:The Series noted below may purchase or sell futures contracts and options on futures contracts for equity securities and indices to adjust market exposure based on actual or expected cash inflows to or outflows from the Series. The Series, however, do not intend to sell futures contracts to establish short positions in individual securities. Upon entering into a futures contract, the Series deposit cash or pledge U.S. government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Series as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Series record a realized gain or loss, which is presented in the Statements of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Series could lose more than the initial margin requirements. The Series entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. At April 30, 2017, the following Series had outstanding futures contracts (dollar amounts in thousands): Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral The U.S. Large Cap Value Series ................. S&P500Emini Index ®06/16/17 1,432 $170,444 $1,386 $7,160 $170,444 $1,386 $7,160 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral The DFA International Value Series ..........MINI MSCI EAFE Index ®06/16/17 381 $ 34,743 $1,626 $2,995 The DFA International Value Series .......... S&P500Emini Index ®06/16/17 619 73,677 923 1,700 $108,420 $2,549 $4,695 267 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral The Emerging Markets Series ................MINI MSCI EAFE Index ®06/16/17 559 $27,363 $1,208 $1,538 The Emerging Markets Series ................ S&P500Emini Index ®06/16/17 135 16,068 200 255 $43,431 $1,408 $1,793 Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral The Emerging Markets Small Cap Series .......MINI MSCI EAFE Index ®06/16/17 650 $31,818 $ 901 $1,818 The Emerging Markets Small Cap Series ....... S&P500Emini Index ®06/16/17 160 19,044 140 282 $50,862 $1,041 $2,100 3. Forward Currency Contracts: The International Equity Portfolios may acquire and sell forward currency contracts to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies (foreign exchange rate risk). The decision to hedge a Series’ currency exposure with respect to a foreign market will be based primarily on the Series’ existing exposure to a given foreign currency. Each contract is valued daily and the change in value is recorded by the Series as an unrealized gain or loss, which is presented in the Statements of Operations as the change in unrealized appreciation or depreciation from translation of foreign-currency-denominated amounts. When the contract is closed or offset with the same counterparty, the Series records a realized gain or loss equal to the change in the value of the contract when it was opened and the value at the time it was closed or offset. This is presented in the Statements of Operations as a net realized gain or loss on foreign currency transactions. At April 30, 2017, the International Equity Portfolios had no outstanding forward currency contracts. The average volume (based on the open positions at each fiscal month-end) of derivative activity for the six months ended April 30, 2017 (amounts in thousands): Futures The U.S. Large Cap Value Series ...........................................$161,124 The DFA International Value Series .........................................87,112 The Emerging Markets Series ..............................................41,128 The Emerging Markets Small Cap Series ....................................39,989 The following is a summary of the location of derivatives on the Series’ Statements of Assets and Liabilities as of April 30, 2017: Location on the Statements of Assets and Liabilities Derivative Type Asset Derivatives Equity contracts Receivables: Futures Margin Variation 268 The following is a summary of the Series’ derivative instrument holdings categorized by primary risk exposure as of April 30, 2017 (amounts in thousands): Asset Derivatives Value Total Value at April 30, 2017 Equity Contracts* The U.S. Large Cap Value Series ..............................$1,386 $1,386 The DFA International Value Series .............................2,549 2,549 The Emerging Markets Series .................................1,408 1,408 The Emerging Markets Small Cap Series ........................1,041 1,041 * Includes cumulative appreciation (depreciation) of futures contracts. Only current day’s margin variation is reported within the Statements of Assets and Liabilities. The following is a summary of the location and value of derivative instrument holdings on the Series’ Statements of Operations categorized by primary risk exposure for the six months ended April 30, 2017: Derivative Type Location of Gain (Loss) on Derivatives Equity contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures The following is a summary of the realized and change in unrealized gains and losses from the Series’ derivative instrument holdings categorized by primary risk exposure for the six months ended April 30, 2017 (amounts in thousands): Realized Gain (Loss) on Derivatives Total Equity Contracts The U.S. Large Cap Value Series ..............................$14,271 $14,271 The DFA International Value Series .............................8,027 8,027 The Emerging Markets Series .................................2,422 2,422 The Emerging Markets Small Cap Series ........................3,170 3,170 Change in Unrealized Appreciation (Depreciation) on Derivatives Total Equity Contracts The U.S. Large Cap Value Series .............................. $5,258 $ 5,258 The DFA International Value Series .............................3,401 3,401 The Emerging Markets Series .................................1,674 1,674 The Emerging Markets Small Cap Series ........................ 752 752 H. Line of Credit and Interfund Lending Program: The Trust, together with other Dimensional-advised portfolios, has entered into a $500 million uncommitted, unsecured discretionary line of credit effective March 29, 2017, with its domestic custodian bank. A line of credit with similar terms was in effect through March 29, 2017. 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 28, 2018. The Trust, together with other Dimensional-advised portfolios, has also entered into an additional $700 million unsecured line of credit with its international custodian bank effective January 6, 2017. A line of credit with similar 269 terms was in effect through January 6, 2017. 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 5, 2018. For the six months ended April 30, 2017, borrowings by the Series under the lines of credit were as follows (amounts in thousands, except percentages and days): Weighted Average Interest Rate Weighted Average Loan Balance Number of Days Outstanding* Interest Expense Incurred Maximum Amount Borrowed During the Period The Japanese Small Company Series .....1.16% $25,222 1 $ 1 $25,222 The Asia Pacific Small Company Series . . . 1.30% 856 7 — 4,883 The Emerging Markets Series ............1.66% 7,009 4 1 7,564 The Emerging Markets Small Cap Series . . . 1.16% 31,663 5 5 35,873 * Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2017, that each Series’ available line of credit was utilized. There were no outstanding borrowings by the Series under the lines of credit as of April 30, 2017. Pursuant to an exemptive order issued by the SEC (the “Order’’), the Series may participate in an interfund lending program among certain portfolios managed by the Advisor (portfolios that operate as feeder funds do not participate in the program). The program allows the participating portfolios to borrow money from and loan money to each other for temporary or emergency purposes, subject to the conditions in the Order. A loan can only be made through the program if the interfund loan rate on that day is more favorable to both the borrowing and lending portfolios as compared to rates available through short-term bank loans or investments in overnight repurchase agreements and money market funds, respectively, as detailed in the Order. Further, a portfolio may participate in the program only if and to the extent that such participation is consistent with its investment objectives and limitations. lnterfund loans have a maximum duration of seven days and may be called on one business day’s notice. The Series did not utilize the interfund lending program during the six months ended April 30, 2017. I. Affiliated Trades: Cross trades for the six months ended April 30, 2017, if any, were executed by the Series pursuant to procedures adopted by the Board of Trustees of the Trust to ensure compliance with Rule 17a-7 under the Investment Company Act of 1940 (the “1940 Act”). Cross trading is the buying or selling of portfolio securities between series of investment companies, or between a series of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers. At its regularly scheduled meetings, the Board reviews such transactions for compliance with the requirements and restrictions set forth by Rule 17a-7 under the 1940 Act. For the six months ended April 30, 2017, cross trades by the Series under Rule 17a-7 were as follows (amounts in thousands): Portfolio Purchases Sales Realized Gain (Loss) The U.S. Large Cap Value Series ..............................$265,085 $95,910 $24,946 The DFA International Value Series .............................69,722 26,653 3,611 The Japanese Small Company Series ...........................10,372 5,027 1,664 The Asia Pacific Small Company Series .........................15,454 24,449 10,015 The Continental Small Company Series .........................20,078 413 226 The Canadian Small Company Series ...........................28,182 3,735 1,778 The Emerging Markets Series .................................3,304 584 (32) The Emerging Markets Small Cap Series ........................1,567 2,795 (93) 270 J. Securities Lending: As of April 30, 2017, each Series had securities on loan to brokers/dealers, for which each such Series received cash collateral. The non-cash collateral includes short-and/or long-term U.S. Treasuries and U.S. Government Agency Securities as follows (amounts in thousands): Market Value The U.S. Large Cap Value Series ...........................................$530,878 The DFA International Value Series .........................................92,262 The Japanese Small Company Series .......................................18,295 The Asia Pacific Small Company Series .....................................55,261 The United Kingdom Small Company Series ..................................1,828 The Continental Small Company Series ......................................16,574 The Canadian Small Company Series .......................................4,192 The Emerging Markets Series ..............................................100,946 The Emerging Markets Small Cap Series ....................................519,871 Each Series invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral in an amount (i) equal to at least 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) generally equal to 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) generally equal to 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Series’ collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the option of the lending agent, to replace the securities. In the event of the bankruptcy of the borrower, a Series could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value. Subject to their stated investment policies, each Series will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the “Money Market Series”), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. Such Series also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage- backed securities. In addition, each Series will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. 271 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, 2017: Remaining Contractual Maturity of the Agreements As of April 30, 2017 Overnight and Continuous <30 days Between 30 & 90 days >90 days Total Securities Lending Transactions The U.S. Large Cap Value Series Common Stocks, Rights/Warrants ...........$921,031,983 — — — $921,031,983 The DFA International Value Series Common Stocks .........................942,324,037 — — — 942,324,037 The Japanese Small Company Series Common Stocks .........................361,553,180 — — — 361,553,180 The Asia Pacific Small Company Series Common Stocks .........................229,531,178 — — — 229,531,178 The United Kingdom Small Company Series Common Stocks .........................103,509,904 — — — 103,509,904 The Continental Small Company Series Common Stocks, Preferred Stocks, Rights/ Warrants .............................656,445,884 — — — 656,445,884 The Canadian Small Company Series Common Stocks .........................212,902,234 — — — 212,902,234 The Emerging Markets Series Common Stocks, Preferred Stocks ..........206,409,543 — — — 206,409,543 The Emerging Markets Small Cap Series Common Stocks, Rights/Warrants ...........572,784,566 — — — 572,784,566 K. Indemnitees; Contractual Obligations: Under the Trust’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties that provide general indemnification. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote. L. Other: The Series and the Trust are subject to claims and suits that arise from time to time in the ordinary course of business. Although management currently believes that resolving claims against us, individually or in aggregate, will not have a material adverse impact on our financial position, our results of operations, or our cash flows, these matters are subject to inherent uncertainties and management’s view of these matters may change in the future. The U.S. Large Cap Value Series has been named as a defendant in a multi-district litigation pending in the United States District Court for the Southern District of New York (the “Court”), captioned IN RE TRIBUNE 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”). 272 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 Supreme Court of the United States to review the Second Circuit’s ruling, and that petition is pending. On January 6, 2017, the Court granted the shareholder defendant’s 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). Litigation counsel to The U.S. Large Cap Value Series in the Lawsuits has advised management that it does not believe that it is possible, at this early stage in the proceedings, to predict with any reasonable certainty the probable outcome of the Lawsuits or quantify the ultimate exposure to The U.S. Large Cap Value Series arising from the Lawsuits. Until The U.S. Large Cap Value Series can do so, no reduction of the net asset value of The U.S. Large Cap Value Series will be made relating to the Lawsuits. However, even if the plaintiffs in the Lawsuits were to obtain the full recovery the plaintiffs seek, the amount would be less than 1% of the net asset value of The U.S. Large Cap Value Series at this time. The U.S. Large Cap Value Series also cannot quantify the cost of the Lawsuits that could potentially be deducted from its net asset value. Therefore, at this time, those investors buying or redeeming shares of The U.S. Large Cap Value Series will pay or receive, as the case may be, a price based on the net asset value of The U.S. Large Cap Value Series, with no adjustment relating to the Lawsuits. The attorneys’ fees and costs relating to the Lawsuits will be 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. M. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Series through the date that the financial statements were issued and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 273 DIMENSIONAL EMERGING MARKETS VALUE FUND DISCLOSURE OF FUND EXPENSES (Unaudited) The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses, legal and audit services, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The Expense Tables below illustrate your fund’s costs in two ways. Actual Fund Return This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return and “Expenses Paid During Period” reflect the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.” Hypothetical Example for Comparison Purposes This section is intended to help you compare your fund’s costs with those of other mutual funds. The hypothetical “Ending Account Value” and “Expenses Paid During Period” are derived from the fund’s actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% annual return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, if applicable. The “Annualized Expense Ratio” represents the actual expenses for the six-month period indicated. Six Months Ended April 30, 2017 EXPENSE TABLES Beginning Account Value 11/01/16 Ending Account Value 04/30/17 Annualized Expense Ratio* Expenses Paid During Period* Dimensional Emerging Markets Value Fund Actual Fund Return ............................$1,000.00 $1,117.20 0.15% $0.79 Hypothetical 5% Annual Return ..................$1,000.00 $1,024.05 0.15% $0.75 * 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. 274 DIMENSIONAL EMERGING MARKETS VALUE FUND DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters on Form N-Q. For the Dimensional Emerging Markets Value Fund, this would be for the fiscal quarters ending January 31 and July 31. The Form N-Q filing must be made within 60 days of the end of the quarter. Dimensional Emerging Markets Value Fund filed its most recent Form N-Q with the SEC on March 30, 2017. They are available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). SEC regulations permit a fund to include in its reports to shareholders a “Summary Schedule of Portfolio Holdings” in lieu of a full Schedule of Investments. The Summary Schedule of Portfolio Holdings reports the fund’s 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund’s net assets at the end of the reporting period. The regulations also require that the Summary Schedule of Portfolio Holdings identify each category of investments that are held. A fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400 or by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, Texas 78746, or by visiting the SEC’s website at http://www.sec.gov, or they may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the Public Reference Room). PORTFOLIO HOLDINGS The SEC requires that all funds present their categories of portfolio holdings in a table, chart or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is utilized. The following table, which presents portfolio holdings as a percent of total investments before short-term investments and collateral for loaned securities, is provided in compliance with such requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications. Dimensional Emerging Markets Value Fund Consumer Discretionary ..........9.8% Consumer Staples ...............3.7% Energy ........................13.5% Financials ......................29.5% Health Care ....................0.5% Industrials ......................9.5% Information Technology ...........9.3% Materials .......................16.6% Real Estate .....................3.8% Telecommunication Services ......2.1% Utilities ........................1.7% 100.0% 275 DIMENSIONAL EMERGING MARKETS VALUE FUND SUMMARY SCHEDULE OF PORTFOLIO HOLDINGS April 30, 2017 (Unaudited) Shares Value†† Percentage of Net Assets** COMMON STOCKS — (93.3%) BRAZIL — (4.5%) Banco do Brasil SA .....................................10,075,902 $ 104,281,086 0.6% #* Petroleo Brasileiro SA Sponsored ADR .....................13,222,607 119,135,689 0.7% # Vale SA Sponsored ADR .................................15,719,950 134,877,171 0.8% Other Securities ........................................480,811,721 2.5% TOTAL BRAZIL .............................................839,105,667 4.6% CHILE — (1.5%) Other Securities ........................................270,178,358 1.5% CHINA — (15.6%) Agricultural Bank of China, Ltd. Class H ....................193,470,000 89,187,746 0.5% Bank of China, Ltd. Class H ..............................530,032,817 256,383,559 1.4% China Construction Bank Corp. Class H ....................692,941,101 562,434,840 3.1% # China Petroleum & Chemical Corp. ADR ....................1,186,244 96,524,658 0.5% China Petroleum & Chemical Corp. Class H .................113,079,575 91,826,660 0.5% # China Unicom Hong Kong, Ltd. ADR .......................7,214,458 93,643,665 0.5% CNOOC, Ltd............................................94,928,000 110,742,711 0.6% Industrial & Commercial Bank of China, Ltd. Class H ..........422,838,996 275,634,207 1.5% Other Securities ........................................1,327,183,029 7.4% TOTAL CHINA ..............................................2,903,561,075 16.0% COLOMBIA — (0.2%) Other Securities ........................................37,369,397 0.2% CZECH REPUBLIC — (0.2%) Other Securities ........................................45,438,831 0.3% GREECE — (0.0%) Other Securities ........................................5,026,537 0.0% HONG KONG — (0.0%) Other Securities ........................................657,362 0.0% HUNGARY — (0.4%) Other Securities ........................................75,633,104 0.4% INDIA — (13.2%) Axis Bank, Ltd..........................................10,438,329 82,548,856 0.5% ICICI Bank, Ltd. Sponsored ADR ..........................15,273,207 130,891,384 0.7% JSW Steel, Ltd..........................................21,000,680 65,028,399 0.4% Larsen & Toubro, Ltd....................................2,848,876 77,425,164 0.4% Reliance Industries, Ltd..................................18,507,130 400,807,236 2.2% Tata Motors, Ltd........................................14,885,959 106,304,729 0.6% Other Securities ........................................1,589,470,223 8.7% TOTAL INDIA ...............................................2,452,475,991 13.5% INDONESIA — (2.8%) Bank Mandiri Persero Tbk PT .............................91,588,731 80,150,276 0.5% Other Securities ........................................445,358,921 2.4% TOTAL INDONESIA .........................................525,509,197 2.9% 276 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED Shares Value†† Percentage of Net Assets** MALAYSIA — (3.2%) Other Securities ........................................ $597,862,018 3.3% MEXICO — (4.5%) * Cemex S.A.B. de C.V. Sponsored ADR .....................12,864,884 118,614,231 0.7% Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR ................................................1,385,477 124,748,349 0.7% Grupo Financiero Banorte S.A.B. de C.V. Class O ............20,219,961 116,688,839 0.7% Grupo Mexico S.A.B. de C.V. Series B .....................37,181,013 108,648,094 0.6% Other Securities ........................................361,580,642 1.9% TOTAL MEXICO ............................................830,280,155 4.6% PHILIPPINES — (1.1%) Other Securities ........................................196,045,242 1.1% POLAND — (1.7%) Polski Koncern Naftowy Orlen SA .........................2,865,816 85,646,571 0.5% Other Securities ........................................223,047,825 1.2% TOTAL POLAND ............................................308,694,396 1.7% RUSSIA — (1.9%) Gazprom PJSC Sponsored ADR ..........................46,263,845 219,639,871 1.2% Lukoil PJSC Sponsored ADR .............................1,526,223 75,756,583 0.4% Other Securities ........................................57,956,629 0.3% TOTAL RUSSIA .............................................353,353,083 1.9% SOUTH AFRICA — (6.6%) MTN Group, Ltd.........................................12,557,642 118,761,642 0.7% # Sasol, Ltd..............................................4,145,981 127,052,974 0.7% # Standard Bank Group, Ltd................................16,569,484 183,997,209 1.0% # Steinhoff International Holdings NV ........................24,951,223 126,929,236 0.7% Other Securities ........................................673,803,118 3.7% TOTAL SOUTH AFRICA .....................................1,230,544,179 6.8% SOUTH KOREA — (15.9%) Hana Financial Group, Inc................................3,032,933 104,166,099 0.6% Hyundai Mobis Co., Ltd..................................577,165 112,559,026 0.6% Hyundai Motor Co.......................................1,860,186 235,270,558 1.3% # KB Financial Group, Inc. ADR .............................2,938,163 127,721,945 0.7% Kia Motors Corp.........................................3,369,529 103,144,562 0.6% # LG Electronics, Inc......................................1,692,217 102,723,685 0.6% POSCO ...............................................567,616 134,004,439 0.8% # POSCO Sponsored ADR .................................1,500,406 88,553,962 0.5% Shinhan Financial Group Co., Ltd..........................3,333,356 139,172,276 0.8% SK Innovation Co., Ltd...................................879,496 131,946,353 0.7% Other Securities ........................................1,666,798,598 9.0% TOTAL SOUTH KOREA ......................................2,946,061,503 16.2% TAIWAN — (15.8%) # First Financial Holding Co., Ltd............................144,043,234 87,846,321 0.5% # Fubon Financial Holding Co., Ltd..........................85,935,471 134,525,353 0.8% Hon Hai Precision Industry Co., Ltd........................26,120,240 85,495,761 0.5% # Innolux Corp...........................................150,377,544 70,187,402 0.4% # Mega Financial Holding Co., Ltd...........................127,434,796 102,304,284 0.6% # Pegatron Corp..........................................25,738,998 75,803,396 0.4% 277 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED Shares Value†† Percentage of Net Assets** TAIWAN — (Continued) # United Microelectronics Corp..............................214,984,681 $ 85,938,229 0.5% Other Securities ........................................2,291,586,368 12.5% TOTAL TAIWAN ............................................2,933,687,114 16.2% THAILAND — (2.9%) PTTPCL..............................................18,654,500 209,788,971 1.2% Other Securities ........................................323,336,437 1.7% TOTAL THAILAND ..........................................533,125,408 2.9% TURKEY — (1.3%) Other Securities ........................................247,680,274 1.4% TOTAL COMMON STOCKS ..................................17,332,288,891 95.5% PREFERRED STOCKS — (3.1%) BRAZIL — (3.0%) #* Petroleo Brasileiro SA Sponsored ADR .....................17,415,408 152,036,512 0.8% Vale SA ...............................................21,243,518 175,754,882 1.0% # Vale SA Sponsored ADR ................................9,567,563 78,549,692 0.4% Other Securities ........................................148,725,568 0.9% TOTAL BRAZIL .............................................555,066,654 3.1% COLOMBIA — (0.1%) Other Securities ........................................16,006,778 0.1% INDIA — (0.0%) Other Securities ........................................3,115,353 0.0% TOTAL PREFERRED STOCKS ...............................574,188,785 3.2% RIGHTS/WARRANTS — (0.0%) BRAZIL — (0.0%) Other Securities ........................................66,557 0.0% MALAYSIA — (0.0%) Other Securities ........................................666,601 0.0% PHILIPPINES — (0.0%) Other Securities ........................................10,735 0.0% TAIWAN — (0.0%) Other Securities ........................................559,297 0.0% TOTAL RIGHTS/WARRANTS .................................1,303,190 0.0% TOTAL INVESTMENT SECURITIES ...........................17,907,780,866 Value† SECURITIES LENDING COLLATERAL — (3.6%) §@ DFA Short Term Investment Fund .........................58,485,898 676,857,303 3.7% TOTAL INVESTMENTS — (100.0%) (Cost $17,425,494,539)....................................$18,584,638,169 102.4% 278 DIMENSIONAL EMERGING MARKETS VALUE FUND CONTINUED Summary of the Fund’s investments as of April 30, 2017, 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 ........................................ $839,105,667 — — $ 839,105,667 Chile .........................................76,990,845 $ 193,187,513 — 270,178,358 China ........................................254,898,716 2,648,662,359 — 2,903,561,075 Colombia .....................................37,369,397 — — 37,369,397 Czech Republic ................................ —45,438,831 — 45,438,831 Greece ....................................... —5,026,537 — 5,026,537 Hong Kong .................................... —657,362 — 657,362 Hungary ...................................... —75,633,104 — 75,633,104 India .........................................159,688,869 2,292,787,122 — 2,452,475,991 Indonesia .....................................2,902,682 522,606,515 — 525,509,197 Malaysia ......................................102,312 597,759,706 — 597,862,018 Mexico .......................................830,280,155 — — 830,280,155 Philippines .................................... —196,045,242 — 196,045,242 Poland ....................................... —308,694,396 — 308,694,396 Russia .......................................35,825,591 317,527,492 — 353,353,083 South Africa ...................................123,948,223 1,106,595,956 — 1,230,544,179 South Korea ..................................331,918,753 2,614,142,750 — 2,946,061,503 Taiwan .......................................38,315,239 2,895,371,875 — 2,933,687,114 Thailand ......................................533,100,807 24,601 — 533,125,408 Turkey ....................................... —247,680,274 — 247,680,274 Preferred Stocks Brazil ........................................555,066,654 — — 555,066,654 Colombia .....................................16,006,778 — — 16,006,778 India ......................................... —3,115,353 — 3,115,353 Rights/Warrants Brazil ........................................ —66,557 — 66,557 Malaysia ...................................... —666,601 — 666,601 Philippines .................................... —10,735 — 10,735 Taiwan ....................................... —559,297 — 559,297 Securities Lending Collateral ....................... —676,857,303 — 676,857,303 Futures Contracts**..............................2,820,931 — — 2,820,931 TOTAL ......................................... $3,838,341,619 $14,749,117,481 — $18,587,459,100 ** Not reflected in the Summary Schedule of Portfolio Holdings, valued at the unrealized appreciation/(depreciation) on the investment. (Note H) See accompanying Notes to Financial Statements. 279 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF ASSETS AND LIABILITIES APRIL 30, 2017 (Unaudited) (Amounts in thousands) ASSETS: Investments at Value (including $1,086,158 of securities on loan)*.......................................$17,907,781 Collateral from Securities on Loan Invested in Affiliate at Value (including cost of $676,750)..................676,857 Segregated Cash for Futures Contracts .............................................................6,240 Foreign Currencies at Value ......................................................................180,229 Cash .........................................................................................50,161 Receivables: Investment Securities Sold ......................................................................53,695 Dividends, Interest and Tax Reclaims .............................................................14,605 Securities Lending Income ......................................................................2,578 Unrealized Gain on Foreign Currency Contracts ...................................................... 1 Prepaid Expenses and Other Assets ............................................................... 18 Total Assets ..............................................................................18,892,165 LIABILITIES: Payables: Upon Return of Securities Loaned ...............................................................676,726 Investment Securities Purchased ................................................................56,652 Due to Advisor ................................................................................1,482 Futures Margin Variation ....................................................................... 169 Unrealized Loss on Foreign Currency Contracts ...................................................... 2 Accrued Expenses and Other Liabilities .............................................................1,475 Total Liabilities ............................................................................736,506 NET ASSETS ..................................................................................$18,155,659 Investments at Cost .............................................................................$16,748,744 Foreign Currencies at Cost ....................................................................... $180,333 * See Note I in the Notes to Financial Statements for additional securities lending collateral. See accompanying Notes to Financial Statements. 280 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED APRIL 30, 2017 (Unaudited) (Amounts in thousands) Investment Income Dividends (Net of Foreign Taxes Withheld of $16,643)#.............................................. $137,131 Income from Securities Lending .................................................................11,769 Total Investment Income ...................................................................148,900 Expenses Investment Management Fees ..................................................................8,431 Accounting & Transfer Agent Fees ............................................................... 413 Custodian Fees ..............................................................................3,530 Shareholders’ Reports ......................................................................... 16 Directors’/Trustees’ Fees & Expenses ............................................................ 81 Professional Fees ............................................................................. 282 Other ....................................................................................... 296 Total Expenses ...........................................................................13,049 Fees Paid Indirectly (Note C)...................................................................(160) Net Expenses ................................................................................12,889 Net Investment Income (Loss).................................................................136,011 Realized and Unrealized Gain (Loss) Net Realized Gain (Loss) on: Investment Securities Sold*...................................................................(437,219) Futures ...................................................................................8,492 Foreign Currency Transactions ................................................................3,631 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency .....................................................2,196,324 Futures ...................................................................................3,216 Translation of Foreign Currency Denominated Amounts ...........................................(58) Net Realized and Unrealized Gain (Loss)........................................................1,774,386 Net Increase (Decrease) in Net Assets Resulting from Operations ...................................$1,910,397 * Net of foreign capital gain taxes withheld of $0. # Portion of income is from investment in affiliated fund. See accompanying Notes to Financial Statements. 281 DIMENSIONAL EMERGING MARKETS VALUE FUND STATEMENTS OF CHANGES IN NET ASSETS (Amounts in thousands) Dimensional Emerging Markets Value Fund Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 (Unaudited) Increase (Decrease) in Net Assets Operations: Net Investment Income (Loss).................................................... $136,011 $ 407,052 Net Realized Gain (Loss) on: Investment Securities Sold*.....................................................(437,219) (88,448) Futures .....................................................................8,492 11,480 Foreign Currency Transactions ..................................................3,631 3,764 Change in Unrealized Appreciation (Depreciation) of: Investment Securities and Foreign Currency .......................................2,196,324 1,983,912 Futures .....................................................................3,216 (395) Translation of Foreign Currency Denominated Amounts .............................(58) 48 Net Increase (Decrease) in Net Assets Resulting from Operations ...................1,910,397 2,317,413 Transactions in Interest: Contributions ..................................................................510,972 1,192,055 Withdrawals ...................................................................(913,217) (1,950,019) Net Increase (Decrease) from Transactions in Interest .............................(402,245) (757,964) Total Increase (Decrease) in Net Assets ........................................1,508,152 1,559,449 Net Assets Beginning of Period .............................................................16,647,507 15,088,058 End of Period ..................................................................$18,155,659 $16,647,507 * Net of foreign capital gain taxes withheld of $0 and $145, respectively. See accompanying Notes to Financial Statements. 282 DIMENSIONAL EMERGING MARKETS VALUE FUND+ FINANCIAL HIGHLIGHTS Dimensional Emerging Markets Value Fund Six Months Ended April 30, 2017 Year Ended Oct. 31, 2016 Year Ended Oct. 31, 2015 Year Ended Oct. 31, 2014 Year Ended Oct. 31, 2013 Year Ended Oct. 31, 2012 (Unaudited) TotalReturn ..................................... 11.72%(D) 15.80% (17.95)% (1.09)% 8.43% 1.10% Net Assets, End of Period (thousands).................$18,155,659 $16,647,507 $15,088,058 $18,927,517 $19,427,286 $16,884,322 Ratio of Expenses to Average Net Assets ............... 0.15%(E) 0.16% 0.15% 0.15% 0.16% 0.20% Ratio of Expenses to Average Net Assets (Excluding Fees PaidIndirectly) ................................. 0.15%(E) 0.16% 0.15% 0.15% 0.16% 0.20% RatioofNetInvestmentIncometoAverageNetAssets .... 1.61%(E) 2.72% 2.54% 2.76% 2.32% 2.43% PortfolioTurnoverRate............................. 7%(D) 12% 14% 12% 6% 8% + See Note A in the Notes to Financial Statements. See page 1 for Definitions of Abbreviations and Footnotes. See accompanying Notes to Financial Statements. 283 DIMENSIONAL EMERGING MARKETS VALUE FUND NOTES TO FINANCIAL STATEMENTS (Unaudited) A. Organization: Dimensional Emerging Markets Value Fund (the “Fund”) is an open-end management investment company registered under the Investment Company Act of 1940. The Fund meets the definition as an investment company and follows the accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Certification (“ASC”) Topic 946, “Financial Services-Investment Companies.” The Fund consists of one series. B. Significant Accounting Policies: The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America. Such policies are consistently followed by the Fund in preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and those differences could be material. 1.Security Valuation:The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels described below: • Level 1 – inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, futures contracts) • Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) • Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) Securities held by the Fund, including over-the-counter securities, are valued at the last quoted sale price of the day. International equity securities are subject to a fair value factor, as described later in this note. Securities held by the Fund that are listed on Nasdaq are valued at the Nasdaq Official Closing Price (“NOCP”). If there is no last reported sale price or NOCP for the day, the Fund values the securities within the range of the most recent quoted bid and asked prices. Price information on listed securities is taken from the exchange where the security is primarily traded. Generally, securities issued by open-end management investment companies are valued using their respective net asset values or public offering prices, as appropriate, for purchase orders placed at the close of the New York Stock Exchange (NYSE). These securities are generally categorized as Level 1 in the hierarchy. Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with procedures adopted by the Board of Trustees of the Fund. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of Dimensional Fund Advisors LP) occur before the net asset value of the Fund is calculated. When fair value pricing is used, the prices of securities used by the Fund may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. The Fund will also apply a fair value price in the circumstances described below. Generally, trading in foreign securities markets is completed each day at various times prior to the close of the NYSE. For example, trading in the Japanese securities markets is completed each day at the close of the Tokyo Stock Exchange (normally, 2:00 a.m. ET), which is fourteen hours before the close of the NYSE (normally, 4:00 p.m. ET) and the time that the net asset value of the Fund is computed. Due to the time differences between the closings of the relevant foreign 284 securities exchanges and the time the Fund prices its shares at the close of the NYSE, the Fund will fair value its foreign investments when it is determined that the market quotations for the foreign investments are either unreliable or not readily available. The fair value prices will attempt to reflect the impact of the U.S. financial markets’ perceptions and trading activities on the Fund’s foreign investments since the last closing prices of the foreign investments were calculated on their primary foreign securities markets or exchanges. For these purposes, the Board of Trustees of the Fund has determined that movements in relevant indices or other appropriate market indicators, after the close of the Tokyo Stock Exchange or the London Stock Exchange, demonstrate that market quotations may be unreliable. Fair valuation of portfolio securities may occur on a daily basis. The fair value pricing by the Fund utilizes data furnished by an independent pricing service (and that data draws upon, among other information, the market values of foreign investments). When the Fund uses fair value pricing, the values assigned to the foreign investments may not be the quoted or published prices of the investments on their primary markets or exchanges. These securities are generally categorized as Level 2 in the hierarchy. Futures contracts held by the Fund are valued using the settlement price established each day on the exchange on which they are traded. These valuations are generally categorized as Level 1 in the hierarchy. A summary of the inputs used to value the Fund’s investments by each major security type, industry and/or country is disclosed previously in this note. A valuation hierarchy table has been included at the end of the Summary Schedule of Portfolio Holdings. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For the six months ended April 30, 2017, there were no significant transfers between Level 1 and Level 2 and no significant Level 3 investments held by the Fund. 2.Foreign Currency Translation:Securities and other assets and liabilities of the Fund whose values are initially expressed in foreign currencies are translated to U.S. dollars using the mean between the most recent bid and asked prices for the U.S. dollar as quoted by generally recognized reliable sources. Dividend and interest income and certain expenses are translated to U.S. dollars at the rate of exchange on their respective accrual dates. Receivables and payables denominated in foreign currencies are marked-to-market daily based on daily exchange rates and exchange gains or losses are realized upon ultimate receipt or disbursement. The Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of securities whether realized or unrealized. Realized gains or losses on foreign currency transactions represent net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between amounts of interest, dividends and any foreign withholding taxes recorded on the books of the Fund and the U.S. dollar equivalent amounts actually received or paid. 3. Deferred Compensation Plan:Each eligible Trustee of the Fund may elect participation in The Fee Deferral Plan for Independent Directors and Trustees (the “Plan”). Under the Plan, effective January 1, 2002, such Trustees may defer payment of all or a portion of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: U.S. Large Cap Value Portfolio; U.S. Core Equity 1 Portfolio; U.S. Core Equity 2 Portfolio; U.S. Vector Equity Portfolio; U.S. Micro Cap Portfolio; DFA International Value Portfolio; International Core Equity Portfolio; Emerging Markets Portfolio; Emerging Markets Core Equity Portfolio; and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Directors’/ Trustees’ Fees & Expenses. At April 30, 2017, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities on the Statement of Assets and Liabilities in the amount of $561 (in thousands). Each Trustee has the option to receive their distribution of proceeds in one of the following methods: lump sum; annual installments over a period of agreed-upon years; or quarterly installments over a period of agreed- upon years. Each Trustee shall have the right in a notice of election (the “Notice”) to defer the receipt of the Trustee’s deferred compensation until a date specified by such Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Trustee ceases to be a member of the Board of Trustees of the Fund; and (ii) five years following the effective date of the Trustee’s 285 first deferral election. If a Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Trustee’s deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Trustee ceases to be a member of the Board (unless the Trustee files an amended Notice selecting a different distribution date). As of April 30, 2017, none of the Trustees have requested or received a distribution of proceeds of a deferred fee account. 4. Other:Security transactions are accounted for as of the trade date. Costs used in determining realized gains and losses on the sale of investment securities and foreign currency are accounted for on the basis of identified cost. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments or as a realized gain, respectively. The Fund estimates the character of distributions received that may be considered return of capital distributions. Interest income is recorded on an accrual basis. Expenses directly attributable to the Fund are directly charged. The Fund may be subject to taxes imposed by countries in which it invests, with respect to its investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Fund accrues such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. In addition, if there is a deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. The Fund’s investments in Chile are subject to governmental taxes on investment income. Such taxes are due when currencies are repatriated from the country. The Fund accrues for taxes on income as the income is earned. The Fund is subject to a 15% tax on short-term capital gains for investments in India. Such taxes are due upon sale of individual securities. The capital gains taxes are recognized when the capital gains are earned. C. Investment Advisor: The Advisor, Dimensional Fund Advisors LP, provides investment management services to the Fund. For the six months ended April 30, 2017, the Fund’s investment management fees were accrued daily and paid monthly to the Advisor based on an effective annual rate of 0.10% of average daily net assets. Earned Income Credit: In addition, Fund has entered into an arrangement with its custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of the Fund’s custody expense. Custody expense in the accompanying financial statements is presented before reduction for credits. The impact of such credits is generally less than one basis point of the Fund’s net assets. During the six months ended April 30, 2017, expenses reduced were $160 (amount in thousands). Fees Paid to Officers and Directors/Trustees: Certain Officers and Trustees of the Advisor are also Officers and Trustees of the Fund; however, such Officers and Trustees (with the exception of the Chief Compliance Officer (“CCO”)) receive no compensation from the Fund. For the six months ended April 30, 2017, the total related amounts paid by the Fund to the CCO were $8 (in thousands). The total related amounts paid by the Fund are included in Other Expenses on the Statement of Operations. D. Purchases and Sales of Securities: For the six months ended April 30, 2017, the Fund’s transactions related to investment securities, other than short-term securities and U.S. government securities (amounts in thousands), were as follows: Purchases Sales Dimensional Emerging Markets Value Fund .....................$1,219,041 $1,527,058 286 There were no purchases or sales of long-term U.S. government securities. E. Federal Income Taxes: No provision for federal income taxes is required since the Fund is treated as a partnership for federal income tax purposes. Any net investment income and realized and unrealized gains and losses have been deemed to have been “passed down” to their respective partners. At April 30, 2017, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands): Federal Tax Cost Unrealized Appreciation Unrealized Depreciation Net Unrealized Appreciation (Depreciation) Dimensional Emerging Markets Value Fund ..........$17,425,495 $3,480,970 $(2,321,827) $1,159,143 The difference between book-basis and tax-basis unrealized appreciation (depreciation) is primarily attributable to the tax deferral of losses on wash sales and investments in passive foreign investment companies. Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed the Fund’s tax positions and has concluded that no additional provision for income tax is required in the Fund’s financial statements. The Fund is not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. F. Financial Instruments: In accordance with the Fund’s investment objective and policies, the Fund may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below: 1. Foreign Market Risks:Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of securities held by the Fund may be inhibited. Derivative Financial Instruments: Summarized below are the specific types of derivative instruments used by the Fund. 2.Futures Contracts:The Fund may purchase or sell futures contracts and options on futures contracts for equity securities and indices to adjust market exposure based on actual or expected cash inflows to or outflows from the Fund. The Fund, however, does not intend to sell futures contracts to establish short positions in individual securities. Upon entering into a futures contract, the Fund deposits cash or pledges 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 Fund as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss, which is presented in the Statements of Operations as a net realized gain or loss on futures, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. 287 Risks may arise upon entering into futures contracts from potential imperfect price correlations between the futures contracts and the underlying securities, from the possibility of an illiquid secondary market for these instruments and from the possibility that the Fund could lose more than the initial margin requirements. Entering into stock index futures subjects the Fund to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. At April 30, 2017, the Fund had the following outstanding futures contracts (dollar amounts in thousands): Description Expiration Date Number of Contracts Contract Value Unrealized Gain (Loss) Cash Collateral Dimensional Emerging Markets Value Fund ....MINI MSCI EAFE Index ®06/16/17 650 $ 31,818 $1,478 $3,269 Dimensional Emerging Markets Value Fund .... S&P500Emini Index ®06/16/17 988 117,596 1,343 2,971 $149,414 $2,821 $6,240 Securities have been segregated as collateral for open futures contracts. 3. Forward Currency Contracts: The Fund may acquire and sell forward currency contracts to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies (foreign exchange rate risk). The decision to hedge the Fund’s currency exposure with respect to a foreign market will be based primarily on the Fund’s existing exposure to a given foreign currency. Each contract is valued daily and the change in value is recorded by the Fund as an unrealized gain or loss, which is presented in the Statements of Operations as the change in unrealized appreciation or depreciation from translation of foreign currency denominated amounts. When the contract is closed or offset with the same counterparty, the Fund records a realized gain or loss equal to the change in the value of the contract when it was opened and the value at the time it was closed or offset. This is presented in the Statements of Operations as a net realized gain or loss on foreign currency transactions. At April 30, 2017, the Fund had no outstanding forward currency contracts. The average volume (based on the open positions at each fiscal month-end) of derivative activity for the six months ended April 30, 2017: Futures Dimensional Emerging Markets Value Fund ...................................$86,583 The following is a summary of the location of derivatives on the Fund’s Statements of Assets and Liabilities as of April 30, 2017: Location on the Statements of Assets and Liabilities Derivative Type Asset Derivatives Equity contracts Receivables: Futures Margin Variation The following is a summary of the Fund’s derivative instrument holdings categorized by primary risk exposure as of April 30, 2017 (amounts in thousands): Asset Derivatives Value Total Value at April 30, 2017 Equity Contracts* Dimensional Emerging Markets Value Fund ......................$2,821 $2,821 * Includes cumulative appreciation (depreciation) of futures contracts. Only current day’s margin variation is reported within the Statements of Assets and Liabilities. 288 The following is a summary of the location on the Fund’s Statements of Operations of realized and change in unrealized gains and losses from the Fund’s derivative instrument holdings through the six months ended April 30, 2017: Derivative Type Location of Gain (Loss) on Derivatives Equity contracts Net Realized Gain (Loss) on: Futures Change in Unrealized Appreciation (Depreciation) of: Futures The following is a summary of the realized and change in unrealized gains and losses from the Fund’s derivative instrument holdings categorized by primary risk exposure through the six months ended April 30, 2017 (amounts in thousands): Realized Gain (Loss) on Derivatives Total Equity Contracts Dimensional Emerging Markets Value Fund ....................$8,492 $8,492 Change in Unrealized Appreciation (Depreciation) on Derivatives Total Equity Contracts Dimensional Emerging Markets Value Fund ....................$3,216 $3,216 G. Line of Credit and Interfund Lending Program: The Fund, together with other Dimensional-advised portfolios, has entered into a $500 million uncommitted, unsecured discretionary line of credit effective March 29, 2017, with its domestic custodian bank. A line of credit with similar terms was in effect through March 29, 2017. 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 28, 2018. 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 6, 2017. A line of credit with similar terms was in effect through January 6, 2017. 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 5, 2018. For the six months ended April 30, 2017, borrowings by the Fund under the lines of credit were as follows (amounts in thousands, except percentages and days): Weighted Average Interest Rate Weighted Average Loan Balance Number of Days Outstanding* Interest Expense Incurred Maximum Amount Borrowed During the Period Dimensional Emerging Markets Value Fund ...............................1.28% $17,757 17 $10 $82,809 * Number of Days Outstanding represents the total of single or consecutive days during the six months ended April 30, 2017, that the Fund’s available line of credit was utilized. 289 There were no outstanding borrowings by the Fund under the lines of credit as of April 30, 2017. Pursuant to an exemptive order issued by the SEC (the “Order”), the Fund may participate in an interfund lending program among certain portfolios managed by the Advisor (portfolios that operate as feeder funds do not participate in the program). The program allows the participating portfolios to borrow money from and loan money to each other for temporary or emergency purposes, subject to the conditions in the Order. A loan can only be made through the program if the interfund loan rate on that day is more favorable to both the borrowing and lending portfolios as compared to rates available through short-term bank loans or investments in overnight repurchase agreements and money market funds, respectively, as detailed in the Order. Further, a portfolio may participate in the program only if and to the extent that such participation is consistent with its investment objectives and limitations. Interfund loans have a maximum duration of seven days and may be called on one business day’s notice. The Fund did not utilize the interfund lending program during the six months ended April 30, 2017. H. Affiliated Trades: Cross trades for the six months ended April 30, 2017, if any, were executed by the Fund pursuant to procedures adopted by the Board of Directors of the Fund to ensure compliance with Rule 17a-7 under the Investment Company Act of 1940 (the “1940 Act”). Cross trading is the buying or selling of portfolio securities between series of investment companies, or between a series of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment adviser (or affiliated investment advisers), common directors/trustees and/or common officers. At its regularly scheduled meetings, the Board reviews such transactions for compliance with the requirements and restrictions set forth by Rule 17a-7 under the 1940 Act. For the six months ended April 30, 2017, cross trades by the Fund under Rule 17a-7 were as follows (amounts in thousands): Portfolio Purchases Sales Realized Gain (Loss) Dimensional Emerging Markets Value Fund ............... $909 $17,110 $6,557 I. Securities Lending: As of April 30, 2017, the Fund had securities on loan to brokers/dealers, for which the Fund received cash collateral. The non-cash collateral includes short and/or long term U.S. Treasuries and U.S. Government Agency Securities with a market value of $518,098 (amount in thousands). The Fund invests the cash collateral, as described below, and records a liability for the return of the collateral, during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral in an amount (i) equal to at least 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) generally equal to 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) generally equal to 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Fund’s collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Fund or, at the option of the lending agent, to replace the securities. In the event of the bankruptcy of the borrower, the Fund could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value. Subject to its stated investment policy, the Fund will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the “Money Market Series”), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average 290 daily net assets of the Money Market Series. The Fund also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated and unaffiliated registered and unregistered money market funds. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. In addition, the Fund will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible to be taxed at qualified dividend income rates. The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of April 30, 2017: Remaining Contractual Maturity of the Agreements As of April 30, 2017 Overnight and Continuous <30 days Between 30 & 90 days >90 days Total Securities Lending Transactions Dimensional Emerging Markets Value Fund Common Stocks, Preferred Stocks ..........$676,857,303 — — — $676,857,303 J. Indemnitees; Contractual Obligations: Under the Fund’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. K. Subsequent Event Evaluations: Management has evaluated the impact of all subsequent events on the Fund through the date that the financial statements were issued and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements. 291 VOTING PROXIES ON FUND PORTFOLIO SECURITIES A description of the policies and procedures that the Fund uses in voting proxies relating to securities held in the portfolio is available (1) without charge, upon request, by calling collect: (512) 306-7400; (2) from the Advisor’s website at http://us.dimensional.com; and (3) on the SEC’s website at http://www.sec.gov. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC’s website at http://www.sec.gov and from the Advisor’s website at http://us.dimensional.com and reflects the twelve-month period beginning July 1st and ending June 30th. 292 BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS At the Board meeting held on December 14-15, 2016 (the “Meeting”), the Boards of Directors of DFA Investment Dimensions Group Inc. and Dimensional Investment Group Inc., and the Boards of Trustees of The DFA Investment Trust Company and Dimensional Emerging Markets Value Fund (together, the “Board”) considered the continuation of the investment management agreements for each portfolio/series (collectively, the “Funds”) and, if applicable, a Fund’s sub-advisory agreements. For certain Funds, Dimensional Fund Advisors Ltd. or DFA Australia Limited serves as a sub-advisor. (The investment management agreements and the sub-advisory agreements are referred to as the “Management Agreements,” and the Advisor and sub-advisors are referred to as the “Advisor.”) Prior to the Meeting, independent counsel to the Independent Board Members sent to the Advisor a request for information, which identified the information that the Independent Board Members wished to receive in order to consider the continuation of the Management Agreements. The Independent Board Members met with their independent counsel in advance of the Meeting to discuss the materials provided by the Advisor, the independent reports prepared by Morningstar Associates, LLC (the “Morningstar Reports”), and issues related to the continuation of the Management Agreements. Also in advance of the Meeting, management provided additional materials to address and respond to questions that the Independent Board Members posed after their review and analysis of materials provided by the Advisor and the Morningstar Reports. At the Meeting, the Board considered a number of factors when considering the continuation of each Management Agreement for a Fund, including: (i) the nature, extent and quality of services provided by the Advisor to each Fund; (ii) the performance of each Fund and the Advisor; (iii) the fees and expenses borne by each Fund; (iv) the profitability realized by the Advisor from the relationship with each Fund; and (v) whether economies of scale are realized by the Advisor with respect to each Fund as it grows larger, and the extent to which this is reflected in the level of the management fee charged. When considering the nature and quality of the services provided by the Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor’s organization; (b) the experience and expertise of its investment professionals currently providing management services to the Fund; and (c) the Advisor’s investment global advisory capabilities. The Board evaluated the Advisor’s portfolio management process and discussed the unique features of the Advisor’s investment approach. The Board also considered the nature and character of non- investment advisory services provided by the Advisor, including administrative services. After analyzing the caliber of services provided by the Advisor to each Fund, both quantitatively and qualitatively, including the impact of these services on investment performance, the Board concluded that the nature, extent and quality of services provided to each Fund were consistent with the operational requirements of the Fund and met the needs of the shareholders of the Fund. In considering the performance of each Fund, the Board analyzed the Morningstar Reports, which compared the performance of each Fund with other funds in its respective peer group and investment category. The Board also reviewed the performance analysis prepared by the Advisor, which presented the performance of each Fund and its benchmark index, over multiple performance periods, along with the Advisor’s explanation of the performance. The Board concluded that the Advisor’s explanations provided a sound basis for understanding the comparative performance of the Funds. The Board determined, among other things, that after considering each Fund’s investment strategies and the expectations of its shareholder base, the performance of each Fund was reasonable as compared with relevant performance standards and appropriate market indexes. When considering the fees and expenses borne by each Fund, and considering the reasonableness of the management fees paid to the Advisor in light of the services provided to the Fund and any additional benefits received by the Advisor in connection with providing such services, the Board compared the fees charged by the Advisor to the Fund to the fees charged to the funds in its peer group for comparable services as provided in the Morningstar Reports. The Board concluded that the effective management fees and total expenses of each Fund over various periods were favorable in relation to those of its peer funds, and that the management fees were fair, both on an absolute basis and in comparison with the fees of other funds identified in the peer groups and the industry at large. 293 The Board considered the profitability of each Fund to the Advisor by reviewing the profitability analysis provided by the Advisor, including information about its fee revenues and income. The Board reviewed the overall profitability of the Advisor, and the compensation that it received for providing services to each Fund. The Board considered the profitability to the Advisor of managing and servicing the Funds and the Advisor’s unregistered clients, such as collective trusts, group trusts and separate accounts. Upon closely examining the Advisor’s profitability, the Board concluded, among other things, that it was reasonable. The Board also discussed whether economies of scale are realized by the Advisor with respect to each Fund as it grows larger, and the extent to which this is reflected in the level of management fees charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of management fees charged were inapplicable to each Fund at the present time, due to the current level of fees and expenses and the profitability of the Fund. After full consideration of the factors discussed above, with no single factor identified as being of paramount importance, the Board, including the Independent Board Members, with the assistance of independent counsel, concluded that the continuation of the Management Agreement for each Fund was in the best interests of the Fund and its shareholders. 294 [THIS PAGE INTENTIONALLY LEFT BLANK] [THIS PAGE INTENTIONALLY LEFT BLANK] DFA043017-001S 00194739 Term Definition Active Management A portfolio management approach that aims to outperform a market rate or return, or a specific benchmark, by choosing investments that deviate from the market portfolio or benchmark. Alpha The rate of return on an investment in excess of a benchmark or return predicted by a financial model. A higher alpha value implies greater outperformance. Asset Allocation The apportionment distribution of assets across various asset classes, often tailored to meet an investor’s objectives while considering risk tolerance and investment horizon. Asset Class A group of securities that exhibit similar characteristics and are subject to similar laws and regulations, such as equities (stocks), fixed income (bonds), and cash equivalents (money market instruments). Basis Point (bp)One basis point equals 0.01%. Benchmark A standard against which the performance of an investment portfolio can be measured. Beta A measure of a security or portfolio’s tendency to move in parallel with the market as a whole. A 1% move of the market is associated with a 1% move in the same direction as the market for a security or portfolio with a beta of 1; with a move of more than 1% in the same direction as the market for a security or portfolio with a beta above 1; and with a move of less than 1% in the same direction as the market for a security or portfolio with a beta below 1. Book Value The value of stockholder’s equity, as reported on a company’s balance sheet. Book-to-Market Ratio (BtM) The ratio of a firm’s book value of equity to its market value of equity. A high (low) BtM ratio indicates that the book value per share is high (low) relative to the stock price. Definitions of Terms A B C D E F G L M P R S T V W Y DIMENSIONAL FUND ADVISORS 2 Term Definition Cash-Flow-to-Price Ratio (CFP)The ratio of a company’s cash flow for the last fiscal year divided by market equity. Credit Premium The return difference between bonds of similar maturity but different credit quality. Credit Spread The yield difference between bonds of similar maturity but different credit quality. Defined Contribution Plan A retirement plan in which the employer, employee, or both make contributions on a regular basis for the employee’s future use in retirement with no specific amount of benefits guaranteed. A common example is a 401(k) plan. Dimension of Expected Returns or “Dimension” A premium that is sensible, empirically robust in the data, and cost-effective to capture in well-diversified portfolios. At Dimensional, the equity dimensions are market, company size, relative price, and profitability. For fixed income, these dimensions are credit and term. Diversification Holding many securities or types of investments in a portfolio, often for the purpose of mitigating risk associated with owning a single security or type of investment. Duration A measurement of the sensitivity of the price of a fixed income investment to changes in interest rates. Generally, high duration bonds will have greater sensitivity to changing interest rates than lower duration bonds. Efficient Market Theory Postulates that market prices reflect the knowledge and expectations of all investors. It asserts that any new development is instantaneously priced into a security, thus making it impossible to beat the market consistently. Equity Market A market that involves the purchase and sale of stocks, typically conducted on trading exchanges. Also known as the stock market. Equity Premium The return difference between stocks and short-term bills. Expected Return The percentage increase in value a person may anticipate from an investment based on the level of risk associated with the investment, calculated as the mean value of the probability distribution of possible returns. Fiduciary An individual or entity that is legally or ethically required to act impartially and provide advice in the best interest of their clients. Fixed Income Market A market that involves the purchase and sale of bonds, such as those issued by the federal government, corporations, and local municipalities. Also known as the bond market. Global Industry Classification Standard (GICS) Catalogue of industries and sectors such as healthcare or energy developed by MSCI and Standard & Poor’s Index Services Group providing standardized industry and sector definitions. Growth Stock A stock trading at a high price relative to a measure of fundamental value, such as book value or earnings. A B C D E F G L M P R S T V W Y DIMENSIONAL FUND ADVISORS 3 Term Definition Large Cap Refers to a company with a relatively large market capitalization. Market Cap-Weighted Index A type of index that weights each security in proportion to its market capitalization. Market Capitalization The total market value of a company’s outstanding shares, computed as price times shares outstanding. Passive Management A portfolio management approach that does not rely on trying to identify mispriced securities or time markets. One example of passive management is indexing. Premium A return difference between two assets or portfolios. Price-to-Book Ratio (P/B) The ratio of a firm’s market value to its book value, where market value is computed as price multiplied by shares outstanding and book value is the value of stockholder’s equity as reported on a company’s balance sheet. Price-to-Earnings Ratio (P/E)The ratio of a company’s current share price to its earnings per share. Profitability A company’s operating income before depreciation and amortization minus interest expense scaled by book equity. Profitability Premium The return difference between stocks of companies with high profitability over those with low profitability. Real Estate Investment Trust (REIT) A company that owns and often operates commercial real estate or finances real estate. REITs are typically exempt from corporate taxation and have to distribute most of their taxable income as dividends to shareholders. Real Return The rate of return on an investment after adjusting for inflation. Regression Analysis A statistical technique for estimating the strength of the relation between one variable and one or more other variables. Relative Price Refers to a company’s price, or the market value of its equity, in relation to another measure of economic value, such as book value. Risk Premium The additional return an investor requires to compensate for the risk borne. Size Premium or Small Cap Premium The return difference between small capitalization stocks and large capitalization stocks. Small Cap Refers to stocks with a relatively small market capitalization. Socially Responsible Investing An investment strategy that seeks to consider both financial return and investors’ social values and preferences. Standard Deviation A measure of the variation or dispersion of a set of data points. Standard deviations are often used to quantify the historical return volatility of a security or portfolio. A B C D E F G L M P R S T V W Y DIMENSIONAL FUND ADVISORS 4 Term Definition Term Premium The return difference between bonds with different maturities but similar credit quality. Term Spread The yield difference between bonds with different maturities but similar credit quality. Tracking Error A measure used to quantify how closely a portfolio follows an index or benchmark, often defined as the standard deviation of the difference between the portfolio and index returns. Trading/Transaction Cost Expenses incurred when buying or selling securities. This includes explicit costs such as commissions, as well as implicit costs such as market impact. Turnover or Portfolio Turnover Measures the portion of securities in a portfolio that are bought and sold over a period of time. Value Premium The return difference between stocks with low relative prices (value) and stocks with high relative prices (growth). Value Stock A stock trading at a low price relative to measures of economic value such as book value or earnings. Volatility A statistical measure of the dispersion, or variability, of returns for a given security or portfolio. Volatility is often measured using standard deviation. Weighted Average An average in which each quantity to be averaged is assigned a weight, which determines the relative importance of each quantity. Yield Curve A graph that plots the interest rates at a specific point in time of bonds with similar credit quality but different maturity dates. RM55292 10/16 1101175 A B C D E F G L M P R S T V W Y %-%2').'-!2+%43#/2%%15)490/24&/,)/) !3/&*5.% è "1/ -" èI iÃ>Ã>i>`}}L>ÛiÃÌiÌvÀÌ>Ì>ÃLiiÌÀ>Ã>Ì}>V>`iVÀiÃi>ÀVÌ«À>VÌV>ÛiÃÌiÌÃÕÌÃÃVi£n£°Õ`i`LÞ> ÃÌÀ}Liiv>ÀiÌÃ]iÃ>vviÀÃÃÌÀ>Ìi}iÃÌ>ÌvVÕÃÌi`ÀÛiÀÃviÝ«iVÌi`ÀiÌÕÀÃ°/ivÀ>««iÃ>`Þ>V«iiÌ>Ì«ÀViÃÃ Ì>ÌÌi}À>ÌiÃ>`Û>Vi`ÀiÃi>ÀV]iÌ`V>«ÀÌv`iÃ}]>`V>ÀivÕiÝiVÕÌ]ÜiL>>V}ÀÃÃ]VÃÌÃ]>`ÌiÀÌÀ>`ivvÃÌ>Ì>Þ«>VÌ «iÀvÀ>Vi°/Ã>««À>VÃ>««i`>VÀÃÃ>vÕÃÕÌivÛiÃÌiÌÃÌÀ>Ìi}iÃÌi«iiÌÌiii`ÃvÛiÃÌÀÃÜÀ`Ü`i° IºiÃ>»ÀiviÀÃÌÌiiÃ>Ãi«>À>ÌiLÕÌ>vv>Ìi`iÌÌiÃ}iiÀ>Þ]À>ÌiÀÌ>Ìi«>ÀÌVÕ>ÀiÌÌÞ°/iÃiiÌÌiÃ>ÀiiÃ> Õ`è`ÛÃÀÃ*]iÃ>Õ`è`ÛÃÀÃÌ`°]èèÕÃÌÀ>>Ìi`]iÃ>Õ`è`ÛÃÀÃ >>`>1 ]iÃ>Õ`è`ÛÃÀÃ*Ìi° Ì`°]>`iÃ>>«>Ì`° "6 ,6 7 "ENCHMARK -3#)%MERGING-ARKETS)NDEXNETDIV è 1è< * ,",è ¯® *ÀÌv- iÀ}}>ÀiÌÃ`iÝiÌ`Û°®¦ )NCEPTION$ATE !PR 4ICKER $&#%8 #53)0 &UND!SSETS5NDER-ANAGEMENT "ILLION 6 -/ /" /6 /iÛiÃÌiÌLiVÌÛivÌi iÀ}}>ÀiÌÃ Ài µÕÌÞ*ÀÌv ÃÌ>ViÛi}ÌiÀV>«Ì>>««ÀiV>Ì° *, *è,-- ,ÃÃVÕ`iÃÃv«ÀV«>>`vÕVÌÕ>Ì}Û>Õi°6>ÕiÛiÃÌ}Ã ÃÕLiVÌÌÀÃÜV>ÞV>ÕÃiÕ`iÀ«iÀvÀ>ViV«>Ài`ÌÌiÀ iµÕÌÞÛiÃÌiÌÃÌÀ>Ìi}iÃ°->V>«ÃiVÕÀÌiÃ>ÀiÃÕLiVÌÌ}Ài>ÌiÀ Û>ÌÌÞÌ>ÌÃiÌiÀ>ÃÃiÌV>Ìi}ÀiÃ°ÌiÀ>Ì>ÛiÃÌ} ÛÛiÃÃ«iV>ÀÃÃÃÕV>ÃVÕÀÀiVÞvÕVÌÕ>Ì>`«ÌV>ÃÌ>LÌÞ° ÛiÃÌ}iiÀ}}>ÀiÌÃ>Þ>VViÌÕ>ÌiÌiÃiÀÃÃ°-iVÌÀÃ«iVvV ÛiÃÌiÌÃV>>ÃVÀi>ÃiÛiÃÌiÌÀÃÃ°ÀÀi`iÌ> Ài}>À`}ÌiÀÃÃ>vviVÌ}ÌÃ*ÀÌv]«i>ÃiÃiiÌi*ÀV«>,ÃÃ ÃiVÌvÌi«ÀÃ«iVÌÕÃ° è,è / ,-/ - .UMBEROF(OLDINGS IN4OP(OLDINGS 7TD!VG-KT#AP-ILLIONS 0RICE TO "OOK !NNUAL4URNOVER/CT 9EAR 9EAR 9EAR 9EAR )NCEPTION9EAR 9EAR 9EAR 9EAR )NCEPTION è è,9 è,, /1, -¯® 0/24&/,)/"%.#(-!2+ 0ERFORMANCEFORTHEPORTFOLIOISREPORTEDNETOFALLADVISORYFEESANDINCLUDES REINVESTMENTOFDIVIDENDSANDOTHEREARNINGS0ERFORMANCELESSTHANONEYEARIS NOTANNUALIZED0ERFORMANCEDATASHOWNREPRESENTSPASTPERFORMANCEANDISNO GUARANTEEOFFUTURERESULTS#URRENTPERFORMANCEMAYBEHIGHERORLOWERTHAN THEPERFORMANCESHOWN4HEINVESTMENTRETURNANDPRINCIPALVALUEOFAN INVESTMENTWILLFLUCTUATESOTHATANINVESTORgSSHARESWHENREDEEMEDMAYBE WORTHMOREORLESSTHANTHEIRORIGINALCOST4OOBTAINPERFORMANCEDATACURRENT TOTHEMOSTRECENTMONTH ENDVISITUSDIMENSIONALCOM ¦/i- iÀ}}>ÀiÌÃ`iÝi>ÃÕÀiÃÌi«iÀvÀ>VivÃiVÕÀÌiÃvÀ`iÛi«}VÕÌÀiÃ°- `>Ì>V«ÞÀ}Ì- Óä£Ç]>À}ÌÃ ÀiÃiÀÛi`°`ViÃ>ÀiÌ>Û>>LivÀ`ÀiVÌÛiÃÌiÌ° $)-%.3)/.!,&5.$!$6)3/23 /"* "1 /, - +OREA #HINA 4AIWAN )NDIA "RAZIL -- /",è" è/" &INANCIALS )NFORMATION4ECHNOLOGY #ONSUMER$ISCRETIONARY -ATERIALS )NDUSTRIALS #ONSUMER3TAPLES %NERGY 4ELECOMMUNICATION3ERVICES 5TILITIES (EALTH#ARE 2%)4S /"*" - 3AMSUNG%LECTRONICS#O,TD 4AIWAN3EMICONDUCTOR 4ENCENT(OLDINGS,TD (ON(AI0RECISION)NDUSTRY#O,TD #HINA-OBILE,TD )TAU5NIBANCO(OLDING3! #HINA#ONSTRUCTION"ANK#ORP 3+(YNIX)NC "ANCO"RADESCO3! !LIBABA'ROUP(OLDING,TD 1 "-/- -ANAGEMENT&EE 4OTAL/PERATING%XPENSE2ATIO .ET%XPENSE2ATIO 1`iÀViÀÌ>VÀVÕÃÌ>ViÃ]Ìiè`ÛÃÀ>ÃVÌÀ>VÌÕ>Þ>}Àii`ÌÜ>ÛiViÀÌ> viiÃ>`ÉÀ>ÃÃÕiViÀÌ>iÝ«iÃiÃvÌi*ÀÌv°/iè`ÛÃÀ>Þ>i`À `ÃVÌÕiÌiÜ>ÛiÀÃ>Ì>ÞÌi]iÞi>ÀvÀÌi`>ÌivÌi«ÀÃ«iVÌÕÃ°/i iÌiÝ«iÃiÀ>ÌÀiviVÌÃÌiÌÌ>>Õ>vÕ`«iÀ>Ì}iÝ«iÃiÃvÌi*ÀÌv >vÌiÀÌ>}Ì>VVÕÌ>ÞÃÕVviiÜ>ÛiÀ>`ÉÀiÝ«iÃiÀiLÕÀÃiiÌ >ÀÀ>}iiÌÃ°*i>ÃiÀi>`Ìi*ÀÌv½Ã«ÀÃ«iVÌÕÃvÀ`iÌ>Ã>`Ài vÀ>Ì° iÃ> Õ` è`ÛÃÀÃ * Ã > ÛiÃÌiÌ >`ÛÃÀ Ài}ÃÌiÀi` ÜÌ Ìi -iVÕÀÌiÃ >` ÝV>}i ÃÃ° Ã`iÀ Ìi ÛiÃÌiÌ LiVÌÛiÃ] ÀÃÃ] >` V>À}iÃ >` iÝ«iÃiÃ v Ìi iÃ> vÕ`Ã V>ÀivÕÞ LivÀi ÛiÃÌ}° À ÌÃ >` ÌiÀ vÀ>Ì>LÕÌ Ìi iÃ> vÕ`Ã] «i>Ãi Ài>` Ìi «ÀÃ«iVÌÕÃ V>ÀivÕÞ LivÀi ÛiÃÌ}° *ÀÃ«iVÌÕÃiÃ >Ài >Û>>Li LÞ V>} iÃ> Õ` è`ÛÃÀÃ ViVÌ >Ì x£Ó® ÎäÈÇ{ää À >Ì ÕÃ°`iÃ>°V°iÃ> vÕ`Ã >Ài `ÃÌÀLÕÌi` LÞ è -iVÕÀÌiÃ ° `}Ã >Ài ÃÕLiVÌ Ì V>}i° ÕLiÀÃ >Þ Ì ÌÌ> £ää¯ `Õi Ì ÀÕ`}° +{ää*ÓÇÓ£ ÓvÓ Country Caps for Emerging Markets Strategies Dimensional’s emerging markets strategies may impose a limit on exposure to any individual market at the time of purchase. Our investment team regularly reviews this limit as the emerging markets landscape changes. Drivers of a change may include countries being added or removed from the eligible country universe, changes in the size and structure of particular markets, or changes in regulation or market openness. Recently, we adjusted the internal limit from approximately 15% to approximately 17.5%. This adjustment is a reflection of changes in the size and structure of emerging markets over the past several years. Please consult the prospectus for more information on Dimensional’s investment strategies. This information is intended for educational purposes, and it is not to be construed as an offer, solicitation, recommendation, or endorsement of any particular security, products or services. Investing risks include loss of principal and fluctuating value. International investing involves special risks such as currency fluctuation and political instability. Investing in emerging markets may accentuate these risks. Investors should read the prospectus carefully for investing. 1 DFA INVESTMENT DIMENSIONS GROUP INC. Enhanced U.S. Large Company Portfolio U.S. Large Cap Equity Portfolio U.S. Large Cap Value Portfolio U.S. Small Cap Value Portfolio U.S. Targeted Value Portfolio U.S. Core Equity 1 Portfolio U.S. Core Equity 2 Portfolio U.S. Vector Equity Portfolio U.S. Small Cap Portfolio U.S. Micro Cap Portfolio DFA Real Estate Securities Portfolio Large Cap International Portfolio International Core Equity Portfolio Global Small Company Portfolio International Small Company Portfolio Japanese Small Company Portfolio Asia Pacific Small Company Portfolio United Kingdom Small Company Portfolio Continental Small Company Portfolio DFA International Real Estate Securities Portfolio DFA Global Real Estate Securities Portfolio DFA International Small Cap Value Portfolio International Vector Equity Portfolio World ex U.S. Value Portfolio World ex U.S. Targeted Value Portfolio World ex U.S. Core Equity Portfolio World Core Equity Portfolio Selectively Hedged Global Equity Portfolio Emerging Markets Portfolio Emerging Markets Value Portfolio Emerging Markets Small Cap Portfolio Emerging Markets Core Equity Portfolio LWAS/DFA International High Book to Market Portfolio DIMENSIONAL INVESTMENT GROUP INC. U.S. Large Company Portfolio DFA International Value Portfolio LWAS/DFA U.S. High Book to Market Portfolio LWAS/DFA Two-Year Fixed Income Portfolio LWAS/DFA Two-Year Government Portfolio SUPPLEMENT TO THE STATEMENTS OF ADDITIONAL INFORMATION DATED FEBRUARY 28, 2017 The purpose of this Supplement is to update the Statements of Additional Information (“SAIs”) dated February 28, 2017, as amended, of the portfolios listed above, each a series of DFA Investment Dimensions Group Inc. or Dimensional Investment Group Inc. (each, a “Fund” and collectively, the “Funds”), to incorporate changes to the officers of the Funds. In addition, the Supplement incorporates information regarding a new disinterested Director appointed to the Board of Directors of each Fund, effective June 1, 2017. Accordingly, the SAIs are revised as follows: (1) The information regarding David G. Booth in the “Interested Directors” table in the “Directors and Officers—Directors” section of the SAI is deleted in its entirety and replaced with the following: David G. Booth 6300 Bee Cave Road, Building One Austin, TX 78746 1946 Chairman and Director DFAIDG – Since 1981; DIG – Since 1992 Chairman, Director/Trustee, and formerly, President and Co- Chief Executive Officer (each until March 2017) of Dimensional Emerging Markets Value Fund (“DEM”), DFAIDG, DIG and The DFA Investment Trust Company (“DFAITC”). Executive Chairman, and formerly, President and Co-Chief Executive Officer (each until February 2017) of Dimensional Holdings Inc., Dimensional Fund Advisors LP and DFA Securities LLC. Director of Dimensional Fund Advisors Ltd. (since 2002), DFA Australia Limited (since 1994), Dimensional Advisors Ltd. (since 2012), Dimensional Funds plc (since 2006) and Dimensional Funds II plc (since 2006). Chairman and Director (since 2009) and Co-Chief Executive Officer (since 2010) of Dimensional Fund Advisors Canada ULC. Director and President of Dimensional Japan Ltd. (since 2012). Chairman, Director, President and Co-Chief Executive Officer of Dimensional Cayman Commodity Fund I Ltd. (since 2010). Trustee, University of Chicago (since 123 portfolios in 4 investment companies None 2 2002). Trustee, University of Kansas Endowment Association (since 2005). Formerly, President, Dimensional SmartNest (US) LLC (2009-2014) and Limited Partner, VSC Investors, LLC (2007 to 2015). (2) The table included under the “Directors and Officers—Officers” section of the SAI is deleted in its entirety and replaced with the following: Name and Year of Birth Position Term of Office1 and Length of Service Principal Occupation During Past 5 Years Valerie A. Brown 1967 Vice President and Assistant Secretary Since 2001 Vice President and Assistant Secretary of all the DFA Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd., Dimensional Cayman Commodity Fund I Ltd., Dimensional Fund Advisors Pte. Ltd. and Dimensional Hong Kong Limited. Director, Vice President and Assistant Secretary of Dimensional Fund Advisors Canada ULC. David P. Butler 1964 Co-Chief Executive Officer Since 2017 Co-Chief Executive Officer (since 2017), and formerly, Vice President (October 2007 to 2017), of all the DFA Entities. Head of Global Financial Advisor Services (since October 2007) for Dimensional Fund Advisors LP. Stephen A. Clark 1972 Executive Vice President Since 2017 Executive Vice President (since March 2017) and formerly, Vice President (2004 to March 2017), of all the DFA Entities. Director and Vice President (since February 2016) of Dimensional Japan Ltd. President and Director (since February 2016) of Dimensional Fund Advisors Canada ULC. Vice President (since April 2008) and Director (since October 2016) of DFA Australia Limited. Director (since April 2016) of Dimensional Advisors Ltd., Dimensional Fund Advisors Pte. Ltd., and Dimensional Hong Kong Limited. Vice President (since June 2016) of Dimensional Fund Advisors Pte. Ltd. Head of Global Institutional Services (since January 2014) for Dimensional Fund Advisors LP. Formerly, Vice President (December 2010 – February 2016) of Dimensional Fund Advisors Canada ULC; and Head of Institutional, North America (March 2012 to December 2013) for Dimensional Fund Advisors LP. Christopher S. Crossan 1965 Vice President and Global Chief Compliance Officer Since 2004 Vice President and Global Chief Compliance Officer of all the DFA Entities, DFA Australia Limited and Dimensional Fund Advisors Ltd. Chief Compliance Officer and Chief Privacy Officer of Dimensional Fund Advisors Canada ULC (since October 2006 and March 2015, respectively), Chief Compliance Officer of Dimensional Fund Advisors Pte. Ltd. (since October 2012) and Dimensional Japan Ltd. (since February 2017). Formerly, Vice President and Global Chief Compliance Officer (October 2010 – 2014) for Dimensional SmartNest (US) LLC. (Michael) Sam Gilliland 1962 Executive Vice President Since 2017 Executive Vice President and Chief Operating Officer of the DFA Fund Complex (since March 2017). Executive Vice President (since February 2017), Senior Advisor and Chief Operating Officer (since February 2016) of Dimensional Funds Advisors LP, Dimensional Holdings Inc. and Dimensional Investment LLC. Executive Vice President (since February 2017) of DFA Securities LLC. Director of Dimensional Advisors Ltd. (since February 2017), Dimensional Hong Kong Limited (since February 2017) and DFA Australia Limited (since October 2016). Formerly, Consultant for MSG Consulting (August 2013 – February 2017), and Chairman and Chief Executive Officer of Sabre Holdings (December 2003 – August 2013). Gregory K. Hinkle 1958 Vice President, Chief Financial Officer, and Treasurer Since 2015 Vice President, Chief Financial Officer, and Treasurer of all the DFA Entities. Chief Financial Officer, Treasurer and Vice President of Dimensional Advisors Ltd., Dimensional Fund Advisors Ltd., Dimensional Hong Kong Limited, Dimensional Cayman Commodity Fund I Ltd., Dimensional Fund Advisors Canada ULC, Dimensional Fund Advisors Pte. Ltd and DFA Australia Limited. Director (since August 2016) for Dimensional Funds plc and Dimensional Funds II plc. Formerly, interim Chief Financial Officer and interim Treasurer of all the DFA Entities (April 2016 – September 2016); interim Chief Financial Officer and interim Treasurer (April 2016 – July 2016) of Dimensional Fund Advisors LP, Dimensional Fund Advisors Ltd., DFA Australia Limited, Dimensional Advisors Ltd., Dimensional Fund Advisors Pte. Ltd, Dimensional Hong Kong Limited, Dimensional Cayman 3 Name and Year of Birth Position Term of Office1 and Length of Service Principal Occupation During Past 5 Years Commodity Fund I Ltd., Dimensional Fund Advisors Canada ULC; Controller (August 2015 – September 2016) of all the DFA Entities; Controller (August 2015 – July 2016) Dimensional Fund Advisors LP; Vice President of T. Rowe Price Group, Inc. and Director of Investment Treasury and Treasurer of the T. Rowe Price Funds (March 2008 – July 2015). Jeff J. Jeon 1973 Vice President and Assistant Secretary Vice President since 2004 and Assistant Secretary since 2017 Vice President and Assistant Secretary (since 2004 and March 2017, respectively) of all the DFA Entities and Dimensional Cayman Commodity Fund I Ltd. Kenneth M. Manell 1972 Vice President Since 2010 Vice President of all the DFA Entities and Dimensional Cayman Commodity Fund I Ltd. Catherine L. Newell 1964 President and General Counsel Since 2017 President and General Counsel (since March 2017), and formerly, Vice President and Secretary (1997 and 2000, respectively, to March 2017), of all the DFA Entities. Director, Vice President and Secretary of DFA Australia Limited and Dimensional Fund Advisors Ltd. (since February 2002, April 1997, and May 2002, respectively). Vice President and Secretary of Dimensional Fund Advisors Canada ULC (since June 2003), Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan Ltd (since February 2012), Dimensional Advisors Ltd (since March 2012) and Dimensional Fund Advisors Pte. Ltd. (since June 2012). Director of Dimensional Funds plc and Dimensional Funds II plc (since 2002 and 2006, respectively). Director of Dimensional Japan Ltd., Dimensional Advisors Ltd., Dimensional Fund Advisors Pte. Ltd. and Dimensional Hong Kong Limited (since August 2012 and July 2012). Formerly, Vice President and Secretary (October 2010 – November 2014) of Dimensional SmartNest (US) LLC. Selwyn Notelovitz 1961 Vice President and Deputy Chief Compliance Officer Since 2013 Vice President and Deputy Chief Compliance Officer of all the DFA Entities. Deputy Chief Compliance Officer (since December 2012) of Dimensional Fund Advisors LP. Carolyn L. O 1974 Vice President and Secretary Vice President since 2010 and Secretary since 2017 Vice President and Secretary (since 2010 and March 2017, respectively) of all the DFA Entities, Dimensional Cayman Commodity Fund I Ltd., and Dimensional Fund Advisors Canada ULC (since April 2016). Gerard K. O’Reilly 1976 Executive Vice President and Co- Chief Investment Officer Executive Vice President since 2017 and Co- Chief Investment Officer since 2014 Executive Vice President and Co-Chief Investment Officer (since March 2017 and June 2014, respectively), and formerly, Vice President (January 2007 to March 2017), of all the DFA Entities and Dimensional Fund Advisors Canada ULC. Co-Chief Investment Officer (since February 2016) of Dimensional Japan Ltd. Co-Chief Investment Officer (since April 2014) of Dimensional Fund Advisors Canada ULC, DFA Australia Limited, DFA Securities LLC, Dimensional Fund Advisors LP, and Dimensional Holdings LLC. Director (since August 2014) of Dimensional Funds plc and Dimensional Fund II plc. (3) Effective June 1, 2017, the third sentence under the “Directors and Officers— Directors—Organization of the Board” section of the SAI is deleted in its entirety and replaced with the following: The Board of Directors of each Fund is comprised of two interested Directors and seven disinterested Directors. (4) Effective June 1, 2017, the following is added to the “Disinterested Directors” table in the “Directors and Officers—Directors” section of the SAI following the information for George M. Constantinides: 4 Douglas W. Diamond University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 1953 Director DFAIDG – Since June 2017; DIG – Since June 2017 Merton H. Miller Distinguished Service Professor of Finance, University of Chicago Booth School of Business (since 1988). Visiting Scholar, Federal Reserve Bank of Richmond (since 1990). Formerly, Fischer Black Visiting Professor of Financial Economics, Alfred P. Sloan School of Management, Massachusetts Institute of Technology (2015 to 2016). 123 portfolios in 4 investment companies None (5) Effective June 1, 2017, the second footnote to the “Disinterested Directors” and “Interested Directors” tables in the “Directors and Officers—Directors” section of the SAI is deleted in its entirety and replaced with the following: Each disinterested Director (excluding Douglas W. Diamond) currently also serves on the Independent Review Committee of the Dimensional Funds, mutual funds registered in the provinces of Canada and managed by the Advisor’s affiliate, Dimensional Fund Advisors Canada ULC. (6) Effective June 1, 2017, the following is added to the “Disinterested Directors” section of the share ownership table in the “Directors and Officers—Directors” section of the SAI following the information for George M. Constantinides: Douglas W. Diamond None None (7) Effective June 1, 2017, the following is added to the end of the paragraph preceding the Director compensation table in the “Directors and Officers—Directors” section of the SAI: Mr. Diamond was appointed to each Board of the DFA Fund Complex effective June 1, 2017. Accordingly, he did not receive any compensation for the fiscal year ended October 31, 2016. The date of this Supplement is April 12, 2017 Statement of Additional Information Supplement DFA INVESTMENT DIMENSIONS GROUP INC. Enhanced U.S. Large Company Portfolio Supplement to the Statement of Additional Information Dated February 28, 2017 The purpose of this Supplement to the Statement of Additional Information (“SAI”) of the Enhanced U.S. Large Company Portfolio (the “Portfolio”), a series of DFA Investment Dimensions Group Inc., is to reflect the approval of a Fee Waiver and Expense Assumption Agreement for the Portfolio. Effective April 3, 2017, Dimensional Fund Advisors LP has contractually agreed to waive certain fees and in certain instances, assume certain expenses of the Portfolio. Accordingly, the SAI is revised as follows: (1) In the “Advisory Fees” section of the SAI on page 37, the information in the table for the Portfolio is deleted in its entirety and replaced with the following: FISCAL YEAR ENDED 2016 (000) FISCAL YEAR ENDED 2015 (000) FISCAL YEAR ENDED 2014 (000) Enhanced U.S. Large Company Portfolio(b)* .............................. $418 $424 $310 (2) In the “Advisory Fees” section of the SAI on page 39, footnote (b) is deleted in its entirety and replaced with the following: (b) Pursuant to a Fee Waiver and Expense Assumption Agreement (the “Fee Waiver Agreement”) for each of the Portfolios, the Advisor has agreed to waive all or a portion of its management fee and assume the ordinary operating expenses of a class of each Portfolio (excluding the expenses that the Portfolio incurs indirectly through its investment in other investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of a class of each Portfolio, on an annualized basis, to the rates listed below as a percentage of a class of the respective Portfolio’s average net assets (“Expense Limitation Amount”): Portfolio Expense Limitation Amount Enhanced U.S. Large Company Portfolio 0.15% U.S. Large Cap Equity Portfolio 0.19% At any time that the Portfolio Expenses of a class of a Portfolio are less than the applicable Expense Limitation Amount for such class of shares of the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount. A Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. The Fee Waiver Agreement described above for the Enhanced U.S. Large Company Portfolio and U.S. Large Cap Equity Portfolio will remain in effect through February 28, 2019 and February 28, 2018, respectively, and may only be terminated by the Fund’s Board of Directors prior to that date. The Fee Waiver Agreement shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. The date of this Supplement is April 3, 2017 INSTITUTIONAL CLASS SHARES DFA INVESTMENT DIMENSIONS GROUP INC. DIMENSIONAL INVESTMENT GROUP INC. 6300 Bee Cave Road, Building One, Austin, Texas 78746 Telephone: (512) 306-7400 STATEMENT OF ADDITIONAL INFORMATION February 28, 2017 DFA Investment Dimensions Group Inc. (“DFAIDG”) is an open-end management investment company that offers ninety-six series of shares. Dimensional Investment Group Inc. (“DIG”) is an open-end management investment company that offers fifteen series of shares. DFAIDG and DIG are collectively referred to as the “Funds” in this Statement of Additional Information (“SAI”). This SAI relates to thirty-one series of DFAIDG and two series of DIG (individually, a “Portfolio” and collectively, the “Portfolios”): DOMESTIC PORTFOLIOS U.S. Large Company Portfolio Ticker: DFUSX U.S. Core Equity 1 Portfolio Ticker: DFEOX Enhanced U.S. Large Company Portfolio Ticker: DFELX U.S. Core Equity 2 Portfolio Ticker: DFQTX U.S. Large Cap Equity Portfolio Ticker: DUSQX U.S. Vector Equity Portfolio Ticker: DFVEX U.S. Large Cap Value Portfolio (Feeder) Ticker: DFLVX U.S. Small Cap Portfolio Ticker: DFSTX U.S. Small Cap Value Portfolio Ticker: DFSVX U.S. Micro Cap Portfolio Ticker: DFSCX U.S. Targeted Value Portfolio Ticker: DFFVX DFA Real Estate Securities Portfolio Ticker: DFREX INTERNATIONAL PORTFOLIOS Large Cap International Portfolio Ticker: DFALX DFA International Small Cap Value Portfolio Ticker: DISVX DFA International Value Portfolio (Feeder) Ticker: DFIVX International Vector Equity Portfolio Ticker: DFVQX International Core Equity Portfolio Ticker: DFIEX World ex U.S. Value Portfolio Ticker: DFWVX Global Small Company Portfolio Ticker: DGLIX World ex U.S. Targeted Value Portfolio Ticker: DWUSX International Small Company Portfolio Ticker: DFISX World ex U.S. Core Equity Portfolio Ticker: DFWIX Japanese Small Company Portfolio (Feeder) Ticker: DFJSX World Core Equity Portfolio Ticker: DREIX Asia Pacific Small Company Portfolio (Feeder) Ticker: DFRSX Selectively Hedged Global Equity Portfolio Ticker: DSHGX United Kingdom Small Company Portfolio (Feeder) Ticker: DFUKX Emerging Markets Portfolio (Feeder) Ticker: DFEMX Continental Small Company Portfolio (Feeder) Ticker: DFCSX Emerging Markets Value Portfolio (Feeder) Ticker: DFEVX DFA International Real Estate Securities Portfolio Ticker: DFITX Emerging Markets Small Cap Portfolio (Feeder) Ticker: DEMSX DFA Global Real Estate Securities Portfolio Ticker: DFGEX Emerging Markets Core Equity Portfolio Ticker: DFCEX This SAI is not a Prospectus but should be read in conjunction with the Portfolios’ Prospectus dated February 28, 2017, as amended from time to time. The audited financial statements and financial highlights of the Portfolios are incorporated by reference from the Funds’ annual reports to shareholders. The Prospectus and annual reports can be obtained by writing to the above address or by calling the above telephone number. TABLE OF CONTENTS PORTFOLIO CHARACTERISTICS AND POLICIES...................................................................................... 1 BROKERAGE TRANSACTIONS ....................................................................................................................... 2 INVESTMENT LIMITATIONS .......................................................................................................................... 5 OPTIONS ON STOCK INDICES ........................................................................................................................ 8 SWAPS ................................................................................................................................................................. 9 FUTURES CONTRACTS .................................................................................................................................. 10 FOREIGN CURRENCY TRANSACTIONS ..................................................................................................... 11 POLITICAL, UNITED KINGDOM AND EUROPEAN MARKET RELATED RISKS ................................. 12 CASH MANAGEMENT PRACTICES ............................................................................................................. 12 INTERFUND BORROWING AND LENDING ................................................................................................ 15 WHEN-ISSUED SECURITIES, DELAYED DELIVERY, AND FORWARD COMMITMENT TRANSACTIONS ....................................................................................................................................... 16 EXCHANGE TRADED FUNDS ........................................................................................................................ 16 PORTFOLIO TURNOVER RATES ................................................................................................................. 17 DIRECTORS AND OFFICERS......................................................................................................................... 17 SERVICES TO THE FUNDS ............................................................................................................................ 32 ADVISORY FEES .............................................................................................................................................. 37 PORTFOLIO MANAGERS............................................................................................................................... 45 GENERAL INFORMATION ............................................................................................................................ 52 CODE OF ETHICS ............................................................................................................................................ 52 SHAREHOLDER RIGHTS ............................................................................................................................... 53 PRINCIPAL HOLDERS OF SECURITIES ...................................................................................................... 53 PURCHASE OF SHARES ................................................................................................................................. 60 REDEMPTION AND TRANSFER OF SHARES ............................................................................................. 61 TAXATION OF THE PORTFOLIOS AND THEIR SHAREHOLDERS ........................................................ 61 PROXY VOTING POLICIES ........................................................................................................................... 77 DISCLOSURE OF PORTFOLIO HOLDINGS ................................................................................................ 79 FINANCIAL STATEMENTS ............................................................................................................................ 82 PERFORMANCE DATA ................................................................................................................................... 83 1 PORTFOLIO CHARACTERISTICS AND POLICIES Each of the Portfolios identified as a “Feeder” (a “Feeder Portfolio”) on the cover page of this SAI seeks to achieve its investment objective by investing substantially all of its investable assets in a corresponding series of The DFA Investment Trust Company (the “Trust”) or in the case of the Emerging Markets Value Portfolio, in the Dimensional Emerging Markets Value Fund (“DEM”). The series of the Trust and DEM are referred to as the “Master Funds.” Each of the Global Small Company Portfolio, International Small Company Portfolio, the World ex U.S. Value Portfolio, the World Core Equity Portfolio and the Selectively Hedged Global Equity Portfolio is a “fund of funds” that seeks to achieve its investment objective by investing its assets in funds managed by Dimensional Fund Advisors LP (the “Advisor” or “Dimensional”). The DFA Global Real Estate Securities Portfolio also may invest in funds managed by Dimensional. The series of the Trust, DEM and the portfolios of DFAIDG in which the Global Small Company Portfolio, International Small Company Portfolio, DFA Global Real Estate Securities Portfolio, World ex U.S. Value Portfolio, World Core Equity Portfolio and Selectively Hedged Global Equity Portfolio invest may be referred to as the “Underlying Funds.” The Underlying Funds in which the Global Small Company Portfolio invests are The Asia Pacific Small Company Series, The Canadian Small Company Series, The Continental Small Company Series, The Emerging Markets Small Cap Series, The Japan ese Small Company Series, The United Kingdom Small Company Series and U.S. Small Cap Portfolio. The Under lying Funds in which the International Small Company Portfolio invests are The Canadian Small Company Series, The Japanese Small Company Series, The Asia Pacific Small Company Series, The United Kingdom Small Company Series and The Continental Small Company Series. The Underlying Funds in which the DFA Global Real Estate Securities Portfolio may invest include the DFA Real Estate Securities Portfolio and the DFA International Real Estate Securities Portfolio. The Underlying Funds in which the World ex U.S. Value Portfolio invests include The DFA International Value Series, a series of the Trust, the DFA International Small Cap Value Portfolio and DEM. The Underlying Funds in which the World Core Equity Portfolio invests include the U.S. Core Equity 1 Portfolio, U.S. Large Company Portfolio, U.S. Large Cap Equity Portfolio, International Core Equity Portfolio, Large Cap International Portfolio, Emerging Markets Core Equity Portfolio and The Emerging Markets Series. The Underlying Funds in which the Selectively Hedged Global Equity Portfolio invests include the U.S. Core Equity 2 Portfolio, International Core Equity Portfolio and Emerging Markets Core Equity Portfolio. This SAI describes the Institutional Class shares of the Portfolios. The U.S. Targeted Value Portfolio offers two additional classes of shares, Class R1 shares and Class R2 shares. The DFA International Value Portfolio and Emerging Markets Value Portfolio each offer one additional class of shares, Class R2 shares. Class R1 shares and Class R2 shares are offered to qualified investors in separate prospectuses. Dimensional serves as investment advisor to each of the Portfolios and each Master Fund. The Advisor is organized as a Delaware limited partnership and is controlled and operated by its general partner, Dimensional Holdings Inc., a Delaware corporation. The following information supplements the information set forth in the Prospectus. Unless otherwise indicated, the following information applies to all of the Portfolios, Master Funds and Underlying Funds, including the Feeder Portfolios, through their investment in the Master Funds, and the Global Small Company Portfolio, International Small Company Portfolio, World ex U.S. Value Portfolio, and World Core Equity Portfolio through their investment in their respective Underlying Funds. Capitalized terms not otherwise defined in this SAI have the meaning assigned to them in the Prospectus. Each of the Portfolios, Master Funds and Underlying Funds is diversified under the federal securities laws and regulations. Because the structure of the Domestic and International Portfolios is based on the relative market capitalizations of eligible holdings, it is possible that the Portfolios might include at least 5% of the outstanding voting securities of one or more issuers. In such circumstances, a Portfolio and the issuer would be deemed affiliated persons and certain requirements under the federal securities laws and regulations regulating dealings between mutual funds and their affiliates might become applicable. Each of the Portfolios (except the DFA International Value Portfolio and World ex U.S. Targeted Value Portfolio) has adopted a non-fundamental policy as required by Rule 35d-1 under the Investment Company Act of 1940 (the “1940 Act”) that, under normal circumstances, at least 80% of the value of each Portfolio’s net assets, plus 2 the amount of any borrowings for investment purposes, will be invested in a specific type of investment. Additionally, if a Portfolio changes its 80% investment policy, the Portfolio will notify shareholders at least 60 days before the change, and will change the name of the Portfolio. For more information on each Portfolio's specific 80% policy, see each Portfolio's "PRINCIPAL INVESTMENT STRATEGIES" section in the Prospectus. BROKERAGE TRANSACTIONS The following table reports brokerage commissions paid by the designated Portfolios and Master Funds. For each Feeder Portfolio, the amounts include commissions paid by the corresponding Master Fund. The Feeder Portfolios, Global Small Company Portfolio, International Small Company Portfolio, DFA Global Real Estate Securities Portfolio, World ex U.S. Value Portfolio, World Core Equity Portfolio and Selectively Hedged Global Equity Portfolio will not incur any brokerage costs in connection with their purchase or redemption of shares of their Master Funds or Underlying Funds. The Global Small Company Portfolio and DFA Global Real Estate Securities Portfolio will, however, incur brokerage costs to the extent the Portfolios invest directly in securities. The following table reports brokerage commissions paid by the Portfolios and in the case of the Feeder Portfolios, their corresponding Master Funds during the fiscal years ended October 31, 2016, October 31, 2015 and October 31, 2014. Master Fund/Portfolio FISCAL YEAR ENDED 2016 FISCAL YEAR ENDED 2015 FISCAL YEAR ENDED 2014 U.S. Large Company Portfolio .................................................... $ 139,560 $ 70,842 $ 36,744 Enhanced U.S. Large Company Portfolio .................................... $ 17,393 $ 14,526 $ 15,303 U.S. Large Cap Equity Portfolio ................................................. $ 53,238 $ 124,579 $ 27,986 The U.S. Large Cap Value Series ................................................ $ 1,496,090 $ 1,728,895 $ 2,119,740 U.S. Small Cap Value Portfolio .................................................. $ 2,173,479 $ 2,223,625 $ 1,850,750 U.S. Targeted Value Portfolio ..................................................... $ 1,178,856 $ 1,406,025 $ 923,678 U.S. Core Equity 1 Portfolio ....................................................... $ 561,848 $ 882,541 $ 865,028 U.S. Core Equity 2 Portfolio ....................................................... $ 669,323 $ 1,100,154 $ 928,914 U.S. Vector Equity Portfolio ....................................................... $ 272,939 $ 326,959 $ 372,122 U.S. Small Cap Portfolio ............................................................ $ 1,469,041 $ 1,425,523 $ 1,318,561 U.S. Micro Cap Portfolio ............................................................ $ 652,219 $ 668,851 $ 779,179 DFA Real Estate Securities Portfolio .......................................... $ 172,327 $ 312,099 $ 439,950 Large Cap International Portfolio ................................................ $ 319,482 $ 282,097 $ 280,911 The DFA International Value Series ........................................... $ 1,304,293 $ 1,814,443 $ 1,847,544 International Core Equity Portfolio ............................................. $ 1,125,682 $ 1,262,315 $ 2,035,729 The Japanese Small Company Series .......................................... $ 238,207 $ 135,437 $ 265,322 The Asia Pacific Small Company Series ..................................... $ 141,230 $ 78,679 $ 186,053 3 Master Fund/Portfolio FISCAL YEAR ENDED 2016 FISCAL YEAR ENDED 2015 FISCAL YEAR ENDED 2014 The United Kingdom Small Company Series .............................. $ 212,960 $ 162,792 $ 170,578 The Continental Small Company Series ...................................... $ 358,801 $ 456,799 $ 318,829 DFA Global Real Estate Securities Portfolio1 .............................. $ 120,318 $ 148,501 N/A DFA International Real Estate Securities Portfolio ...................... $ 270,633 $ 305,581 $ 414,892 DFA International Small Cap Value Portfolio ............................. $ 1,911,966 $ 2,124,596 $ 1,072,647 International Vector Equity Portfolio .......................................... $ 155,960 $ 225,050 $ 199,117 World ex U.S. Targeted Value Portfolio2 .................................... $ 76,298 $ 60,014 N/A World ex U.S. Core Equity Portfolio2 ......................................... $ 201,650 $ 384,210 N/A Selectively Hedged Global Equity Portfolio ................................ $ 1,735 $ 1,665 $ 840 The Emerging Markets Series ..................................................... $ 387,603 $ 1,142,251 $ 555,231 Dimensional Emerging Markets Value Fund (Emerging Markets Value Portfolio) .................................... $ 2,426,310 $ 3,077,808 $ 3,124,098 The Emerging Markets Small Cap Series .................................... $ 994,926 $ 1,552,799 $ 948,788 Emerging Markets Core Equity Portfolio .................................... $ 1,734,467 $ 2,425,624 $ 2,206,490 1 During the fiscal years ended October 31, 2015 and October 31, 2014, the DFA Global Real Estate Securities Portfolio operated as a funds of funds and did not incur any brokerage costs in connection with its purchase or redemption of shares of its Underlying Funds; however, during the fiscal year ended October 31, 2015, the Portfolio did incur brokerage costs with respect to securities the Portfolio invested in directly. 2 During the fiscal year ended October 31, 2014, the World ex U.S. Targeted Value Portfolio and World ex U.S. Core Equity Portfolio operated as funds of funds and did not incur any brokerage costs in connection with their purchase or redemption of shares of their respective Underlying Funds. The substantial increases or decreases in the amoun t of brokerage commissions paid by certain Portfolios from year to year indicated in the foregoing table resulted primarily from asset changes that required increases or decreases in the amount of securities that were bought and sold by those Portfolios. Please note that while the following discussion relates to the policies of the Portfolios with respect to brokerage commissions, it should be understood that, with respect to a Feeder Portfolio, the discussion applies to the Master Fund in which the Feeder Portfolio invests substantially all of its assets, the Underlying Funds in which the Global Small Company Portfolio, International Small Company Portfolio, DFA Global Real Estate Securities Portfolio, World ex U.S. Value Portfolio, World Core Equity Portfolio and Selectively Hedged Global Equity Portfolio invest, and the Global Small Company Portfolio and DFA Global Real Estate Securities Portfolio themselves, to the extent they invest directly in securities. Portfolio transactions will be placed with a view to receiving the best price and execution. The Portfolios will seek to acquire and dispose of securities in a manner which would cause as little fluctuation in the market prices of securities being purchased or sold as possible in light of the size of the transactions being effected, and brokers will be selected with this goal in view. The Advisor monitors the performance of brokers which effect transactions for the Portfolios to determine the effect that the brokers’ trading has on the market prices of the securities in which the Portfolios invest. The Advisor also checks the rate of commission being paid by the Portfolios to their brokers to 4 ascertain that the rates are competitive with those charged by other brokers for similar services. Dimensional Fund Advisors Ltd. and DFA Australia Limited also may perform these services for the Portfolios and Master Funds that they sub-advise. Subject to the duty to seek to obtain best price and execution, transactions may be placed with brokers that have assisted in the sale of Portfolio shares. The Advisor, however, pursuant to policies and procedures approved by the Boards of Trustees/Directors of DFAIDG, DIG, DEM and the Trust, is prohibited from selecting brokers and dealers to effect a Portfolio’s portfolio securities transactions based (in whole or in part) on a broker’s or dealer’s promotion or sale of shares issued by a Portfolio or any other registered investment companies. Companies eligible for purchase by the Portfolios (except the U.S. Large Cap Value Portfolio and its Master Fund, and the U.S. Large Company Portfolio) may be thinly traded securities. The Advisor believes that it needs maximum flexibility to effect trades on a best execution basis. As deemed appropriate, the Advisor places buy and sell orders for the Portfolios and Master Funds with various brokerage firms that may act as principal or agent. The Advisor may also make use of direct market access and algorithmic, program or electronic trading methods. The Advisor may extensively use electronic trading systems as such systems can provide the ability to customize the orders placed and can assist in the Advisor's execution strategies. Transactions also may be placed with brokers who pr ovide the Advisor or the sub-advisors with investment research, such as: reports concerning individual issuers; general economic or industry reports or research data compilations; compilations of securities prices, earnings, dividends, and similar data; computerized databases; quotation services; trade analytics; ancillary brokerage services; and services of economic or other consultants. The investment management agreements permit the Advisor knowingly to pay commissions on these transactions that are greater than another broker, dealer or exchange member might charge if the Advisor, in good faith, determines that the commissions paid are reasonable in relation to the research or brokerage services provided by the broker or dealer when viewed in terms of either a particular transaction or the Advisor’s overall responsibilities to the accounts under its management. Research services furnished by brokers through whom securities transactions are effected may be used by the Advisor in servicing all of its accounts and not all such services may be used by the Advisor with respect to the Portfolios. During the fiscal year ended October 31, 2016, the Portfolios or, in the case of a Feeder Portfolio, its corresponding Master Fund, did not pay commissions for securities transactions to brokers for providing market price monitoring services, market studies, brokerage services or research services to the Portfolios or Master Funds. Certain Portfolios or Master Funds may purchase securities of their regular brokers or dealers (as defined in Rule 10b-1 of the 1940 Act). The table below lists the regular brokers or dealers of each Portfolio, or in the case of a Feeder Portfolio, its corresponding Master Fund, whose securities (or securities of the broker’s or dealer’s parent company) were acquired by the Portfolio or Master Fund during the fiscal year ended October 31, 2016, as well as the value of such securities held by the Portfolio or Master Fund as of October 31, 2016. Master Fund/Portfolio Broker or Dealer Value of Securities U.S. Large Company Portfolio Jeffries Group Inc. $2,086,204 Enhanced U.S. Large Company Portfolio The Toronto-Dominion Bank $14,059,198 Enhanced U.S. Large Company Portfolio HSBC Holdings PLC $2,261,696 Enhanced U.S. Large Company Portfolio Citigroup Inc. $2,031,804 Enhanced U.S. Large Company Portfolio Deutsche Bank AG $1,039,098 Enhanced U.S. Large Company Portfolio Mizuho Financial Group Inc $700,378 U.S. Large Cap Equity Portfolio Jeffries Group Inc. $405,176 The U.S. Large Cap Value Series Jeffries Group Inc. $3,610,871 U.S. Small Cap Value Portfolio KCG Holdings, Inc. $17,572,970 U.S. Targeted Value Portfolio KCG Holdings, Inc. $6,516,213 U.S. Targeted Value Portfolio Investment Technology Group Inc. $2,830,482 U.S. Targeted Value Portfolio Jeffries Group Inc. $82,148 U.S. Core Equity 1 Portfolio The Goldman Sachs Group Inc. $32,753,561 5 Master Fund/Portfolio Broker or Dealer Value of Securities U.S. Core Equity 1 Portfolio Jeffries Group Inc. $4,306,945 U.S. Core Equity 1 Portfolio Investment Technology Group Inc. $952,772 U.S. Core Equity 1 Portfolio KCG Holdings, Inc. $535,907 U.S. Core Equity 2 Portfolio The Goldman Sachs Group Inc. $35,393,295 U.S. Core Equity 2 Portfolio Jeffries Group Inc. $7,279,209 U.S. Core Equity 2 Portfolio Investment Technology Group Inc. $1,586,284 U.S. Core Equity 2 Portfolio KCG Holdings, Inc. $1,275,592 U.S. Vector Equity Portfolio The Goldman Sachs Group Inc. $7,940,592 U.S. Vector Equity Portfolio Jeffries Group Inc. $2,918,364 U.S. Vector Equity Portfolio KCG Holdings, Inc. $930,714 U.S. Vector Equity Portfolio Investment Technology Group Inc. $894,012 U.S. Small Cap Portfolio KCG Holdings, Inc. $5,808,135 U.S. Micro Cap Portfolio KCG Holdings, Inc. $4,120,408 U.S. Micro Cap Portfolio Investment Technology Group Inc. $2,795,912 Large Cap International Portfolio Societe Generale $7,350,171 Large Cap International Portfolio Instinet $3,980,930 The DFA International Value Series Societe Generale $75,397,334 The DFA International Value Series Instinet $18,945,029 International Core Equity Portfolio Societe Generale $21,674,934 International Core Equity Portfolio Instinet $10,960,420 International Vector Equity Portfolio Societe Generale $2,132,802 International Vector Equity Portfolio Instinet $1,120,046 World ex U.S. Core Equity Portfolio HSBC Securities $5,494,695 World ex U.S. Core Equity Portfolio Societe Generale $1,526,079 World ex U.S. Core Equity Portfolio Instinet $901,571 INVESTMENT LIMITATIONS Each of the Portfolios has adopted certain limitations which may not be changed with respect to any Portfolio without the approval of a majority of the outstanding voting securities of the Portfolio. A “majority” is defined as the lesser of: (1) at least 67% of the voting securities of the Portfolio (to be affected by the proposed change) present at a meeting, if the holders of more than 50% of the outstanding voting securities of the Portfolio are present or represented by proxy, or (2) more than 50% of the outstanding voting securities of such Portfolio. The Portfolios will not: (1) borrow money, except to the extent permitted by the 1940 Act, or any rules, exemptions or interpretations thereunder that may be adopted, granted or issued by the Securities and Exchange Commission (“Commission”); (2) make loans, except to the extent permitted by the 1940 Act, or any rules, exemptions or interpretations thereunder that may be adopted, granted or issued by the Commission; provided that in no event shall a Portfolio be permitted to make a loan to a natural person; (3) purchase or sell real estate, unless acquired as a result of ownership of securities or other instruments, and provided that this restriction does not prevent a Portfolio from: (i) purchasing or selling securities or instruments secured by real estate or interests therein, securities or instruments representing interests in real estate or securities or instruments of issuers that invest, deal or otherwise engage in tr ansactions in real estate or interests therein; and (ii) purchasing or selling real estate mortgage loans; (4) purchase or sell physical commodities, unless acquired as a result of ownership of securities or other instruments, and provided that this limitation does not prevent a Portfolio from (i) purchasing or selling securities of companies that purchase or sell commodities or that invest 6 in commodities; (ii) engaging in any transaction in volving currencies, options, forwards, futures contracts, options on futures contracts, swaps, hybrid instruments or other derivatives; or (iii) investing in securities, or transacting in other instruments, that are linked to or secured by physical or other commodities; (5) purchase the securities of any one issuer, if immediately after such investment, a Portfolio would not qualify as a “diversified company” as that term is defined by the 1940 Act, as amended, and as modified or interpreted by regulatory authority having jurisdiction, from time to time; (6) engage in the business of underwriting securities issued by others; or (7) issue senior securities (as such term is defined in Section 18(f) of the 1940 Act), except to the extent permitted by the 1940 Act. The U.S. Large Company Portfolio, Enhanced U.S. Lar ge Company Portfolio, U.S. Large Cap Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio, DFA Real Estate Securities Portfolio, Large Cap International Portfolio, DFA International Value Portfolio, DFA International Small Cap Value Portfolio, International Small Company Portfolio, Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, United Kingdom Small Company Portfolio and Continental Small Company Por tfolio will not: (8) sell securities short. The Portfolios, except the U.S. Large Cap Equity Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio, International Core Equity Portfolio, Global Small Company Portfolio, Emerging Markets Core Equity Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, International Vector Equity Portfolio, World ex U.S. Value Portfolio, Wor ld ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio and World Core Equity Portfolio will not: (9) acquire any securities of companies within one industry if, as a result of such acquisition, more than 25% of the value of the Portfolio’s total assets would be invested in securities of companies within such industry; except that the DFA Real Estate Securities Portfolio shall invest more than 25% of its total assets in securities of companies in the real estate industry. The U.S. Large Cap Equity Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio, International Core Equity Portfolio, Global Small Company Portfolio, Emerging Markets Core Equity Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, International Vector Equity Portfolio, World ex U.S. Value Portfolio, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio and World Core Equity Portfolio will not: (10) concentrate (invest more than 25% of its net assets) in securities of issuers in a particular industry (other than securities issued or guaranteed by the U.S. Government or any of its agencies or securities of other investment companies), except that the DFA International Real Estate Securities Portfolio and the DFA Global Real Estate Securities Portfolio shall invest more than 25% of their total assets in securities of companies in the real estate industry. The investment limitations described in (5), (9), and (10) above do not prohibit each Feeder Portfolio or the Global Small Company Portfolio, International Small Company Portfolio, DFA Global Real Estate Securities Portfolio, World ex U.S. Value Portfolio, World ex U.S. Targeted Value Portfolio, World Core Equity Portfolio and the Selectively Hedged Global Equity Portfolio from investing all or substantially all of its assets in the shares of one or more registered, open-end investment companies, such as the Master Funds or Underlying Funds, respectively. In applying the investment limitations, each such Portfolio will look through to the security holdings of the Underlying Funds in which the Portfolio invests. The investment limitations of each Master Fun d are similar to those of the corresponding Feeder Portfolio. Th e investment limitations of the Underlying Funds ar e set forth in their respective statements of additional information. For purposes of the investment limitation described in (1) above, the Global Small Company Portfolio, Emerging Markets Portfolio, Emerging Markets Small Cap Portfolio, and Emerging Markets Value Portfolio (indirectly through their investments in the corresponding Master Funds) may borrow in connection with a foreign 7 currency transaction or the settlement of a portfolio trade. Additionally, with respect to the investment limitation described in (1) above, each Portfolio will maintain asset coverage of at least 300% (as described in the 1940 Act), inclusive of any amounts borrowed, with respect to any borrowings made by such Portfolio. The Portfolios do not currently intend to borrow money for investment purposes. Although the investment limitation described in (2) above prohibits loans, each Portfolio is authorized to lend portfolio securities. Inasmuch as the Feeder Portfolios and International Small Company Portfolio will only hold shares of certain Master Funds, or any Portfolio structured as a fund of funds only holds shares of Underlying Funds, these Portfolios do not intend to lend those shares. Each Portfolio is required to operate in accordance with the Commission staff’s current position on illiquid assets, which limits investments in illiquid assets to 15% of a Portfolio’s net assets. For these pur poses, Enhanced U.S. Large Company Portfolio and Selectively Hedged Global Equity Portfolio may invest in commercial paper that is exempt from the registration requirements of the Securities Act of 1933 (the “1933 Act”), subject to the requirements regarding credit ratings stated in the Prospectus under “ADDITIONAL INFORMATION ON INVESTMENT OBJECTIVE AND POLICIES – Enhanced U.S. Large Company Portfolio.” Further, pursuant to Rule 144A under the 1933 Act, the Portfolios may purchase certain unregistered (i.e. restricted) secur ities upon a determination that a liquid institutional market exists for the securities. If it is determined that a liquid market does exist, the securities will not be subject to the 15% limitation on holdings of illiquid assets. While maintaining oversight, the Boards of Directors have delegated the day-to-day function of making liquidity determinations to the Advisor. For Rule 144A securities to be considered liquid, there must be at least two dealers making a market in such securities. After purchase, the Board of Directors of DFAIDG or DIG, as applicable, and the Advisor will continue to monitor the liquidity of Rule 144A securities. With respect to the investment limitation described in (7) above, a Portfolio will not issue senior securities, except that the Portfolio may borrow money as descr ibed above. A Portfolio may also borrow money for temporary purposes, but not in excess of 5% of the Portfolio’s total assets. Further, a transaction or agreemen t that otherwise might be deemed to create leverage, such as a forward or futures contract, option, swap or when-issued security, delayed delivery or forward commitment transaction, will not be considered a senior security to the extent a Portfolio enters into an offsetting financial position, segregates liquid assets equal to the Portfolio’s obligations arising from the transaction or otherwise “covers” the transaction in accordance with SEC positions. The investment limitations described above do not prohibit a Portfolio from purchasing or selling futures contracts and options on futures contracts, to the extent otherwise permitted under the Portfolio’s in vestment strategies. In addition, the investment limitations described above do not prohibit the Enhanced U.S. Large Company Portfolio from maintaining a short position, or purchasing, writing or selling puts, calls, straddles, spreads or combinations thereof in connection with transactions in options, futures, and options on futures an d transactions arising under swap agreements or other derivative instruments. For purposes of the investment limitations described in (9) and (10) above, management does not consider securities that are issued by the U.S. Government or its agencies or instrumentalities to be investmen ts in an “industry.” However, management currently consider s securities issued by a foreign government (but not the U.S. Government or its agencies or instrumentalities) to be an “industry” subject to the 25% limitation. Thus, not more than 25% of a Portfolio’s total assets will be invested in securities issued by any one foreign government or supranational organization. A Portfolio might invest in certain securities issued by companies in a particular industry whose obligations are guaranteed by a foreign government. Management could consider such a company to be within the particular industry and, therefore, the Portfolio will invest in the securities of such a company only if the Portfolio can do so under the Portfolio’s policy of not being concentrated in any single industry. Notwithstanding any of the above investment limitations, the Global Small Company Portfolio, Emerging Markets Series, Emerging Markets Small Cap Series, Dimensional Emerging Markets Value Fund, Emerging Markets Core Equity Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, World ex U.S. Value Portfolio, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio and Selectively Hedged Global Equity Portfolio may establish subsidiaries or other similar vehicles for the purpose of conducting their investment operations if such subsidiaries or vehicles are required by local laws or regulations governing foreign investors, or whose use is otherwise considered by such Master Funds and 8 Portfolios to be advisable. Each Master Fund and th e Global Small Company Portfolio, Emerging Markets Core Equity Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, World ex U.S. Value Portfolio, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio or Selectively Hedged Global Equity Portfolio would “look through” any such vehicle or subsidiary to determine compliance with its investment restrictions. Except with respect to a Portfolio’s or Master Fund’s limitation on borrowing or otherwise indicated, with respect to the investment limitations described above, all limitations applicable to the Portfolios’ and Master Funds’ investments apply only at the time that a transaction is undertaken. OPTIONS ON STOCK INDICES The Enhanced U.S. Large Company Portfolio may purchase and sell options on stock indices. With respect to the sale of call options on stock indices, pursuant to published positions of the Commission, the Enhanced U.S. Large Company Portfolio will either (1) maintain with its custodian liquid assets equal to the contract value (less any margin deposits); (2) hold a portfolio of stocks substantially replicating the movement of the index underlying the call option; or (3) hold a separate call on the same index as the call written where the exercise price of the call held is (a) equal to or less than the exercise price of the call written, or (b) greater than the exercise price of the call written, provided the difference is maintained by the Portfolio in liquid assets in a segregated account with its custodian. With respect to the sale of put options on stock indices, pursuant to published Commission positions, the Enhanced U.S. Large Company Portfolio will either (1) maintain liquid assets equal to the exercise price (less any margin deposits) in a segregated account with its custodian; or (2) hold a put on the same index as the put written where the exercise price of the put held is (a) equal to or greater than the exercise price of the put written, or (b) less than the exercise price of the put written, provided an amount equal to the difference is maintained by the Portfolio in liquid assets in a segregated account with its custodian. Prior to the earlier of exercise or expiration, an option may be closed out by an offsetting purchase or sale of an option of the same series (type, exchange, underlying index, exercise price, and expiration). There can be no assurance, however, that a closing purchase or sale transaction can be effected when the Enhanced U.S. Large Company Portfolio desires. The Enhanced U.S. Large Company Portfolio will realize a gain from a closing purchase transaction if the cost of the closing option is less than the premium received from writing the option, or, if it is more, the Portfolio will realize a loss. The principal factors affecting the market value of a put or a call option include supply and demand, interest rates, the current market price of the underlying index in relation to the exercise price of the option, the volatility of the underlying index, and the time remaining until the expiration date. If an option written by the Enhanced U.S. Large Company Portfolio expires, the Portfolio realizes a gain equal to the premium received at the time the option was written. If an option purchased by the Enhanced U.S. Large Company Portfolio expires unexercised, the Portfolio realizes a loss equal to the premium paid. The premium paid for a put or call option purchased by the Enhanced U.S. Large Company Portfolio is an asset of the Portfolio. The premium received for an option written by the Portfolio is recorded as a deferred credit. The value of an option purchased or written is marked to market daily and is valued at the closing price on the exchange on which it is traded or, if not traded on an exchange or no closing price is available, at the mean between the last bid and asked prices. Risks Associated with Options on Indices There are several risks associated with transaction s in options on indices. For example, there are significant differences between the securities and options markets that could result in an imperfect correlation between these markets, causing a given transaction not to achieve its objectives. The value of an option position will reflect, among other things, the current market price of the underlying index, the time remaining until expiration, the relationship of the exercise price, the term structure of interest rates, estimated pr ice volatility of the underlying index and general market conditions. A decision as to whether, when and how to use options involves 9 the exercise of skill and judgment, and even a well-conceived transaction may be unsuccessful to some degree because of market behavior or unexpected events. Options normally have expiration dates up to 90 days from date of purchase. The exercise price of the options may be below, equal to or above the current market value of the underlying index. Purchased options that expire unexercised have no value. Unless an option purchased by the Enhanced U.S. Large Company Portfolio is exercised or unless a closing transaction is effected with respect to that position, the Enhanced U.S. Large Company Portfolio will realize a loss in the amount of the premium paid and any transaction costs. A position in an exchange-listed option may be closed out only on an exchange that provides a secondar y market for identical options. Although the Enhanced U.S. Large Company Portfolio intends to purchase or write only those options for which there appears to be an active secondary market, there is no assurance that a liquid secondary market will exist for any particular option at any specific time. Closing transactions may be effected with respect to options traded in the over the counter markets only by negotiating directly with the other party to the option contract, or in a secondary market for the option if such a market exists. There can be no assurance that the Enhanced U.S. Large Company Portfolio will be able to liquidate an over the counter option at a favorable price at any time prior to expiration. In the event of insolvency of the counter-party, the Portfolio may be unable to liquidate an over the counter option. Accordingly, it may not be possible to effect closing transactions with respect to certain options, with the result that the Enhanced U.S. Large Company Portfolio would have to exercise those options which it has purchased in order to realize any profit. With respect to options written by the Enhanced U.S. Large Company Portfolio, the inability to enter into a closing transaction may result in material losses to the Portfolio. Index prices may be distorted if trading of a substantial number of securities included in the index is interrupted causing the trading of options on that index to be halted. If a trading halt occurred, the Enhanced U.S. Large Company Portfolio would not be able to close out options which it had purchased and may incur losses if the underlying index moved adversely before trading resumed. If a trading halt occurred and restrictions prohibiting the exercise of options were imposed through the close of trading on the last day before expiration, exercises on that day would be settled on the basis of a closing index value that may not reflect current price information for securities representing a substantial portion of the value of the index. The Enhanced U.S. Large Company Portfolio’s activities in the options markets may result in higher fund turnover rates and additional brokerage costs; however, the Portfolio may also save on commissions by using options as a hedge rather than buying or selling individual securities in anticipation or as a result of market movements. Investment Limitations on Options Transactions The ability of the Enhanced U.S. Large Company Portfolio to engage in options transactions is subject to certain limitations. The Enhanced U.S. Large Company Portfolio will only invest in over-the-counter options to the extent consistent with the 15% limit on investments in illiquid assets. SWAPS Enhanced U.S. Large Company Portfolio may enter into equity index swap agreements for purposes of attempting to obtain a particular desired return at a lower cost to the Portfolio than if the Portfolio had invested directly in an instrument that yielded that desired return. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than one year. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” i.e., the return on or increase in value of a particular dollar amount invested in a group of securities representing a particular index. The “notional amount” of the swap agreement is only a fictive basis on which to calculate the obligations that the parties to a swap agreement have agreed to exchange. Most swap agreements entered into by Enhanced U.S. Large Company Portfolio would calculate the obligations of the parties to the agreement on a “net basis.” 10 Consequently, the Portfolio’s current obligations (or rights) under a swap agreement generally will be equal only to the net amount to be paid or received under the agr eement based on the relative values of the position s held by each party to the agreement (the “net amount”). The Enh anced U.S. Large Company Portfolio’s current obligations under a swap agreement will be accrued daily (offset against amounts owed to the Portfolio) and any accrued but unpaid net amounts owed to a swap counterparty will be covered by the maintenance of a segregated account consisting of liquid assets to avoid any potential leveraging of the Portfolio’s portfolio. The Enhanced U.S. Large Company Portfolio will not enter into a swap agreement with any single party if the net amount owed or to be r eceived under existing contracts with that party would exceed 5% of the Portfolio’s assets. Because they are two-party contracts and because th ey may have terms of greater than seven days, swap agreements may be considered to be illiquid, and, therefore, swap agreements entered into by Enhanced U.S. Large Company Portfolio and other illiquid assets will be limited to 15% of the net assets of the Portfolio. Moreover, Enhanced U.S. Large Company Portfolio bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. The Advisor will cause Enhanced U.S. Large Company Portfolio to enter into swap agreements only with counterparties that the Investment Committee of the Advisor has approved. Certain restrictions imposed on Enhanced U.S. Large Company Portfolio by the Code may limit the Portfolio’s ability to use swap agreements. The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 and related regulatory developments imposed comprehensive regulatory requirements on swaps and swap market participants. It is possible that developments in the swaps mar ket, including potential government regulation, could adversely affect Enhanced U.S. Large Company Portfolio’s ability to terminate existing swap agreements or to realize amounts to be received under such agreements. FUTURES CONTRACTS Please note that while the following discussion relates to the policies of certain Portfolios with respect to futures contracts, it should be understood that with respect to a Feeder Portfolio, the discussion applies to the Feeder Portfolio and to the Master Fund in which the Feeder Portfolio invests substantially all of its assets. With respect to the Global Small Company Portfolio, International Small Company Portfolio, DFA Global Real Estate Securities Portfolio, World ex U.S. Value Portfolio, World Cor e Equity Portfolio, and Selectively Hedged Global Equity Portfolio, the discussion relates to both the Portfolios themselves and the Underlying Funds in which they invest. Each Portfolio, Master Fund and Underlying Fund may purchase or sell futures contracts and options on futures contracts for equity securities and indices to adjust market exposure based on actual or expected cash inflows to or outflows from the Portfolio, Master Fund, or Underlying Fund. The Portfolios, Master Funds, and Underlying Funds, 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. Futures contracts provide for the future sale by on e party and purchase by another party of a specified amount of defined securities at a specified future time and at a specified price. Futures contracts that are standardized as to maturity date and underlying fin ancial instrument are traded on national futures exchanges. Each Portfolio, Master Fund or Underlying Fund will be r equired to make a margin deposit in cash or government securities with a futures commission merchant (an “FCM”) to initiate and maintain positions in futures contracts. Minimal initial margin requirements are established by the futures exchanges and FCMs may establish margin requirements which are higher than the exchange requirements. After a futures contract position is opened, the value of the contract is marked-to-market daily. If the futures contract price changes to the extent that the margin on deposit does not satisfy margin requirements, payment of additional “variation” margin to be held by the FCM will be required. Conversely, a reduction in the requir ed margin would result in excess margin that can be refunded to the custodial accounts of the Portfolio, Master Fun d or Underlying Fund. Variation margin payments may be made to and from the futures broker for as long as the contract remains open. Each Portfolio, Master Fund or Underlying Fund expects to earn income on its margin deposits. Each Master Fund, Underlying Fund and Portfolio intends to limit its futures-related investment activity so th at other than with respect to bona fide hedging activity (as defined in Commodity Futures Trading Commission (“CFTC”) General Regulations Section 1.3(z)): (i) the aggregate initial margin and premiums paid to establish commodity futures and commodity option contract positions (determined at the time the most recent position was established) does not exceed 5% of the liquidation value of the portfolio of the 11 Master Fund, Underlying Fund or Portfolio, after taking into account unrealized profits and unrealized losses on any such contracts it has entered into (provided that, in the case of an option that is in-the-money at th e time of purchase, the in-the-money amount may be excluded in calculating such 5% limitation); or (ii) the aggregate net “notional value” (i.e., the size of a commodity futures or commodity option contract in contract units (taking into account any multiplier specified in the contract), multiplied by the current market price (for a futures contract) or strike price (for an option contract) of each such unit) of all non-h edge commodity futures and commodity option contracts that the Master Fund, Underlying Fund or Portfolio has enter ed into (determined at the time the most recent position was established) does not exceed the liquidation value of the portfolio of the Master Fund, Underlying Fund or Portfolio, after taking into account unrealized profits and unrealized losses on any such contracts that the Master Fund, Underlying Fund or Portfolio has entered into. Positions in futures contracts may be closed out only on an exchange that provides a secondary market. However, there can be no assurance that a liquid secondary market will exist for any particular futures contract at any specific time. Therefore, it might not be possible to close a futures position and, in the event of adverse price movements, the Portfolio, Master Fund or Underlying Fund would continue to be required to make variation margin deposits. In such circumstances, if the Portfolio, Master Fund or Underlying Fund has insufficient cash, it might have to sell portfolio securities to meet daily margin requirements at a time when it might be disadvantageous to do so. Management intends to minimize the possibility that it will be unable to close out a futures contract by only entering into futures which are traded on national futures exchanges and for which there appears to be a liquid secondary market. Pursuant to published positions of the Commission and interpretations of the staff of the Commission, a Portfolio, Master Fund or Underlying Fund (or its custodian) is required to maintain segregated accounts or to segregate assets through notations on the books of the custodian, consisting of liquid assets (or, as permitted under applicable interpretations, enter into offsetting positions) in connection with its futures contract transactions in order to cover its obligations with respect to such contracts. These requirements are designed to limit the amount of leverage that a Portfolio, Master Fund or Underlying Fund may use by entering into futures transactions. FOREIGN CURRENCY TRANSACTIONS The International Equity Portfolios (or in the case of Feeder Portfolios, their Master Funds) and Enhanced U.S. Large Company Portfolio may acquire and sell forward foreign currency exchange contracts in order to attempt to protect against uncertainty in the level of future foreign currency exchange rates. The Portfolios and Master Funds will conduct their foreign currency exchange transactions either on a spot (i.e., cash) basis at the spot rate prevailing in the foreign currency exchange market, or through entering into forward contracts to purchase or sell foreign currencies. A forward foreign currency exchange contract involves an obligation to exchange two currencies at a future date, which may be any fixed number of days (usually less than one year) from the date of the contract agreed upon by the parties, at a fixed rate set at the time of the contract. These contracts are traded in the interbank market conducted directly between traders (usually large commercial banks) and their customers. A forward contract generally has no deposit requirement, and no commissions are charged at any stage for trades. Although foreign exchange dealers do not charge a fee for conversion, they do realize a profit based on the difference (the spread) between the price at which they are buying and selling various currencies. With respect to an International Equity Portfolio or Master Fund, the Portfolio or Master Fund may enter into a forward contract in connection with the purchase or sale of foreign equity securities, typically to “lock in” the value of the transaction with respect to a different currency. In addition, a Portfolio or Master Fund may, from time to time, enter into a forward contract to transfer balances from one currency to another currency. The Enhanced U.S. Large Company Portfolio may enter into forward foreign currency contracts to hedge against fluctuations in currency exchange rates or to transfer balances from one currency to another currency. The Portfolio may enter into a forward contract to buy or sell the amount of foreign currency approximating the value of some or all of the portfolio securities quoted or denominated in such foreign currency. The precise matching of the forward contract amounts and the value of the securities involved will not generally be possible since the future value of such securities in foreign currencies will change as a consequence of market movements in the value of those securities between the date the forward contract is entered into and the date it expires. The Enhanced U.S. Large Company Portfolio typically hedges its foreign currency exposure. 12 POLITICAL, UNITED KINGDOM AND EUROPEAN MARKET RELATED RISKS Portfolios that have significant exposure to certain countries can be expected to be impacted by the political and economic conditions within such countries. Th ere is continuing uncertainty around the future of the euro and the European Union (EU) following the United Kingdom’s vote to exit the EU in June 2016. It is expected that the United Kingdom’s exit from the EU will take place within two years after the United Kingdom formally n otifies the European Council of its intention to withdraw. However, there is a significant degree of uncertainty about how negotiations relating to the United Kingdom’s exit will be conducted, including the outcome of negotiations for a new relationship between the United Kingdom and EU. While it is not possible to determine the precise impact these events may have on a Portfolio or Master Fund, during this period and beyond, the impact on the United Kingdom, EU countries, other countries or parties that transact with the United Kingdom and EU, and the broader global economy could be significant and could adver sely affect the value and liquidity of a Portfolio’s or Master Fund’s investments. In addition, if one or more countries were to exit the EU or abandon the use of the euro as a currency, the value of investments tied to those countries or the euro could decline significantly and unpredictably. CASH MANAGEMENT PRACTICES All non-Feeder Portfolios, Master Funds and Underlying Funds engage in cash management practices in order to earn income on uncommitted cash balances. Generally, cash is uncommitted pending investment in other securities, payment of redemptions or in other circumstances where the Advisor believes liquidity is necessary or desirable. For example, in the case of the Emerging Markets Master Funds, cash investments may be made for temporary defensive purposes during periods in which market, economic or political conditions warrant. In addition, each of the non-Feeder Portfolios, Master Funds and Underlying Funds may enter into arrangements with its custodian whereby it may earn a credit on its cash balances maintained in its non-interest bearing U.S. Dollar custody cash account to be applied against fund service fees payable to the custodian or the custodian’s subsidiaries for fund services provided. The non-Feeder Portfolios, Master Funds and Underlying Funds may invest cash in the following permissible investments: Portfolios and Master Funds Permissible Cash Investments* Percentage Guidelines** U.S. Large Company Portfolios Short-term repurchase agreements; short-term fixed income obligations; index futures contracts and options thereon; affiliated and unaffiliated registered and unregistered money market funds*** 5% Enhanced U.S. Large Company Portfolio Short-term repurchase agreements; short-term fixed income obligations; index futures contracts and options thereon; affiliated and unaffiliated registered and unregistered money market funds*** N.A. U.S. Large Cap Equity Portfolio Short-term repurchase agreements; high quality, highly liquid fixed income securities, such as money market instruments; index futures contracts and options thereon; affiliated and unaffiliated registered and unregistered money market funds*** 20% U.S. Large Cap Value Series and U.S. Small Cap Value Portfolio Short-term repurchase agreements; high quality, highly liquid fixed income securities, such as money market instruments; index futures contracts and options thereon; affiliated and unaffiliated registered and unregistered money market funds*** 20% U.S. Targeted Value Portfolio Short-term repurchase agreements; high quality, highly liquid fixed income securities, such as money market instruments; index futures contracts and options thereon; affiliated and unaffiliated registered and unregistered money market funds*** 20% 13 Portfolios and Master Funds Permissible Cash Investments* Percentage Guidelines** U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio and U.S. Vector Equity Portfolio Short-term repurchase agreements; high quality, highly liquid fixed income securities, such as money market instruments; index futures contracts and options thereon; affiliated and unaffiliated registered and unregistered money market funds*** 20% U.S. Small Cap Portfolio Short-term repurchase agreements; short-term fixed income obligations; high quality, highly liquid fixed income securities, such as money market instruments; index futures contracts and options thereon; affiliated and unaffiliated registered and unregistered money market funds*** 20% U.S. Micro Cap Portfolio Short-term repurchase agreements; short-term fixed income obligations; high quality, highly liquid fixed income securities, such as money market instruments; index futures contracts and options thereon; affiliated and unaffiliated registered and unregistered money market funds*** 20% DFA Real Estate Securities Portfolio Short-term repurchase agreements; fixed income obligations, such as money market instruments; index futures contracts and options thereon; affiliated and unaffiliated registered and unregistered money market funds*** 20% Large Cap International Portfolio Short-term repurchase agreements; fixed income obligations, such as money market instruments; index futures contracts and options thereon; affiliated and unaffiliated registered and unregistered money market funds*** 20% DFA International Value Portfolio Short-term repurchase agreements; fixed income obligations, such as money market instruments; index futures contracts and options thereon; affiliated and unaffiliated registered and unregistered money market funds*** 20% DFA International Value Series Short-term repurchase agreements; fixed income obligations, such as money market instruments; index futures contracts and options thereon; affiliated and unaffiliated registered and unregistered money market funds*** 20% International Core Equity Portfolio Short-term repurchase agreements; high quality, highly liquid fixed income securities, such as money market instruments; index futures contracts and options thereon; affiliated and unaffiliated registered and unregistered money market funds*** 20% Global Small Company Portfolio Short-term repurchase agreements; short-term fixed income obligations; high quality, highly liquid fixed income securities, such as money market instruments; freely convertible currencies; index futures contracts and options thereon; affiliated and unaffiliated registered and unregistered money market funds*** 20% International Small Company Portfolio Short-term repurchase agreements; short-term, high quality fixed income obligations; index futures contracts and options thereon; affiliated and unaffiliated registered and unregistered money market funds*** 20% 14 Portfolios and Master Funds Permissible Cash Investments* Percentage Guidelines** Japanese Small Company, Asia Pacific Small Company, United Kingdom Small Company and Continental Small Company Short-term repurchase agreements; short-term fixed income obligations; high quality, highly liquid fixed income securities, such as money market instruments; index futures contracts and options thereon; affiliated and unaffiliated registered and unregistered money market funds*** 20% DFA International Real Estate Securities Portfolio Short-term repurchase agreements; high quality, highly liquid fixed income securities, such as money market instruments; index futures contracts and options thereon; freely convertible currencies; affiliated and unaffiliated registered and unregistered money market funds*** 20% DFA Global Real Estate Securities Portfolio Short-term repurchase agreements; money market instruments; investment grade debt securities; freely convertible currencies, shares of affiliated and unaffiliated registered and unregistered money market funds ***; index futures contracts and options thereon 20% DFA International Small Cap Value Portfolio Short-term repurchase agreements; index futures contracts and options thereon; affiliated and unaffiliated registered and unregistered money market funds*** 20% International Vector Equity Portfolio Short-term repurchase agreements; money market instruments; investment grade debt securities; freely convertible currencies; shares of affiliated and unaffiliated registered and unregistered money market funds***; index futures contracts and options thereon 20% World ex U.S. Value Portfolio Short-term repurchase agreements; money market instruments; highly liquid debt securities; freely convertible currencies; index futures contracts and options thereon; affiliated and unaffiliated registered and unregistered money market funds*** 20% World ex U.S. Targeted Value Portfolio Short-term repurchase agreements; money market instruments; highly liquid debt securities; freely convertible currencies; shares of affiliated and unaffiliated registered and unregistered money market mutual funds***; index futures contracts and options thereon 20% World ex U.S. Core Equity Portfolio Short-term repurchase agreements; money market instruments; highly liquid debt securities; freely convertible currencies; index futures contracts and options thereon; affiliated and unaffiliated registered and unregistered money market mutual funds*** 20% World Core Equity Portfolio Short-term repurchase agreements; money market instruments; highly liquid fixed income securities; freely convertible currencies; index futures contracts and options thereon; affiliated and unaffiliated registered and unregistered money market funds*** 20% Selectively Hedged Global Equity Portfolio Short-term repurchase agreements; money market instruments; highly liquid debt securities; freely convertible currencies; index futures contracts and options thereon; affiliated and unaffiliated registered and unregistered money market funds*** 20% 15 Portfolios and Master Funds Permissible Cash Investments* Percentage Guidelines** The Emerging Markets Master Funds Short-term repurchase agreements; money market instruments; highly liquid debt securities; freely convertible currencies; index futures contracts and options thereon; affiliated and unaffiliated registered and unregistered money market funds*** 20% Emerging Markets Core Equity Portfolio Short-term repurchase agreements; money market instruments; highly liquid debt securities; freely convertible currencies; index futures contracts and options thereon; affiliated and unaffiliated registered and unregistered money market funds*** 20% * With respect to fixed income instruments, except in connection with corporate actions, the non-Feeder Portfolios, Master Funds and Underlying Funds will invest in fixed income instruments that at the time of purchase have an investment grade rating by a rating agency or are deemed to be investment grade by th e Advisor. ** The percentage guidelines set forth above are not absolute limitations, but the non-Feeder Portfolios, Master Funds and Underlying Funds do not expect to exceed these guidelines under normal circumstances. *** Investments in money market mutual funds may in volve duplication of certain fees and expenses. INTERFUND BORROWING AND LENDING The DFA Fund Complex (defined below) has received exemptive relief from the SEC which permits the registered investment companies to participate in an interfund lending program among portfolios and series managed by the Advisor (the “Portfolios/Series”) (portfolios that operate as feeder portfolios do not participate in the program). The interfund lending program allows the participating Portfolios/Series to borrow money from and loan money to each other for temporary or emergency purposes. The program is subject to a number of conditions designed to ensure fair and equitable treatment of the participating Portfolios/Series, including the following: (1) no Portfolio/Series may borrow money through the program unless it receives a more favorable interest rate than a rate approximating the lowest interest rate at which bank loans would be available to any of the participating Portfolios/Series under a loan agreement; and (2) no Portfolio/Series may lend money through the program unless it receives a more favorable return than that available from an investment in overnight repurchase agreements or the yield of any money market fund in which the Portfolio/Series could invest. In addition, a Portfolio/Series may participate in the program only if and to the extent that such participation is consistent with its investment objectives, policies and limitations. Interfund loans and borrowings have a maximum duration of seven days and loans may be called on one business day’s notice. A participating Portfolio/Series may not lend to another Portfolio/Series under the interfund lending program if the interfund loan would cause its aggregate outstanding interfund loans to exceed 15% of its current net assets at the time of the loan. Interfund loans by a Portfolio/Series to any one Portfolio/Series may not exceed 5% of net assets of the lending Portfolio/Series. The restrictions discussed above and the other conditions of the SEC exemptive order permitting interfund lending are designed to minimize the risks associated with interfund lending for both the lending Portfolio/Series and the borrowing Portfolio/Series. However, no borrowing or lending activity is without risk. If a Portfolio/Series borrows money from another Portfolio/Series, there is a risk that the interfund loan could be called on one business day’s notice or not renewed, in which case the Portfolio/Series may have to borrow from a bank at higher rates if an interfund loan were not available from another Portfolio/Series. A delay in repayment to a lending Portfolio/Series could result in a lost opportunity or additional lending costs, and interfund loans are subject to the risk that the borrowing Portfolio/Series could be unable to repay the loan when due. 16 WHEN-ISSUED SECURITIES, DELAYED DELIVERY, AND FORWARD COMMITMENT TRANSACTIONS Each non-Feeder Portfolio, Master Fund and Underlying Fund may purchase eligible securities or sell securities it is entitled to receive on a when-issued basis. When purchasing securities on a when-issued basis, the price or yield is agreed to at the time of purchase, but the payment and settlement dates are not fixed until the securities are issued. It is possible that the securities will never be issued and the commitment can celled. In addition, each non-Feeder Portfolio, Master Fund and Underlying Fund may purchase or sell eligible securities for delayed delivery or on a forward commitment basis where the non-Feeder Portfolio, Master Fund or Underlying Fund contracts to purchase or sell such securities at a fixed price at a future date beyond the normal settlement time. Each non-Feeder Portfolio, Master Fund and Underlying Fund may renegotiate a commitment or sell a security it has committed to purchase prior to the settlement date, if deemed advisable. While the payment obligation and, if applicable, interest rate are set at the time a n on-Feeder Portfolio, Master Fund or Underlying Fund enters into a when-issued, delayed delivery, or forward commitment tran saction, no interest or dividends accrue to the purchaser prior to the settlement date. In addition, the value of a security purchased or sold is subject to market fluctuations and may be worth more or less on the settlement date than the price a non-Feeder Portfolio, Master Fund or Underlying Fund committed to pay or receive for the secur ity. A non- Feeder Portfolio, Master Fund or Underlying Fund will lose money if the value of a purchased security falls below the purchase price and a non-Feeder Portfolio, Master Fund or Underlying Fund will not benefit from th e gain if a security sold appreciates above the sales price during the commitment period. When entering into a commitment to purchase a security on a when-issued, delayed delivery, or forward commitment basis, a non-Feeder Portfolio, Master Fund or Underlying Fund will segregate cash and/or liquid assets and will maintain such cash and/or liquid assets in an amount equal in value to such commitments. EXCHANGE TRADED FUNDS The following non-Feeder Portfolios, Master Funds and Underlying Funds may also invest in Exchange Traded Funds (“ETFs”) and similarly structured pooled investments for the purpose of gaining exposure to the equity markets while maintaining liquidity: U.S. Large Company Portfolio Enhanced U.S. Large Company Portfolio U.S. Large Cap Equity Portfolio U.S. Large Cap Value Series U.S. Small Cap Value Portfolio U.S. Targeted Value Portfolio U.S. Core Equity 1 Portfolio U.S. Core Equity 2 Portfolio U.S. Vector Equity Portfolio U.S. Small Cap Portfolio U.S. Micro Cap Portfolio DFA Real Estate Securities Portfolio Large Cap International Portfolio DFA International Value Portfolio The DFA International Value Series International Core Equity Portfolio Global Small Company Portfolio International Small Company Portfolio The Japanese Small Company Series The Asia Pacific Small Company Series The United Kingdom Small Company Series The Continental Small Company Series DFA International Real Estate Securities Portfolio DFA Global Real Estate Securities Portfolio 17 DFA International Small Cap Value Portfolio International Vector Equity Portfolio World ex U.S. Value Portfolio World ex U.S. Targeted Value Portfolio World ex U.S. Core Equity Portfolio World Core Equity Portfolio Selectively Hedged Global Equity Portfolio The Emerging Markets Series The Emerging Markets Small Cap Series Dimensional Emerging Markets Value Fund Emerging Markets Core Equity Portfolio An ETF is an investment company classified as an open-end investment company or unit investment trust that is traded similar to a publicly traded company. ETFs in which the Portfolios invest are passivel y managed and attempt to track or replicate a desired index, such as a sector, market or global segment. The risks and costs of investing in ETFs are comparable to investing in a publicly traded company. The goal of an ETF is to correspond generally to the price and yield performance, befor e fees and expenses, of its underlying index. The risk of not correlating to the index is an additional risk to the investors of ETFs. When a Portfolio invests in an ETF, shareholders of the Portfolio bear their proportionate share of the underlying ETF’s fees and expenses. PORTFOLIO TURNOVER RATES Generally, securities will be purchased by the Equity Portfolios, Equity Master Funds and Equity Underlying Funds with the expectation that they will be held for longer than one year. The Enhanced U.S. Large Company Portfolio is expected to have a high portfolio turnover rate due to the relatively short matur ities of the securities to be acquired. In addition, variations in turnover rates occur because securities are sold when, in the Advisor’s judgment, the return will be increased as a result of portfolio transactions after taking into account the cost of trading. DIRECTORS AND OFFICERS Directors Organization of the Board The Board of Directors of each Fund (each a “Board”) is responsible for establishing the Funds’ policies and for overseeing the management of each Fund. The Board of Directors elects the officers of each Fund, who, along with third party service providers, are responsible for administering the day-to-day operations of the Fund. The Board of Directors of each Fund is comprised of two interested Directors and six disinterested Directors. David G. Booth, an interested Director, is Chairman of each Board. The disinterested Directors of the Board designated Myron S. Scholes as the lead disinterested Director . As the lead disinterested Director, Mr. Scholes, among other duties: acts as a principal contact for management for communications to the disinterested Directors in between regular Board meetings; assists in the coordination and preparation of quarterly Board meeting agendas; raises and discusses issues with counsel to the disinterested Directors; raises issues and discusses ideas with management on behalf of the disinterested Directors in between regular meetings of the Board; and chairs executive sessions and separate meetings of the disinterested Directors (other than Committee meetings, which are chaired by the respective Committee Chairperson). The existing Board structure for each Fund also provides the disinterested Directors with adequate influence over the governance of the Board and each Fund, while also providing the Board with the invaluable insight of the two interested Directors, who, as both officers of the Fund and the Advisor, participate in the day-to-day management of each Fund’s affairs, including risk management. The agenda for each quarterly meeting of the Board is provided at least two weeks prior to the meeting to the disinterested Directors in order to provide the Directors with the opportunity to contact Fund management and/or the disinterested Directors’ independent counsel regarding agenda items. In addition, the disinterested Directors regularly communicate with Mr. Booth regarding items of interest to them in between regularly scheduled meetings of the Board. The Board of each Fund meets in person at least four times each year and by telephone at other times. 18 At each in-person meeting, the disinterested Directors meet in executive session with their independen t counsel to discuss matters outside the presence of management. Each Board has three standing committees. The Audit Committee and Nominating Committee are composed entirely of disinterested Directors. As described below, through these Committees, the disinterested Directors have direct oversight of each Fund’s accounting and financial reporting policies and the selection and nomination of candidates to each Fund’s Board. The Investment Strategy Committee (the “Strategy Committee”) consists of both interested and disinterested Directors. The Strategy Committee assists the Board in carrying out its fiduciary duties with respect to the oversight of the Fund and its performance. Each Board’s Audit Committee is comprised of George M. Constantinides, Roger G. Ibbotson and Abbie J. Smith. The Audit Committee for each Board oversees the Fund’s accounting and financial reporting policies and practices, each Fund’s internal controls, each Fund’s financial statements and the independent audits thereof and performs other oversight functions as requested by each Board. The Audit Committee for each Board recommends the appointment of each Fund’s independent registered public accounting firm and also acts as a liaison between each Fund’s independent registered public accounting firm and the full Board. There were two Audit Committee meetings held for each Fund during the fiscal year ended October 31, 2016. Each Board’s Nominating Committee is comprised of George M. Constantinides, John P. Gould, Roger G. Ibbotson, Edward P. Lazear, Myron S. Scholes and Abbie J. Smith. The Nominating Committee for each Board makes recommendations for nominations of disinterested and interested members on the Board to the disinterested Board members and to the full board. The Nominating Committee of each Board evaluates a candidate’s qualification for Board membership and the independence of such candidate from the Advisor and other principal service providers. The Nominating Committee did not meet during the fiscal year ended October 31, 2016. The Strategy Committee is comprised of John P. Gould, Edward P. Lazear, Myron S. Scholes and Eduardo A. Repetto. At the request of a Board or the Advisor, the Strategy Committee (i) reviews the design of possible new series of the Fund, (ii) reviews performance of existing Portfolios of the Fund, and discusses and recommends possible enhancements to the Portfolios’ investment strategies, (iii) reviews proposals by the Advisor to modify or enhance the investment strategies or policies of each Portfolio, and (iv) considers issues relating to investment services for each Portfolio of the Fund. There were three Strategy Committee meetings held for each Fund during the fiscal year ended October 31, 2016. The Board of each Fund, including all of the disinterested Directors, oversees and approves the contracts of the third party service providers that provide advisory, administrative, custodial and other services to the Fund. Board Oversight of Risk Management The Board of each Fund, as a whole, considers risk management issues as part of its general oversight responsibilities throughout the year at regular board meetings, through regular reports that have been developed by Fund management and the Advisor. These reports address certain investment, valuation and compliance matters. The Board also may receive special written reports or presentations on a variety of risk issues, either upon the Board’s request or upon the initiative of the Advisor. In addition, the Audit Committee of the Board meets regularly with management of the Advisor to review reports on the Advisor’s examinations of functions and processes that affect each Fund. With respect to investment risk, the Board receives regular written reports describing and analyzing the investment performance of each Fund’s portfolios. The Board discusses these reports and the portfolios’ performance and investment risks with management of the Advisor at the Board’s regular meetings. The Investment Committee of the Advisor meets regularly to discuss a variety of issues, including the impact that the investment in particular securities or instruments, such as derivatives, may have on the portfolios. To the extent that the Investment Committee of the Advisor decides to materially change an investment strategy or policy of a portfolio and such change could have a significant impact on the portfolio’s risk profile, the Advisor will present such change to the Board for their approval. 19 With respect to valuation, the Advisor and each Fund’s administrative and accounting agent provide regular written reports to the Board that enables the Board to review fair valued securities in a particular portfolio. Such reports also include information concerning illiquid and any worthless securities held by each portfolio. In addition, each Fund’s Audit Committee reviews valuation procedures and pricing results with the Fund’s independent registered public accounting firm in connection with such Committee’s review of the results of the audit of each portfolio’s year-end financial statements. With respect to compliance risks, the Board receives regular compliance reports prepared by the Advisor’s compliance group and meets regularly with each Fund’s Chief Compliance Officer (CCO) to discuss compliance issues, including compliance risks. As required under SEC rules, the disinterested Directors meet in executive session with the CCO, and each Fund’s CCO prepares and presents an annual written compliance report to the Board. Each Fund’s Board adopts compliance policies and procedures for the Fund and receives information about the compliance procedures in place for the Fund’s service providers. The compliance policies and procedures are specifically designed to detect and prevent violations of the federal securities laws. The Advisor periodically provides information to the Board relevant to enterprise risk management describing the way in which certain risks are managed at the complex-wide level by the Advisor. Such presentations include areas such as counter-party risk, material fund vendor or service provider risk, investment risk, reputational risk, personnel risk and business continuity risk. Director Qualifications When a vacancy occurs on the Board, the Nominating Committee of the Board evaluates a candidate’s qualification for Board membership and the independence of such candidate from the Advisor and other principal service providers. The Nominating Committee will consider nominees recommended by Qualifying Fund Shareholders if a vacancy occurs among Board members. A Qualifying Fund Shareholder is a shareholder, or group of shareholders, that: (i) owns of record, or beneficially through a financial intermediary, 5% or more of a Fund’s outstanding shares, and (ii) has owned such shares for 12 months or more prior to submitting the recommendation to the Committee. Such recommendations shall be directed to the Secretary of a Fund at 6300 Bee Cave Road, Building One, Austin, Texas 78746. The Qualifying Fund Shareholder’s letter should include: (i) the name and address of the Qualifying Fund Shareholder making the recommendation; (ii) the number of shares of each Portfolio of a Fund that are owned of record and beneficially by such Qualifying Fund Shareholder, and the length of time that such shares have been so owned by the Qualifying Fund Shareholder; (iii) a description of all arrangements and understandings between such Qualifying Fund Shareholder and any other person or persons (naming such person or persons) pursuant to which the recommendation is being made; (iv) the name and address of the nominee; and (v) the nominee’s resume or curriculum vitae. The Qualifying Fund Shareholder’s letter must be accompanied by a written consent of the individual to stand for election if nominated for the Board and to serve if elected by shareholders. The Committee also may seek such additional information about the nominee as the Committee considers appropriate, including information relating to such nominee that is required to be disclosed in solicitations or proxies for the election of Board members. The Nominating Committee of the Board of each Fund believes that it is in the best interests of each Fund and its shareholders to obtain highly-qualified individuals to serve as members of the Board. Each Fund’s Board believes that each Director currently serving on the Board has the experience, qualifications, attributes and skills to allow the Board to effectively oversee the management of the Fund and protect the interests of shareholders. Each Board noted that each Director had professional experience in areas of importance for investment companies. The Board considered that each disinterested Director held an academic position in the areas of finance, economics or accounting. The Board also noted that John P. Gould, Myron S. Scholes and Abbie J. Smith each had experience serving as a director on the boards of operating companies and/or other investment companies. In addition, the Board considered that David G. Booth and Eduardo A. Repetto contributed valuable experience due to their positions with the Advisor. Certain biographical information for each disinterested Director and each interested Director of a Fund is set forth in the tables below, including a description of each Director’s experience as a Director of a Fund and as a director or trustee of other fun ds, as well as other recent professional experience. 20 Disinterested Directors Name, Address and Year of Birth Position Term of Office1 and Length of Service Principal Occupation During Past 5 Years Portfolios within the DFA Fund Complex2 Overseen Other Directorships of Public Companies Held During Past 5 Years George M. Constantinides University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 1947 Director DFAIDG – Since 1983; DIG – Since 1993 Leo Melamed Professor of Finance, University of Chicago Booth School of Business (since 1978). 123 portfolios in 4 investment companies None John P. Gould University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 1939 Director DFAIDG – Since 1986; DIG – Since 1993 Steven G. Rothmeier Professor and Distinguished Service Professor of Economics, University of Chicago Booth School of Business (since 1965). Member and Chair, Competitive Markets Advisory Council, Chicago Mercantile Exchange (futures trading exchange) (since 2004). 123 portfolios in 4 investment companies Trustee, Harbor Funds (registered investment company) (29 portfolios) (1994- 2014). Roger G. Ibbotson Yale School of Management P.O. Box 208200 New Haven, CT 06520-8200 1943 Director DFAIDG – Since 1981; DIG – Since 1993 Professor in Practice Emeritus of Finance, Yale School of Management (since 1984). Chairman, CIO and Partner, Zebra Capital Management, LLC (hedge fund and asset manager) (since 2001). Formerly, Consultant to Morningstar, Inc. (2006 - 2016). 123 portfolios in 4 investment companies None Edward P. Lazear Stanford University Graduate School of Business Knight Management Center, E346 Stanford, CA 94305 1948 Director DFAIDG – Since 2010; DIG – Since 2010 Distinguished Visiting Fellow, Becker Friedman Institute for Research in Economics, University of Chicago (since 2015). Morris Arnold Cox Senior Fellow, Hoover Institution (since 2002). Jack Steele Parker Professor of Human Resources Management and Economics, Graduate School of Business, Stanford University (since 1995). Cornerstone Research (expert testimony and economic and financial analysis) (since 2009). 123 portfolios in 4 investment companies None Myron S. Scholes c/o Dimensional Fund Advisors LP 6300 Bee Cave Road, Building One Austin, TX 78746 1941 Director DFAIDG – Since 1981; DIG – Since 1993 Chief Investment Strategist, Janus Capital Group Inc. (since 2014). Frank E. Buck Professor of Finance, Emeritus, Graduate School of Business, Stanford University (since 1981). 123 portfolios in 4 investment companies Formerly, Adviser, Kuapay, Inc. (2013-2014). Formerly, Director, American Century Fund Complex (registered investment companies) (43 Portfolios) (1980- 2014). 21 Name, Address and Year of Birth Position Term of Office1 and Length of Service Principal Occupation During Past 5 Years Portfolios within the DFA Fund Complex2 Overseen Other Directorships of Public Companies Held During Past 5 Years Abbie J. Smith University of Chicago Booth School of Business 5807 S. Woodlawn Avenue Chicago, IL 60637 1953 Director DFAIDG – Since 2000; DIG – Since 2000 Boris and Irene Stern Distinguished Service Professor of Accounting, University of Chicago Booth School of Business (since 1980). 123 portfolios in 4 investment companies Lead Director (beginning May 2014) and Director (since 2000), HNI Corporation (formerly known as HON Industries Inc.) (office furniture); Director, Ryder System Inc. (transportation, logistics and supply-chain management) (since 2003); and Trustee, UBS Funds (3 investment companies within the fund complex) (24 portfolios) (since 2009). 22 Interested Directors The following interested Directors are described as such because they are deemed to be “interested persons,” as that term is defined under the 1940 Act, due to their positions with the Advisor. Name, Address and Year of Birth Position Term of Office1 and Length of Service Principal Occupation During Past 5 Years Portfolios within the DFA Fund Complex2 Overseen Other Directorships of Public Companies Held During Past 5 Years David G. Booth 6300 Bee Cave Road, Building One Austin, TX 78746 1946 Chairman, Director, President and Co- Chief Executive Officer DFAIDG – Since 1981; DIG – Since 1992 Chairman, Director/Trustee, President, Co-Chief Executive Officer and formerly, Chief Executive Officer (until 1/1/2010) of the following companies: Dimensional Emerging Markets Value Fund (“DEM”), DFAIDG, DIG and The DFA Investment Trust Company (“DFAITC”). Executive Chairman, and formerly, President and Co-Chief Executive Officer (each until 2/22/2017) and Chief Executive Officer (until 1/1/2010) of Dimensional Holdings Inc., Dimensional Fund Advisors LP and DFA Securities LLC. Director of Dimensional Fund Advisors Ltd. and formerly, Chief Investment Officer. Director of DFA Australia Limited and formerly, President and Chief Investment Officer. Director of Dimensional Advisors Ltd., Dimensional Funds plc and Dimensional Funds II plc. Formerly, President, Dimensional SmartNest (US) LLC (2009- 2014). Limited Partner, VSC Investors, LLC (since 2007). Trustee, University of Chicago. Trustee, University of Kansas Endowment Association. Formerly, Director, SA Funds (registered investment company). Chairman, Director and Co-Chief Executive Officer of Dimensional Fund Advisors Canada ULC. Director and President (since 2012) of Dimensional Japan Ltd. Chairman, Director, President and Co-Chief Executive Officer of Dimensional Cayman Commodity Fund I Ltd. (since 2010). 123 portfolios in 4 investment companies None Eduardo A. Repetto 6300 Bee Cave Road, Building One Austin, TX 78746 1967 Director, Co-Chief Executive Officer and Co-Chief Investment Officer DFAIDG – Since 2009; DIG – Since 2009 Co-Chief Executive Officer (beginning January 2010), Co-Chief Investment Officer (since June 2014), Director, and formerly, Chief Investment Officer (March 2007 - June 2014) of the following companies: Dimensional Holdings Inc., Dimensional Fund Advisors LP, DFA Securities LLC, DEM, DFAIDG, DIG and DFAITC (collectively, the “DFA Entities”). Director, Co-Chief Executive Officer and Chief Investment Officer (since 2010) of Dimensional Cayman Commodity Fund I Ltd. Director, Co-Chief Executive Officer, President and Co-Chief Investment Officer of Dimensional Fund Advisors Canada ULC and formerly, Chief Investment Officer (until April 2014). Co-Chief Investment Officer, Vice President, and Director of DFA Australia Limited and formerly, Chief Investment Officer (until April 2014). Director of Dimensional Fund Advisors Ltd., Dimensional Funds plc, Dimensional Funds II plc and Dimensional Advisors Ltd. Formerly, Vice President of the DFA Entities and Dimensional Fund Advisors Canada ULC. Director (since December 2012) and Co-Chief Investment Officer (since February 2016), and formerly, Chief Investment Officer (December 2012 – February 2016) of Dimensional Japan Ltd. 123 portfolios in 4 investment companies None 1 Each Director holds office for an indefinite term until his or her successor is elected and qualified. 2 Each Director is a director or trustee of each of the four registered investment companies within the DFA Fund Complex, which include: the Funds; the Trust; and DEM. Each disinterested Director also serves on the Independent Review 23 Committee of the Dimensional Funds, mutual funds registered in the provinces of Canada and managed by the Advisor’s affiliate, Dimensional Fund Advisors Canada ULC. Information relating to each Director’s ownership (including the ownership of his or her immediate family) in the Portfolios of the Funds in this SAI and in all registered investment companies in the DFA Fund Complex as of December 31, 2016 is set forth in the chart below. Name Dollar Range of Fund Shares Owned Aggregate Dollar Range of Shares Owned in All Funds Overseen by Director in Family of Investment Companies Disinterested Directors: George M. Constantinides None None Directly; Over $100,000 in Simulated Funds** John P. Gould U.S. Core Equity 2 Portfolio – $10,001-$50,000 $10,001-$50,000; Over $100,000 in Simulated Funds** Roger G. Ibbotson U.S. Core Equity 1 Portfolio – Over $100,000 U.S. Core Equity 2 Portfolio – Over $100,000 International Core Equity Portfolio – Over $100,000 Over $100,000; Over $100,000 in Simulated Funds** Edward P. Lazear None None Directly; Over $100,000 in Simulated Funds** Myron S. Scholes U.S. Micro Cap Portfolio – Over $100,000 Over $100,000; Over $100,000 in Simulated Funds** Abbie J. Smith None None Directly; Over $100,000 in Simulated Funds** Interested Directors: David G. Booth U.S. Micro Cap Portfolio – Over $100,000 Over $100,000 Eduardo A. Repetto U.S. Large Company Portfolio – Over $100,000 U.S. Large Cap Equity Portfolio – Over $100,000 U.S. Core Equity 1 Portfolio – Over $100,000 U.S. Core Equity 2 Portfolio – Over $100,000 Large Cap International Portfolio – Over $100,000 International Core Equity Portfolio – Over $100,000 World ex U.S. Core Equity Portfolio – Over $100,000 Emerging Markets Core Equity Portfolio – $50,001-$100,000 Over $100,000 ** As discussed below, the compensation to certain of the disinterested Directors may be in amounts that correspond to a hypothetical investment in a cross-section of the DFA Funds. Thus, the disinterested Directors who are so compensated experience the same investment returns that are experienced by shareholders of the DFA Funds although the disinterested Directors do not directly own shares of the DFA Funds. Set forth below is a table listing, for each Director entitled to receive compensation, the compensation received from the Funds during the fiscal year ended October 31, 2016 and the total compensation received from all four registered investment companies for which the Advisor served as investment advisor during that same period. The table also provides the compensation paid by each Fund to the Funds’ Chief Compliance Officer for the fiscal year ended October 31, 2016. Name and Position Aggregate Compensation from DFAIDG* Aggregate Compensation from DIG* Pension or Retirement Benefits as Part of Expenses Estimated Annual Benefits upon Retirement Total Compensation from the Funds and DFA Fund Complex Paid to Directors† George M. Constantinides . Director $206,151 $21,998 N/A N/A $300,000 John P. Gould .................... Director $206,151 $21,998 N/A N/A $300,000 Roger G. Ibbotson ............. Director $219,983 $23,474 N/A N/A $320,000 Edward P. Lazear .............. Director $206,151 $21,998 N/A N/A $300,000 24 Name and Position Aggregate Compensation from DFAIDG* Aggregate Compensation from DIG* Pension or Retirement Benefits as Part of Expenses Estimated Annual Benefits upon Retirement Total Compensation from the Funds and DFA Fund Complex Paid to Directors† Myron S. Scholes .............. Lead Independent Director $274,751 $29,352 N/A N/A $400,000 Abbie J. Smith ................... Director $206,151 $21,998 N/A N/A $300,000 Christopher S. Crossan ...... Chief Compliance Officer $290,854 $31,086 N/A N/A N/A † The term DFA Fund Complex refers to the four registered investment companies for which the Advisor performs advisory and administrative services and for which the individuals listed above serve as directors/trustees on the Boards of Directors/Trustees of such companies. * Under a deferred compensation plan (the “Plan”) adopted effective January 1, 2002, the disinterested Directors of the Fund may defer receipt of all or a portion of the compensation for serving as members of the four Boards of Directors/Trustees of the investment companies in the DFA Fund Complex (the “DFA Funds”). Amounts deferred under the Plan are treated as though equivalent dollar amounts had been invested in shares of a cross- section of the DFA Funds (the “Reference Funds” or “Simulated Funds”). The amounts ultimately received by the disinterested Directors under the Plan will be directly linked to the investment performance of th e Reference Funds. Deferral of fees in accordance with the Plan will have a negligible effect on a fund’s assets, liabilities, and net income per share, and will not obligate a fund to retain the services of any disinterested Dir ector or to pay any particular level of compensation to the disinterested Director. The total amount of deferred compensation accrued by the disinterested Directors from the DFA Fund Complex who participated in the Plan during the fiscal year ended October 31, 2016 is as follows: $320,000 (Mr. Ibbotson) and $300,000 (Mr. Lazear). A disinterested Director’s deferred compensation will be distributed at the earlier of: (a) January in the year after the disinterested Director’s resignation from the Boards of Directors/Trustees of the DFA Funds, or death or disability; or (b) five years following the first deferral, in such amounts as the disinterested Director has specified. The obligations of the DFA Funds to make payments under the Plan will be unsecured gen eral obligations of the DFA Funds, payable out of the general assets and property of the DFA Funds. Officers Below is the name, year of birth, information regar ding positions with the Funds and the principal occupation for each officer of the Funds. The addr ess of each officer is 6300 Bee Cave Road, Building One, Austin, TX 78746. Each of the officers listed below holds the same office (except as otherwise noted) in the DFA Entities. Name and Year of Birth Position Term of Office1 and Length of Service Principal Occupation During Past 5 Years April A. Aandal 1963 Vice President Since 2008 Vice President of all the DFA Entities. Robyn G. Alcorta 1974 Vice President Since 2012 Vice President of all the DFA Entities. Formerly, Vice President, Business Development at Capson Physicians Insurance Company (August 2010 – May 2012). Magdalia S. Armstrong 1977 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional Director (January 2011 – January 2016) for Dimensional Fund Advisors LP . Darryl D. Avery 1966 Vice President Since 2005 Vice President of all the DFA Entities. 25 Name and Year of Birth Position Term of Office1 and Length of Service Principal Occupation During Past 5 Years Arthur H. Barlow 1955 Vice President Since 1993 Vice President of all the DFA Entities. Managing Director (since September 2013) of Dimensional Fund Advisors Ltd. Director (since November 2013) of Dimensional Funds plc and Dimensional Funds II plc. Lana Bergstein 1974 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Client Service Manager (February 2008 – January 2014) for Dimensional Fund Advisors LP. Stanley W. Black 1970 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Senior Research Associate (January 2012 – January 2014) for Dimensional Fund Advisors LP. Aaron T. Borders 1973 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director (April 2008 – January 2014) for Dimensional Fund Advisors LP. Scott A. Bosworth 1968 Vice President Since 2007 Vice President of all the DFA Entities. Valerie A. Brown 1967 Vice President and Assistant Secretary Since 2001 Vice President and Assistant Secretary of all the DFA Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd., Dimensional Cayman Commodity Fund I Ltd., Dimensional Fund Advisors Pte. Ltd. and Dimensional Hong Kong Limited. Director, Vice President and Assista nt Secretary of Dimensional Fund Advisors Canada ULC. David P. Butler 1964 Vice President Since 2007 Vice President of all the DFA Entities. Co-Chief Executive Officer (since February 2017) and Head of Global Financial Advisor Services (since October 2007) for Dimensional Fund Advisors LP. Douglas M. Byrkit 1970 Vice President Since 2012 Vice President of all the DFA Entities. Hunt M. Cairns 1973 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director (January 2010 – January 2014) for Dimensional Fund Advisors LP. David K. Campbell 1966 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, DC Relationship Manager (October 2010 – January 2016) for Dimensional Fund Advisors LP. Dennis M. Chamberlain 1972 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional Director (January 2012 – January 2015) for Dimensional Fund Advisors LP. Ryan J. Chaplinski 1971 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional Director (June 2011 – January 2015) for Dimensional Fund Advisors LP. James G. Charles 1956 Vice President Since 2011 Vice President of all the DFA Entities. Joseph H. Chi 1966 Vice President Since 2009 Vice President of all the DFA Entities. Co-Head of Portfolio Management (since March 2012) and Senior Portfolio Manager (since January 2012) for Dimensional Fund Advisors LP. Vice President (since April 2016) of Dimensional Fund Advisors Canada ULC. Pil Sun Choi 1972 Vice President Since 2014 Vice President of all the DFA Entities. Counsel (since April 2012) for Dimensional Fund Advisors LP. Formerly, Vice President and Counsel for AllianceBernstein L.P. (November 2006 – April 2012). Stephen A. Clark 1972 Vice President Since 2004 Vice President of all the DFA Entities. Director and Vice President (since February 2016) of Dimensional Japan Ltd. President and Director (since February 2016) of Dimensional Fund Advisors Canada ULC. Vice President (since April 2008) and Director (since October 2016) of DFA Australia Limited. Director (since April 2016) of Dimensional Advisors Ltd., Dimensional Fund Advisors Pte. Ltd., and Dimensiona l Hong Kong Limited. Director (since July 2016) and Vice President (since June 2016) of Dimensional Fund Advisors Pte. Ltd. Head of Global Institutional Services (since January 2014) for Dimensional Fund Advisors LP. Formerly, Vice President (December 2010 – February 2016) of Dimensional Fund Advisors Canada ULC; Head of Institutional, North America (March 2012 to December 2013) and Head of Portfolio Management (January 2006 to March 2012) for Dimensional Fund Advisors LP. Matthew B. Cobb 1971 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional Director (September 2011 – March 2013) for Dimensional Fund Advisors LP. Rose C. Cooke 1971 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director (August 2010 – March 2014) for Dimensional Fund Advisors LP. Ryan Cooper 1979 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional Director (2003 – March 2014) for Dimensional Fund Advisors LP. Jeffrey D. Cornell 1976 Vice President Since 2012 Vice President of all the DFA Entities. 26 Name and Year of Birth Position Term of Office1 and Length of Service Principal Occupation During Past 5 Years Robert P. Cornell 1949 Vice President Since 2007 Vice President of all the DFA Entities. John W. Crill (Wes) 1982 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Senior Associate, Research (January 2015 – January 2016); Associate, Research (January 2014 – January 2015); Analyst, Research (July 2010 – January 2014) for Dimensional Fund Advisors LP. Christopher S. Crossan 1965 Vice President and Global Chief Compliance Officer Since 2004 Vice President and Global Chief Compliance Officer of all the DFA Entities, DFA Australia Limited and Dimensional Fund Advisors Ltd. Chief Compliance Officer and Chief Privacy Officer of Dimensional Fund Advisors Canada ULC, Chief Compliance Officer of Dimensional Fund Advisors Pte. Ltd. Formerly, Vice President and Global Chief Compliance Officer (October 2010 – 2014) for Dimensional SmartNest (US) LLC. John T. Curnutte 1980 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager, Research Systems (November 2012 – January 2016) for Dimensional Fund Advisors LP; Assistant Vice President, Oaktree Capital Management (April 2011 – October 2012). John Dashtara 1980 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional Director (July 2013 – January 2015) for Dimensional Fund Advisors LP; Relationship Manager for Blackrock, Inc. (July 2011 – July 2013). James L. Davis 1956 Vice President Since 1999 Vice President of all the DFA Entities. Robert T. Deere 1957 Vice President Since 1994 Vice President of all the DFA Entities and Dimensional Fund Advisors Canada ULC. Formerly, Vice President (until October 2016) for DFA Australia Limited. Johnathon K. DeKinder 1979 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director (January 2012 – January 2014) for Dimensional Fund Advisors LP. Mark J. Dennis 1976 Vice President Since 2015 Vice President of all DFA Entities. Formerly, Regional Director (May 2011 – January 2015) for Dimensional Fund Advisors LP. Massimiliano DeSantis 1971 Vice President Since 2015 Vice President of all DFA Entities. Formerly, Senior Associate, Research (November 2012 – January 2015) for Dimensional Fund Advisors LP; Senior Consultant, NERA Economic Consulting (May 2010 – November 2012). Peter F. Dillard 1972 Vice President Since 2010 Vice President of all the DFA Entities. Chief Data Officer (since January 2016) for Dimensional Fund Advisors LP. Robert W. Dintzner 1970 Vice President Since 2001 Vice President of all the DFA Entities. Karen M. Dolan 1979 Vice President Since 2014 Vice President of all the DFA Entities. Head of Marketing (since February 2013) for Dimensional Fund Advisors LP. Formerly, Senior Manager of Research and Marketing (June 2012 – January 2013) for Dimensional Fund Advisors LP; Director of Mutual Fund Analysis at Morningstar (January 2008 – May 2012). L. Todd Erskine 1959 Vice President Since 2015 Vice President of all DFA Entities. Formerly, Regional Director (May 2008 – January 2015) for Dimensional Fund Advisors LP. Richard A. Eustice 1965 Vice President and Assistant Secretary Since 1998 Vice President and Assistant Secretary of all the DFA Entities and DFA Australia Limited. Chief Operating Officer (since April 2013) for Dimensional Fund Advisors Pte. Ltd. Formerly, Chief Operating Officer (July 2008 – March 2013) for Dimensional Fund Advisors Ltd. Gretchen A. Flicker 1971 Vice President Since 2004 Vice President of all the DFA Entities. Jed S. Fogdall 1974 Vice President Since 2008 Vice President of all the DFA Entities. Co-Head of Portfolio Management (since March 2012) and Senior Portfolio Manager (since January 2012) of Dimensional Fund Advisors LP. Vice President (since April 2016) of Dimensional Fund Advisors Canada ULC. Edward A. Foley 1976 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director (August 2011 – January 2014) for Dimensional Fund Advisors LP. Deborah J.G. Foster 1959 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior Associate (May 2011 – January 2015) for Dimensional Fund Advisors LP. Jeremy P. Freeman 1970 Vice President Since 2009 Vice President of all the DFA Entities. 27 Name and Year of Birth Position Term of Office1 and Length of Service Principal Occupation During Past 5 Years Kimberly A. Ginsburg 1970 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Vice President (January 2012 - November 2014) for Dimensional SmartNest (US) LLC. Mark R. Gochnour 1967 Vice President Since 2007 Vice President of all the DFA Entities. Tom M. Goodrum 1968 Vice President Since 2012 Vice President of all the DFA Entities. Henry F. Gray 1967 Vice President Since 2000 Vice President of all the DFA Entities. John T. Gray 1974 Vice President Since 2007 Vice President of all the DFA Entities. Christian Gunther 1975 Vice President Since 2011 Vice President of all the DFA Entities. Senior Trader (since January 2012) for Dimensional Fund Advisors LP. Robert W. Hawkins 1974 Vice President Since 2014 Vice President of all the DFA Entities. Counsel (since January 2011) for Dimensional Fund Advisors LP. Joel H. Hefner 1967 Vice President Since 2007 Vice President of all the DFA Entities. Kevin B. Hight 1967 Vice President Since 2005 Vice President of all the DFA Entities. Gregory K. Hinkle 1958 Vice President, Chief Financial Officer, and Treasurer Since 2015 Vice President, Chief Financial Officer, and Treasurer of all the DFA Entities. Chief Financial Officer, Treasurer and Vice President of Dimensional Advisors Ltd., Dimensional Fund Advisors Ltd., Dimensional Hong Kong Limited, Dimensional Cayman Commodity Fund I Ltd., Dimensional Fund Advisors Canada ULC, Dimensional Fund Advisors Pte. Ltd and DFA Australia Limited. Director (since August 2016) for Dimensional Funds plc and Dimensional Funds II plc. Formerly, interim Chief Financial Officer and interim Treasurer of all the DFA Entities (April 2016 – September 2016); interim Chief Financial Officer and interim Treasurer (April 2016 – July 2016) of Dimensional Fund Advisors LP, Dimensional Fund Advisors Ltd., DFA Australia Limited, Dimensional Advisors Ltd., D imensional Fund Advisors Pte. Ltd, Dimensional Hong Kong Limited, Dimensional Cayman Commodity Fund I Ltd., Dimensional Fund Advisors Canada ULC; Controller (August 2015 – September 2016) of all the DFA Entities; Controller (August 2015 – July 2016) Dimensional Fund Advisors LP; Vice President of T. Rowe Price Group, Inc. and Director of Investment Treasury and Treasurer of the T. Rowe Price Funds (March 2008 – July 2015). Christine W. Ho 1967 Vice President Since 2004 Vice President of all the DFA Entities. Michael C. Horvath 1960 Vice President Since 2011 Vice President of all the DFA Entities. Mark A. Hunter 1971 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior Compliance Officer (November 2010 – January 2015) for Dimensional Fund Advisors LP. Alan R. Hutchison 1977 Vice President Since 2016 Vice President of all the DFA Entities. Portfolio Manager (since January 2013) for Dimensional Fund Advisors LP. Formerly, Investment Associate (January 2010 - January 2013) for Dimensional Fund Advisors LP. Shahryar S. Jaberzadeh 1983 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional Director (April 2006 – January 2016) for Dimensional Fund Advisors LP. Jeremy R. James 1977 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager, IT Service Management (October 2014 – January 2016) and Manager, Managed DC Systems (October 2005 – October 2014) for Dimensional Fund Advisors LP. Jeff J. Jeon 1973 Vice President Since 2004 Vice President of all the DFA Entities and Dimensional Cayman Commodity Fund I Ltd. Garret D. Jones 1971 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Manager of Sales and Marketing Systems (January 2011 – January 2014) for Dimensional Fund Advisors LP. Stephen W. Jones 1968 Vice President Since 2012 Vice President of all the DFA Entities. 28 Name and Year of Birth Position Term of Office1 and Length of Service Principal Occupation During Past 5 Years Scott P. Kaup 1975 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior Manager, Investment Operations (January 2014 – January 2015) and Investment Operations Manager (May 2008 – January 2014) for Dimensional Fund Advisors LP. David M. Kavanaugh 1978 Vice President Since 2014 Vice President of all the DFA Entities. Head of Operations for Financial Advisor Services (since July 2014) for Dimensional Fund Advisors LP. Formerly, Counsel (August 2011 – January 2014) of Dimensional Fund Advisors LP. Patrick M. Keating 1954 Vice President Since 2003 Vice President of all the DFA Entities, Dimensional Holdings Inc., and Dimensional Fund Advisors LP. Formerly, Vice President (until February 2015) of DFA Securities LLC, Dimensional Cayman Commodity Fund I Ltd. and Dimensional Advisors Ltd; Chief Operating Officer (until February 2015) of Dimensional Holdings Inc., DFA Securities LLC, D imensional Fund Advisors LP, Dimensional Cayman Commodity Fund I Ltd., Dimensional Advisors Ltd. and Dimensional Fund Advisors Pte. Ltd.; Director, Vice President, and Chief Privacy Officer (until February 2015) of Dimensional Fund Advisors Canada ULC; Director (until February 2015) of DFA Australia Limited, Dimensional Fund Advisors Ltd. and Dimensional Advisors Ltd.; Director and Vice President (until February 2015) of Dimensional Hong Kong Limited and Dimensional Fund Advisors Pte. Ltd.; and Vice President, Chief Operating Officer and Director (August 2012 – May 2015) of Dimensional Japan Ltd. Andrew K. Keiper 1977 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional Director (October 2004 – January 2013) for Dimensional Fund Advisors LP. David M. Kershner 1971 Vice President Since 2010 Vice President of all the DFA Entities. Portfolio Manager (since June 2004) for Dimensional Fund Advisors LP. Arun C. Keswani 1975 Vice President Since 2016 Vice President of all the DFA Entities. Senior Portfolio Manager (since January 2015) for Dimensional Fund Advisors LP. Formerly, Portfolio Manager (January 2013 – January 2015) and Investment Associate (October 2011 – January 2013) for Dimensional Fund Advisors LP. Kimberly L. Kiser 1972 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Creative Director (September 2012 – January 2014) for Dimensional Fund Advisors LP; Vice President and Global Creative Director at Morgan Stanley (December 2007 – August 2012). Natalia Y. Knych 1971 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager, RFP, Institutional (January 2015 – January 2016) and Senior Associate, Institutional (April 2007 – January 2015) for Dimensional Fund Advisors LP. Timothy R. Kohn 1971 Vice President Since 2011 Vice President of all the DFA Entities. Head of Defined Contribution Sales (since August 2010) for Dimensional Fund Advisors LP. Joseph F. Kolerich 1971 Vice President Since 2004 Vice President of all the DFA Entities. Senior Portfolio Manager (since January 2012) of Dimensional Fund Advisors LP. Mark D. Krasniewski 1981 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Senior Associate, Investment Analytics and Data (January 2012 – December 2012) for Dimensional Fund Advisors LP. Kahne L. Krause 1966 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director (May 2010 – January 2014) for Dimensional Fund Advisors LP. Stephen W. Kurad 1968 Vice President Since 2011 Vice President of all the DFA Entities. Michael F. Lane 1967 Vice President Since 2004 Vice President of all the DFA Entities. Formerly, Chief Executive Officer (July 2012 – November 2014) for Dimensional SmartNest (US) LLC. Francis R. Lao 1969 Vice President Since 2011 Vice President of all the DFA Entities. David F. LaRusso 1978 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Senior Trader (January 2010 – December 2012) for Dimensional Fund Advisors LP. Juliet H. Lee 1971 Vice President Since 2005 Vice President of all the DFA Entities. Marlena I. Lee 1980 Vice President Since 2011 Vice President of all the DFA Entities. Paul A. Lehman 1971 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional Director (July 2013 – January 2015) for Dimensional Fund Advisors LP; Chief Investment Officer (April 2005 – April 2013) for First Citizens Bancorporation. 29 Name and Year of Birth Position Term of Office1 and Length of Service Principal Occupation During Past 5 Years John B. Lessley 1960 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional Director (January 2008 – January 2013) for Dimensional Fund Advisors LP. Joy L. Lopez 1971 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior Tax Manager (February 2013 – January 2015) for Dimensional Fund Advisors LP; Vice President and Tax Manager, North America (August 2006 – April 2012) for Pacific Investment Management Company. Apollo D. Lupescu 1969 Vice President Since 2009 Vice President of all the DFA Entities. Timothy P. Luyet 1972 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior Manager, Marketing Operations (January 2014 – January 2015) and Manager, Client Systems (October 2011 – January 2014) for Dimensional Fund Advisors LP. Peter Magnusson 1969 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director (January 2011 – January 2014) for Dimensional Fund Advisors LP. Kenneth M. Manell 1972 Vice President Since 2010 Vice President of all the DFA Entities and Dimensional Cayman Commodity Fund I Ltd. Aaron M. Marcus 1970 Vice President Since 2008 Vice President of all the DFA Entities. Head of Global Human Resources for Dimensional Fund Advisors LP. Duane R. Mattson 1965 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior Compliance Officer (May 2012 – January 2015) for Dimensional Fund Advisors LP; Chief Compliance Officer for Al Frank Asset Management (April 2010 – April 2012) . Bryan R. McClune 1975 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director (January 2009 – January 2014) of Dimensional Fund Advisors LP. Philip P. McInnis 1984 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director (January 2009 – January 2014) for Dimensional Fund Advisors LP. Francis L. McNamara 1959 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager, Project Management Office (October 2006 – January 2016) for Dimensional Fund Advisors LP. Travis A. Meldau 1981 Vice President Since 2015 Vice President of all the DFA Entities. Portfolio Manager (since September 2011) for Dimensional Fund Advisors LP. Tracy R. Mitchell 1974 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional Director (September 2013 – January 2016) for Dimensional Fund Advisors LP; Managing Director, Client Services, Charles Schwab (December 2009 – August 2013). Jonathan G. Nelson 1971 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Manager, Investment Systems (January 2011 – January 2013) for Dimensional Fund Advisors LP. Catherine L. Newell 1964 Vice President and Secretary Vice President since 1997 and Secretary since 2000 Vice President and Secretary of all the DFA Entities. Director, Vice President and Secretary of DFA Australia Limited and Dimensional Fund Advisors Ltd. (since February 2002, April 1997, and May 2002, respectively). Vice President and Secretary of Dimensional Fund Advisor s Canada ULC (since June 2003), Dimensional Cayman Commodity Fund I Ltd., Dimensional Japan Ltd (since February 2012), Dimensional Advisors Ltd (since March 2012) and Dimensional Fund Advisors Pte. Ltd. (since June 2012). Director of Dimensional Funds plc and Dimensional Funds II plc (since 2002 and 2006, respectively). Director of Dimensional Japan Ltd., Dimensional Advisors Ltd., Dimensional Fund Advisors Pte. Ltd. and Dimensional Hong Kong Limited (since August 2012 and July 2012). Formerly, Vice President and Secretary (October 2010 – November 2014) of Dimensional SmartNest (US) LLC. John R. Nicholson 1977 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional Director (June 2011 – January 2015) for Dimensional Fund Advisors LP. Pamela B. Noble 1964 Vice President Since 2011 Vice President of all the DFA Entities. Portfolio Manager (since 2008) for Dimensional Fund Advisors LP. Selwyn Notelovitz 1961 Vice President and Deputy Chief Compliance Officer Since 2013 Vice President and Deputy Chief Compliance Officer of all the DFA Entities. Deputy Chief Compliance Officer (since December 2012) of Dimensional Fund Advisors LP. Carolyn L. O 1974 Vice President Since 2010 Vice President of all the DFA Entities, Dimensional Cayman Commodity Fund I Ltd., and Dimensional Fund Advisors Canada ULC (since April 2016). 30 Name and Year of Birth Position Term of Office1 and Length of Service Principal Occupation During Past 5 Years Gerard K. O’Reilly 1976 Vice President and Co-Chief Investment Officer Vice President since 2007 and Co- Chief Investment Officer since 2014 Vice President (since January 2007) and Co-Chief Investment Officer (since June 2014) of all the DFA Entities and Dimensional Fund Advisors Canada ULC. Co-Chief Investment Officer (since February 2016) of Dimensional Japan Ltd. Co-Chief Investment Officer (since April 2014) of Dimensional Fund Advisors Canada ULC, DFA Australia Limited, DFA Securities LLC, Dimensional Fund Advisors LP, and Dimensional Holdings LLC. Director (since August 2014) of Dimensional Funds plc and Dimensional Fund II plc. Randy C. Olson 1980 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Senior Compliance Officer (July 2014 – January 2016) for Dimensional Fund Advisors LP; Vice President Regional Head of Investment Compliance, Asia, PIMCO Asia Private Limited (July 2012 – July 2014); Country Compliance Officer, Janus Capital, Singapore Private Limited (May 2011 – June 2012). Daniel C. Ong 1973 Vice President Since 2009 Vice President of all the DFA Entities. Portfolio Manager (since July 2005) for Dimensional Fund Advisors LP. Kyle K. Ozaki 1978 Vice President Since 2010 Vice President of all the DFA Entities. Matthew A. Pawlak 1977 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional Director (January 2012 – January 2013) for Dimensional Fund Advisors LP. Mary T. Phillips 1981 Vice President Since 2016 Vice President of all the DFA Entities. Senior Portfolio Manager (since January 2015) for Dimensional Fund Advisors LP. For merly, Portfolio Manager (April 2014 – January 2015) and Investment Associate (July 2012 – March 2014) for Dimensional Fund Advisors LP. Jeffrey L. Pierce 1984 Vice President Since 2015 Vice President of all the DFA Entities. Senior Manager, Advisor Benchmarking (since January 2015) for Dimensional Fund Advisors LP. Formerly, Manager, Advisor Benchmarking (April 2012 – December 2014) for Dimensional Fund Advisors LP; Senior Manager, Research and Consulting (October 2010 – April 2012) for Crain Communications Inc. Olivian T. Pitis 1974 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional Director (May 2011 – January 2015) for Dimensional Fund Advisors LP. Brian P. Pitre 1976 Vice President Since 2015 Vice President of all the DFA Entities. Counsel (since February 2015) for Dimensional Fund Advisors LP. Formerly, Chief Financial Officer and General Counsel for Relentless (March 2014 – January 2015); Vice President (January 2013 – March 2014) of all the DFA Entities; Counsel (January 2009 - March 2014) for Dimensional Fund Advisors LP. David A. Plecha 1961 Vice President Since 1993 Vice President of all the DFA Entities, DFA Australia Limited, Dimensional Fund Advisors Ltd. and Dimensional Fund Advisors Ca nada ULC. Allen Pu 1970 Vice President Since 2011 Vice President of all the DFA Entities. Senior Portfolio Manager (since January 2015) for Dimensional Fund Advisors LP. For merly, Portfolio Manager (2006 – January 2015) for Dimensional Fund Advisors LP . David J. Rapozo 1967 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director (January 2011 – January 2014) for Dimensional Fund Advisors LP. Mark A. Regier 1969 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Planning and Analysis Manager (July 2007 – January 2014) for Dimensional Fund Advisors LP. Cory T. Riedberger 1979 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional Director (March 2011 – January 2015) for Dimensional Fund Advisors LP. Savina B. Rizova 1981 Vice President Since 2012 Vice President of all the DFA Entities. Michael F. Rocque 1968 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Senior Fund Accounting Manager (July 2013 – January 2015) for Dimensional Fund Advisors LP; Senior Financial Consultant and Chief Accounting Officer (July 2002 – July 2013) for MFS Investment Management. L. Jacobo Rodríguez 1971 Vice President Since 2005 Vice President of all the DFA Entities. Austin S. Rosenthal 1978 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Vice President (September 2010 - November 2014) for Dimensional SmartNest (US) LLC. Oliver J. Rowe 1960 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Senior Manager, Human Resources (January 2012 – January 2014) for Dimensional Fund Advisors LP. 31 Name and Year of Birth Position Term of Office1 and Length of Service Principal Occupation During Past 5 Years Joseph S. Ruzicka 1987 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Manager Investment Analytics and Data (January 2014 – January 2015), Senior Associate, Investment Analytics and Data (January 2013 – January 2014), and Associate, Investment Analytics and Data (January 2012 – January 2013) for Dimensional Fund Advisors LP. Julie A. Saft 1959 Vice President Since 2010 Vice President of all the DFA Entities. Joel P. Schneider 1980 Vice President Since 2015 Vice President of all the DFA Entities. Portfolio Manager (since 2013) for Dimensional Fund Advisors LP. Formerly, Investment Associate (April 2011 – January 2013) for Dimensional Fund Advisors LP. Ashish Shrestha 1978 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional Director (September 2009 – January 2015) for Dimensional Fund Advisors LP. Bruce A. Simmons 1965 Vice President Since 2009 Vice President of all the DFA Entities. Ted R. Simpson 1968 Vice President Since 2007 Vice President of all the DFA Entities. Bhanu P. Singh 1981 Vice President Since 2014 Vice President of all the DFA Entities. Senior Portfolio Manager (since January 2015) for Dimensional Fund Advisors LP. For merly, Portfolio Manager (January 2012 – January 2015) for Dimensional Fund Advisors LP. Bryce D. Skaff 1975 Vice President Since 2007 Vice President of all the DFA Entities. Lukas J. Smart 1977 Vice President Since 2014 Vice President of all the DFA Entities. Portfolio Manager (since January 2010) of Dimensional Fund Advisors LP. Andrew D. Smith 1968 Vice President Since 2011 Vice President of all the DFA Entities. Grady M. Smith 1956 Vice President Since 2004 Vice President of all the DFA Entities. Vice President (since December 2010) of Dimensional Fund Advisors Canada ULC. Matthew Snider 1976 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional Director (September 2011 – January 2016) for Dimensional Fund Advisors LP. Lawrence R. Spieth 1947 Vice President Since 2004 Vice President of all the DFA Entities. Charlene L. St. John 1965 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Senior Manager (September 2014 - January 2016) for Dimensional Fund Advisors LP; Vice President of Marketing, Forward Management/Salient (January 2008 – February 2014). Brent M. Stone 1971 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Project Manager (September 2012 – December 2015) and Manager, Corporate Systems (January 2011 – September 2012) for Dimensional Fund Advisors LP. Richard H. Tatlow V 1971 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional Director (April 2010 – January 2013) for Dimensional Fund Advisors LP. Blake T. Tatsuta 1973 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Manager, Investment Analytics and Data (2012 – January 2013) for Dimensional Fund Advisors LP. James J. Taylor 1983 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Accounting Manager (November 2009 – January 2016) for Dimensional Fund Advisors LP. Erik T. Totten 1980 Vice President Since 2013 Vice President of all the DFA Entities. Formerly, Regional Director (2010 – January 2013) for Dimensional Fund Advisors LP. John H. Totten 1978 Vice President Since 2012 Vice President of all the DFA Entities. Robert C. Trotter 1958 Vice President Since 2009 Vice President of all the DFA Entities. Dave C. Twardowski 1982 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Research Associate (June 2011 – January 2015) for Dimensional Fund Advisors LP. Karen E. Umland 1966 Vice President Since 1997 Vice President of all the DFA Entities, Dimensional Fund Advisors Ltd., and Dimensional Fund Advisors Canada ULC. Formerly, Vice President (until October 2016) of DFA Australia Limited. Benjamin C. Walker 1979 Vice President Since 2014 Vice President of all the DFA Entities. Formerly, Regional Director (September 2008 – January 2014) for Dimensional Fund Advisors LP. Brian J. Walsh 1970 Vice President Since 2009 Vice President of all the DFA Entities. Portfolio Manager (since 2004) for Dimensional Fund Advisors LP. 32 Name and Year of Birth Position Term of Office1 and Length of Service Principal Occupation During Past 5 Years Jessica Walton 1974 Vice President Since 2015 Vice President of all the DFA Entities. Formerly, Regional Director (January 2012 – January 2015) for Dimensional Fund Advisors LP. Griffin S. Watkins 1985 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Regional Director (January 2014 – January 2016) and Senior Associate (January 2011 – December 2013) for Dimensional Fund Advisors LP. Timothy P. Wei 1968 Vice President Since 2016 Vice President of all the DFA Entities. Counsel (since July 2014) for Dimensional Fund Advisors LP. Formerly, Assistant G eneral Counsel, Teacher Retirement System of Texas (October 2008 – June 2014). Weston J. Wellington 1951 Vice President Since 1997 Vice President of all the DFA Entities. Ryan J. Wiley 1976 Vice President Since 2007 Vice President of all the DFA Entities. Kristina M. Williams 1975 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Client Service Supervisor for Dowling & Yahnke (July 2014 – January 2016); Head of Operations for The Elements Financial Group (January 2013 – June 2014); Head of Operations for Vericimetry Advisors LLC (July 2011 – December 2012). Jeremy J. Willis 1976 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Manager, Client Systems (May 2012 – January 2016) for Dimensional Fund Advisors LP. Stacey E. Winning 1981 Vice President Since 2015 Vice President of all the DFA Entities. Head of Global Recruiting and Development (since June 2014) for Dimensional Fund Advisors LP. Formerly, Senior Manager, Recruiting (December 2012 – June 2014) for Dimensional Fund Advisors LP; Co-Head of Global Recruiting (May 2009 – November 2012) for Two Sigma Investments. Cecelia K. Wong 1981 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Client Service Manager (June 2005 – January 2016) for Dimensional Fund Advisors LP. Craig A. Wright 1982 Vice President Since 2016 Vice President of all the DFA Entities. Formerly, Accounting Manager (November 2011 – January 2016) for Dimensional Fund Advisors LP. Joseph L. Young 1978 Vice President Since 2011 Vice President of all the DFA Entities. 1 Each officer holds office for an indefinite term at the pleasure of the Boards of Directors and until his or her successor is elected and qualified. As of January 31, 2017, the Directors and officers as a group owned less than 1% of the outstanding stock of each Portfolio described in this SAI, except that Directors and officers, as a group, owned approximately 12.27% of the Global Small Company Portfolio. SERVICES TO THE FUNDS Administrative Services—The Feeder Portfolios, U.S. Large Company Portfolio, Enhanced U.S. Large Company Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Small Cap Portf olio, U.S. Micro Cap Portfolio and International Small Company Portfolio The Funds previously had administration agreements with the Advisor, on behalf of the Feeder Portfolios, U.S. Large Company Portfolio, Enhanced U.S. Large Company Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio and International Small Compan y Portfolio. Pursuant to each administration agreement, the Advisor performed various services, including: supervision of the services provided by the Portfolio’s custodian and transfer and dividend disbursing agent and others who provide services to the Fund for the ben efit of the Portfolio; providing shareholders with information about the Portfolio and their investments as the shareholders or the Fund may request; assisting the Portfolio in conducting meetings of shareholders; furnishing information as the Board of Directors may require regarding the Master Fund or Underlying Funds (as applicable), an d any other administrative services for the benefit of the Portfolio as the Board of Directors may reasonably request. Effective February 28, 2014 (with respect to the U.S. Large Company Portfolio, Enhanced U.S. Large Compan y Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Small Cap Portfolio and U.S. Micro Cap Portfolio) and July 21, 2015 (with respect to the 33 Feeder Portfolios and International Small Company Portfolio), the administrative agreement and investment advisory agreement for each of these Portfolios were combined into an Investment Management Agreement that provides for an investment management fee payable to the Advisor for both investment advisory services and the administrative services described above. Prior to the Investment Management Agreement, the Feeder Portfolios, U.S. Large Company Portfolio, Enhanced U.S. Large Company Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Value Portfolio, U.S. Small Cap Portfolio, U.S. Micro Cap Portfolio and International Small Company Portfolio paid the Advisor a monthly fee based on average net assets equal to one-twelfth of the percentages listed below for its administrative services: Portfolio Administration Fee U.S. Large Company Portfolio* ........................................................ 0.035% Enhanced U.S. Large Company Portfolio* ........................................ 0.15% U.S. Large Cap Value Portfolio**..................................................... 0.15% U.S. Small Cap Value Portfolio* ...................................................... 0.30% U.S. Targeted Value Portfolio* ......................................................... 0.25% U.S. Small Cap Portfolio* ................................................................ 0.32% U.S. Micro Cap Portfolio* ................................................................ 0.40% DFA International Value Portfolio** ................................................ 0.20% International Small Company Portfolio** ......................................... 0.40% (a) Japanese Small Company Portfolio** ............................................... 0.40% (b) Asia Pacific Small Company Portfolio** .......................................... 0.40% (b) United Kingdom Small Company Portfolio** ................................... 0.40% (b) Continental Small Company Portfolio** ........................................... 0.40% (b) Emerging Markets Portfolio** .......................................................... 0.40% Emerging Markets Value Portfolio** ................................................ 0.40% Emerging Markets Small Cap Portfolio** ......................................... 0.45% * Effective rate of administrative fee prior to February 28, 2014. ** Effective rate of administrative fee prior to July 21, 2015. (a) Prior to July 21, 2015, pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption Agreement for the International Small Company Portfolio, the Advisor had contractually agreed to waive its administration fee and to assume the other direct expenses of a class of the Portfolio (excluding expenses incurred through its investment in other investments companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of a class of the Portfolio to 0.45% of the average net assets of a class of the Portfolio on an annualized basis (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of a class of the Portfolio were less than the Expense Limitation Amount for such class of shares, the Advisor retained the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery did not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount. The Portfolio was not obligated to reimburse the Advisor for fees previously waived by the Advisor more than thirty-six months before the date of such reimbursement. (b) Prior to July 21, 2015, pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption Agreement for the Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, United Kingdom Small Company Portfolio and Continental Small Company Portfolio, the Advisor had contractually agreed to waive its administration fee and to assume the other direct expenses of a class of each Portfolio to the extent necessary to limit the direct expenses of a class of a Portfolio to 0.47% of the average net assets of a class of a Portfolio on an annualized basis (the “Expense Limitation Amount”). The Amended and Restated Fee Waiver and/or Expense Assumption Agreement did not include the indirect expenses that each Portfolio bore as a shareholder of its Master Fund. At any time that the direct expenses of a class of a Portfolio were less than the Expense Limitation Amount for such class of shares of the Portfolio, the Advisor retained the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery did not cause the direct expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount. The Portfolio was not obligated to r eimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. 34 Each class of each Portfolio paid its proportionate share of the fees paid by the Portfolio to Advisor based on the average net assets of the classes. For the fiscal years ended October 31, 2015 and October 31, 2014, the Portfolios paid administrative fees to the Advisor as set forth in the following table (th e dollar amount is shown prior to any fee waivers by the Advisor): Portfolio FISCAL YEAR ENDED 2016* (000) FISCAL YEAR ENDED 2015 (000) FISCAL YEAR ENDED 2014 (000) U.S. Large Company Portfolio .............................................................. N/A N/A $ 5822 Enhanced U.S. Large Company Portfolio .............................................. N/A N/A $ 104 U.S. Large Cap Value Portfolio ............................................................ N/A $ 16,886 $ 20,484 U.S. Small Cap Value Portfolio ............................................................ N/A N/A $ 9,826 U.S. Targeted Value Portfolio ............................................................... N/A N/A $ 3,694 U.S. Small Cap Portfolio ...................................................................... N/A N/A $ 8,321 U.S. Micro Cap Portfolio ...................................................................... N/A N/A $ 6,286 DFA International Value Portfolio ....................................................... N/A $ 10,266 $ 13,943 International Small Company Portfolio ................................................ N/A $ 25,866 $ 36,252 Japanese Small Company Portfolio ...................................................... N/A $ 1,386 $ 1,757 Asia Pacific Small Company Portfolio ................................................. N/A $ 794 $ 1,488 United Kingdom Small Company Portfolio .......................................... N/A $ 1001 $ 1533 Continental Small Company Portfolio .................................................. N/A $ 620 $ 728 Emerging Markets Portfolio ................................................................. N/A $ 11,841 $ 15,438 Emerging Markets Value Portfolio........................................................ N/A $ 51,318 $ 76,112 Emerging Markets Small Cap Portfolio ................................................ N/A $ 16,666 $ 19,823 * For the fiscal year ended October 31, 2016, the Portfolios did not pay administrative fees to the Advisor. 1 $99 after waiver 2 $662 after recoupment of fees previously waived 3 $141 after waiver Administrative Services—All Portfolios State Street Bank and Trust Company (“State Street”), 1 Lincoln Street, Boston, MA 02111, serves as the accounting and administration services, dividend disbursing and transfer agent for all of the Portfolios, Underlying Funds and Master Funds. The services provided by State Street are subject to supervision by the executive officers and the Boards of Directors of the Funds, and include day-to-day keeping and maintenance of certain records, calculation of the offering price of the shares, preparation of reports, liaison with its custodians, and transfer and dividend disbursing agency services. For the administrative and accounting services provided by State Street, the non-Feeder Portfolios (except the Global Small Company Portfolio, International Small Company Portfolio, World ex U.S. Value Portfolio, World Core Equity Portfolio and Selectively Hedged Global Equity Portfolio, and, with respect to their investments in their Underlying Funds, the Global Small Company Portfolio and DFA Global Real Estate Securities Portfolio), the Feeder Portfolios’ Master Funds and the Underlying Funds pay State Street annual fees that are calculated daily and paid monthly according to a fee schedule based on the applicable aggregate average net assets of the Fund Complex, which includes four registered investment companies. The fee schedule is set forth in the table below: .0063% of the Fund Complex’s first $150 billion of average net assets; .0051% of the Fund Complex’s next $50 billion of average net assets; and .0025% of the Fund Complex’s average net assets in excess of $200 billion. The fees charged to a non-Feeder Portfolio, a Master Fund or an Underlying Fund under the fee schedule are allocated to each such non-Feeder Portfolio, Master Fund or Underlying Fund based on the non-Feeder Portfolio’s, Master Fund’s or Underlying Fund’s pro-rata portion of the aggregate average net assets of the Fund Complex. 35 The Portfolios also pay separate fees to State Street with respect to the services State Street provides as transfer agent and dividend disbursing agent. Custodians Citibank, N.A., 111 Wall Street, New York, NY, 10005, serves as the custodian for the following Portfolios and Master Funds: Enhanced U.S. Large Company Portfolio (co-custodian with State Street Bank and Trust Company), Large Cap International Portfolio, The DFA International Value Series, Global Small Company Portfolio, The Japanese Small Company Series, The Asia Pacific Small Company Series, The United Kingdom Small Company Series, The Continental Small Company Series, The Canadian Small Company Series, DFA International Small Cap Value Portfolio, International Core Equity Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, International Vector Equity Portfolio, World ex U.S. Value Portfolio, World ex U.S. Targeted Value Portfolio, World ex U.S. Core Equity Portfolio, Selectively Hedged Global Equity Portfolio, The Emerging Markets Series, The Emerging Markets Small Cap Series, Emerging Markets Core Equity Portfolio and Dimensional Emerging Markets Value Fund. State Street Bank and Trust Company, 1 Lincoln Street, Boston, MA 02111, serves as the custodian for International Small Company Portfolio, World Core Equity Portfolio, the Domestic Equity non-Feeder Portfolios, the Feeder Portfolios and the U.S. Large Cap Value Series. Each custodian maintains a separate account or accounts for a Portfolio; receives, holds, and releases portfolio securities on account of the Portfolio; makes receipts and disbursements of money on behalf of the Portfolio; and collects and receives income and oth er payments and distributions on account of the Por tfolio’s portfolio securities. Distributor Each Fund’s shares are distributed by DFA Securities LLC (formerly, DFA Securities Inc.) (“DFAS”), a wholly-owned subsidiary of the Advisor. DFAS is registered as a limited purpose broker-dealer under the Securities Exchange Act of 1934 and is a member of the Financial Industry Regulatory Authority. The principal business address of DFAS is 6300 Bee Cave Road, Austin, Texas 78746. DFAS acts as an agent of the Funds by serving as the principal underwriter of the Funds’ shares. Pursuant to each Fund’s Distribution Agreement, DFAS uses its best efforts to seek or arrange for the sale of shares of the Fund, which are continuously offered. No sales charges are paid by investors or the Funds. No compensation is paid by the Funds to DFAS under the Distribution Agreements. Legal Counsel Stradley Ronon Stevens & Young, LLP serves as legal counsel to the Funds. Its address is 2600 One Commerce Square, Philadelphia, PA 19103-7098. Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP (“PwC”) is the independent registered public accounting firm to the Funds and audits the annual financial statements of the Funds. PwC’s address is Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA 19103-7042. Investment Management Dimensional Fund Advisors LP, located at 6300 Bee Cave Road, Building One, Austin, TX 78746, serves as investment advisor to the Portfolios and the Master Funds. Pursuant to an Investment Management Agreement with each Portfolio and Master Fund, the Advisor is responsible for the management of their respective assets. With respect to an Investment Management Agreement with each Feeder Portfolio, the Advisor manages the portion of each Feeder Portfolio’s assets that are retained by the Feeder Portfolio for direct investment and, at its discretion, 36 may make a determination to withdraw a Feeder Portfolio’s investment from its corresponding Master Fund to invest in another Master Fund or manage all the Feeder Portfolio’s assets directly if the Advisor believes it is in the best interests of the Feeder Portfolio and its shareholders to do so. Pursuant to Sub Advisory Agreements with the Advisor, DFA Australia Limited (“DFA Australia”), Level 43 Gateway, 1 Macquarie Place, Sydney, New South Wales 2000, Australia, has the authority and responsibility to select brokers and dealers to execute securities transactions for the Global Small Company Portfolio, Japanese Small Company Series, Asia Pacific Small Company Series, International Core Equity Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, International Vector Equity Portfolio, the Large Cap International Portfolio, the International Value Series, the DFA International Small Cap Value Portfolio, the World ex U.S. Value Portfolio, the World ex U.S. Targeted Value Portfolio, the World ex U.S. Core Equity Portfolio, the World Core Equity Portfolio, the Selectively Hedged Global Equity Portfolio, the Emerging Markets Series, the Emerging Markets Small Cap Series, the Emerging Markets Core Equity Portfolio and the Dimensional Emerging Markets Value Fund (each a “DFA Australia Sub-Advised Fund”). DFA Australia’s duties include the maintenance of a trading desk for each DFA Australia Sub-Advised Fund and the determination of the best and most efficient means of executing securities transaction s. On at least a semi-annual basis, the Advisor reviews the holdings of each DFA Australia Sub-Advised Fund, an d reviews the trading process and the execution of securities transactions. The Advisor is responsible for determining those securities which are eligible for purch ase and sale by a DFA Australia Sub-Advised Fund and may delegate this task, subject to its own review, to DFA Australia. DFA Australia maintains and furnishes to the Advisor in formation and reports on securities of international companies, including its recommendations of securities to be added to the securities that are eligible for purchase by a DFA Australia Sub-Advised Fund as well as making recommendations and elections on corporate actions. In rendering investment management services to the Advisor with respect to each DFA Australia Sub-Advised Fund, DFA Australia expects to use the resources of certain participating affiliates of DFA Australia. Such participating affiliates are providing such services to DFA Australia pursuant to conditions provided in no-action r elief granted by the staff of the SEC allowing registered investment advisers to use portfolio management, research and trading resources of advisory affiliates subject to the supervision of a registered adviser. Pursuant to Sub-Advisory Agreements with the Advisor, Dimensional Fund Advisors Ltd. (“ DFAL”), 20 Triton Street, Regent’s Place, London, NW13BF, United Kingdom, a company that is organized under the laws of England, has the authority and responsibility to select brokers or dealers to execute securities transactions for the Global Small Company Portfolio, United Kingdom Small Company Series, Continental Small Company Series, International Core Equity Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, International Vector Equity Portfolio, the Large Cap International Portfolio, the International Value Series, the DFA International Small Cap Value Portfolio, the World ex U.S. Value Portfolio, the World ex U.S. Targeted Value Portfolio, the World ex U.S. Core Equity Portfolio, the World Core Equity Portfolio, the Selectively Hedged Global Equity Portfolio, the Emerging Markets Series, the Emerging Markets Small Cap Series, the Emerging Markets Core Equity Portfolio and the Dimensional Emerging Markets Value Fund (each a “DFAL Sub-Advised Fund”). DFAL’s duties include the maintenance of a trading desk for each DFAL Sub-Advised Fund and the determination of the best and most efficient means of executing securities transactions. On at least a semi- annual basis, the Advisor reviews the holdings of each DFAL Sub-Advised Fund and reviews the trading process and the execution of securities transactions. The Advisor is responsible for determining those securities which are eligible for purchase and sale by each DFAL Sub-Advised Fund and may delegate this task, subject to its own review, to DFAL. DFAL maintains and furnishes to th e Advisor information and reports on securities of United Kingdom and European equity market companies, including its recommendations of securities to be added to the securities that are eligible for purchase by each DFAL Sub-Advised Fund as well as making recommendations and elections on corporate actions. DFAL is a member of the Financial Conduct Authority, a self-regulatory organization for investment managers operating under the laws of England. The Advisor or its affiliates may provide certain n on-advisory services (such as data collection or other consulting services) to broker-dealers or investmen t advisers that may be involved in the distribution of the Portfolios or other mutual funds advised by the Advisor (“DFA Advised Funds”) or who may recommend the purchase of such DFA Advised Funds for their clients. The Advisor or its affiliates also may provide h istorical market analysis, risk/return analysis, and continuing education to investment advisers (some of whom may be dual registered investment advisers/broker-dealers) as well as educational speakers and facilities for investment adviser conferences. The Advisor or its affiliates may pay a fee to attend, speak at or assist in sponsoring such conferences 37 or pay travel accommodations of certain participants attending an investment adviser sponsored conference. Sponsorship of investment adviser and/or broker-dealer events by the Advisor may include direct paymen ts to vendors or reimbursement of expenses incurred by in vestment advisers and/or broker-dealers in connection with hosting educational, training, customer appreciation, or other events for broker-dealers and/or investment advisers or their customers. Dimensional personnel may or may n ot be present at such events. At the request of a client or potential client, the Advisor or its affiliates may also refer such client to one or more such investment advisers. Any such services or arrangements may give such broker-dealers and investment advisers an incentive to recommend DFA Advised Funds to their clients in order to receive such non-advisory services from the Advisor or its affiliates. However, the provision of these services by the Advisor or its affiliates is not dependent on the amount of DFA Advised Funds sold or recommended by such broker-dealers or investment advisers. ADVISORY FEES David G. Booth, as a director and officer of the Advisor and shareholder of the Advisor’s general partner, and Rex A. Sinquefield, as a shareholder of the Advisor’s general partner, acting together, could be deemed controlling persons of the Advisor. Mr. Booth also serves as Director and officer of the Funds. For the services it provides as investment advisor to each Portfolio (and, with respect to each Feeder Portfolio, its corr esponding Master Fund), the Advisor is paid a monthly fee calculated as a percentage of average net assets of th e Portfolio (and, with respect to each Feeder Portfolio, its corresponding Master Fund). Prior to July 21, 2015, the Advisor was paid no fee for the services it provided as investment adviser to each Feeder Portfolio. Each class of each Portfolio pays its proportionate share of the fees paid by th e Portfolio to the Advisor based on the average net assets of the classes. For the fiscal years ended October 31, 2016, October 31, 2015 and October 31, 2014, the Portfolios (including the Feeder Portfolios effective July 21, 2015) and Master Funds paid investment advisory fees (to the Advisor and any sub-advisor) as set forth in the following table (the dollar amount is shown prior to any fee waivers or recoupments by the Advisor): FISCAL YEAR ENDED 2016 (000) FISCAL YEAR ENDED 2015 (000) FISCAL YEAR ENDED 2014 (000) U.S. Large Company Portfolio(a)* ........................................... $ 3,6431 $ 3,41318 $ 2,601 Enhanced U.S. Large Company Portfolio* ................................ $ 418 $ 424 $ 310 U.S. Large Cap Equity Portfolio (b) .......................................... $ 1,1352 $ 78419 $ 29736 U.S. Large Cap Value Portfolio** (c) ....................................... $ 60,0323 $ 29,61720 $ 16,749 U.S. Targeted Value Portfolio*(d) ............................................ $ 26,301 $ 22,368 $ 13,598 U.S. Small Cap Value Portfolio* ............................................. $ 60,645 $ 59,499 $ 43,704 U.S. Core Equity 1 Portfolio (e) ................................................ $ 23,598 $ 20,824 $ 15,551 U.S. Core Equity 2 Portfolio (e) ................................................ $ 31,418 $ 28,377 $ 22,906 U.S. Vector Equity Portfolio (e)................................................ $ 10,982 $ 10,933 $ 9,637 U.S. Small Cap Portfolio* ........................................................ $ 40,791 $ 35,759 $ 21,132 U.S. Micro Cap Portfolio* ........................................................ $ 24,790 $ 25,481 $ 17,925 DFA Real Estate Securities Portfolio (e) ................................... $ 11,9504 $ 11,59721 $ 9,26337 Large Cap International Portfolio (f) ......................................... $ 8,053 $ 7,966 $ 7,471 DFA International Value Portfolio** (c) ................................... $ 44,0495 $ 26,61422 $ 18,658 International Core Equity Portfolio (g) ...................................... $ 53,516 $ 47,090 $ 39,037 International Small Company Portfolio (h) ................................ $ 38,540 $ 10,284 $ 7,962 Japanese Small Company Portfolio** (i) .................................. $ 4,9576 $ 3,20823 $ 2,353 Asia Pacific Small Company Portfolio** (i) .............................. $ 2,5057 $ 1,59924 $ 1,392 United Kingdom Small Company Portfolio** (i) ...................... $ 1,9888 $ 2,13225 $ 2,100 Continental Small Company Portfolio** (i) .............................. $ 5,4669 $ 3,71826 $ 3,415 DFA International Real Estate Securities Portfolio (e) ............... $ 9,646 $ 9,270 $ 8,947 DFA Global Real Estate Securities Portfolio (j) ........................ $ 9,07210 $ 8,21727 $ 6,95538 DFA International Small Cap Value Portfolio ........................... $ 80,458 $ 80,364 $ 77,966 38 FISCAL YEAR ENDED 2016 (000) FISCAL YEAR ENDED 2015 (000) FISCAL YEAR ENDED 2014 (000) International Vector Equity Portfolio (e) ................................... $ 7,682 $ 6,833 $ 5,621 World ex U.S. Value Portfolio (k)............................................. $ 79411 $ 60928 $ 55439 World ex U.S. Targeted Value Portfolio (l) ............................... $ 1,404 $ 1,18129 $ 81340 World ex U.S. Core Equity Portfolio (m) .................................. $ 5,66312 $ 3,14230 $ 93841 World Core Equity Portfolio (n) ............................................... $ 83413 $ 43031 $ 8142 Selectively Hedged Global Equity Portfolio (o)......................... $ 79914 $ 58332 $ 32943 Emerging Markets Portfolio** (p) ............................................ $ 26,73915 $ 10,27333 $ 3,968 Emerging Markets Value Portfolio** (c)................................... $ 89,15316 $ 38,45234 $ 19,212 Emerging Markets Small Cap Portfolio** (c) ............................ $ 42,16217 $ 19,09035 $ 8,929 Emerging Markets Core Equity Portfolio (g) ............................. $ 88,014 $ 86,533 $ 79,177 * For the fiscal year ended October 31, 2014, effective as of February 28, 2014, the fees set forth in the table above include the fees paid by the Portfolio to the Advisor for both investment advisory and administrative services pursuant to an Investment Management Agreement. ** Effective as of July 21, 2015, the fees set forth in the table above include the fees paid to the Advisor by both the Feeder Portfolio and its corresponding Master Fund for investment management services. 1 $3,568 after waiver 2 $1,163 after recoupment of fees previously waived 3 $43,780 after waiver 4 $11,389 after waiver 5 $30,963 after waiver 6 $4,511 after waiver 7 $2,281 after waiver 8 $1,948 after waiver 9 $5,162 after waiver 10 $2,893 after waiver 11 $409 after waiver 12 $5,629 after waiver 13 $40 after waiver 14 $8 after waiver 15 $22,296 after waiver 16 $74,318 after waiver 17 $32,264 after waiver 18 $2,935 after waiver 19 $809 after recoupment of fees previously waived 20 $25,291 after waiver 21 $10,842 after waiver 22 $22,788 after waiver 23 $3,079 after waiver 24 $1,543 after waiver 25 $2,121 after waiver 26 $3,703 after waiver 27 $1,210 after waiver 28 $328 after waiver 29 $342 after waiver 30 $2,724 after waiver 31 $1 after waiver 32 $75 after waiver 33 $9,070 after waiver 34 $34,212 after waiver 39 35 $16,370 after waiver 36 $268 after waiver 37 $8,867 after waiver 38 $1,062 after waiver 39 $330 after waiver 40 $145 after waiver 41 $0 after waiver 42 $0 after waiver 43 $14 after waiver (a) Pursuant to the Amended and Restated Fee Waiver Agreement for the U.S. Large Company Portfolio, the Advisor has contractually agreed to waive all or a portion of its management fee to the extent necessary to reduce the ordinary operating expenses (excluding expenses incurred through its investment in other in vestment companies) (“Portfolio Expenses”) of the U.S. Large Company Portfolio so that the Portfolio Expenses, on an annualized basis, do not exceed 0.08% of the average net assets of the U.S. Large Company Portfolio (the “Annualized Expense Ratio”). At any time that the annualized Portfolio Expenses of the Portfolio are less than the Annualized Expense Ratio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that the amount of such recovery will not cause the annualized Portfolio Expenses of the Portfolio to exceed the Annualized Expense Ratio. The Portfolio is not obligated to reimburse the Advisor for fees previously waived by the Advisor more than thirty-six months before the date of such reimbursement. The Amended and Restated Fee Waiver Agreement will remain in effect through February 28, 2018, and may only be terminated by th e Fund’s Board of Directors prior to that date. Th e Amended and Restated Fee Waiver Agreement shall con tinue in effect from year to year thereafter unless terminated by the Fund or the Advisor. For additional information concerning the Fee Waiver and/or Expense Assumption Agreements, see “Annual Fund Operating Expenses” in the Prospectus. (b) Pursuant to a Fee Waiver and Expense Assumption Agr eement (the “Fee Waiver Agreement”) for the U.S. Large Cap Equity Portfolio, the Advisor has agreed to waive all or a portion of its management fee and assume the ordinary operating expenses of a class of the Portfolio (excluding the expenses that the Portfolio incurs indirectly through its investment in other investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of a class of the Portfolio to 0.19% 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’s annualized Portfolio Expenses are less than the Por tfolio’s Expense Limitation Amount, described above, the Advisor retains the right to recover any fees previ ously waived and/or expenses previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses of a class of the Portfolio to exceed the Expense Limitation Amount. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. The Fee Waiver Agreement for the Portfolio will remain in effect through February 28, 2018, and may only be terminated by the Fund’s Board of Directors prior to that date. The Fee Waiver Agreement shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. (c) The Portfolio’s Master Fund has more than one Feeder Portfolio and/or direct investor; the dollar amount provided for the Master Fund represents the total dollar amount of management fees paid by the Master Fund to the Advisor. Effective July 21, 2015, pursuant to a Fee Waiver Agreement for each of the Portfolios listed below, the Advisor has contractually agreed to permanently waive all or a portion of the management fee of each Portfolio to the extent necessary to limit the total management fees paid to the Advisor by a Portfolio, including the proportionate share of the management fees a Portfolio pays indirectly through its investment in other funds managed by the Advisor, to the rate listed below as a percentage of the average net assets of a class of a Portfolio on an annualized basis. Portfolio Expense Limitation Amount U.S. Large Cap Value Portfolio 0.25% Emerging Markets Value Portfolio 0.50% Emerging Markets Small Cap Portfolio 0.65% The Fee Waiver Agreement will remain in effect permanently, unless terminated by the Fund. (d) Pursuant to the Amended and Restated Fee Waiver and/or Expense Assumption Agreement for the U.S. Targeted Value Portfolio, the Advisor has contractually agreed to waive its management fee and to assume the Portfolio’s Institutional Class Shares’ expenses (excluding the expenses the Portfolio incurs indirectly through 40 investment in other investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of the Portfolio’s Institutional Class Shares to 0.50% of the Portfolio’s average net assets of the Institutional Class Shares on an annualized basis (“Expense Limitation Amount”). At any time that the Portfolio Expenses of the Portfolio’s Institutional Class Shares 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 will not cause the annualized Portfolio Expenses to exceed the Expense Limitation Amount. The U.S. Targeted Value Portfolio is not obligated to reimburse the Advisor for fees previously waived by the Advisor more than thirty-six months before the date of such reimbursement. The Amended and Restated Fee Waiver and/or Expense Assumption Agreement will remain in effect through February 28, 2018, and may only be terminated by the Fund’s Board of Directors prior to that date. The Amended and Restated Fee Waiver and/or Expense Assumption Agreement shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. (e) Pursuant to the Amended and Restated Fee Waiver and/or Expense Assumption Agreement for each of these Portfolios, the Advisor has contractually agreed to waive all or a portion of its management fee and assume the ordinary operating expenses of a class of each Portfolio (excluding the expenses that the Portfolio in curs indirectly through its investment in other investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of a class of each Portfolio, on an annualized basis, to the rates listed below as a percentage of a class of the respective Portfolio’s average net assets (“Expense Limitation Amount”): Portfolio Expense Limitation Amount U.S. Core Equity 1 Portfolio 0.23% U.S. Core Equity 2 Portfolio 0.26% U.S. Vector Equity Portfolio 0.36% DFA Real Estate Securities Portfolio 0.18% DFA International Real Estate Securities Portfolio 0.29% International Vector Equity Portfolio 0.60% At any time that the Portfolio Expenses of a class of a Portfolio are less than the applicable Expense Limitation Amount for such class of shares of the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount. A Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. The Amended and Restated Fee Waiver and/or Expense Assumption Agreement described above will remain in effect through February 28, 2018, and may only be terminated by the Fund’s Boar d of Directors prior to that date. The Amended and Restated Fee Waiver and/or Expense Assumption Agreement shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. (f) Effective January 1, 2017, pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption Agreement for the Large Cap International Portfolio, the Advisor has contractually agreed to waive all or a portion of its management fee and assume the ordinary operating expenses of a class of the Portfolio (excluding the expenses that the Portfolio incurs indirectly through its investment in other investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of a class of the Portfolio, on an annualized basis, to 0.24% of the Portfolio’s average net assets (“Expense Limitation Amount”). At an y time that the Portfolio Expenses of a class of the 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 previousl y waived and/or expenses previously assumed to the extent th at such recovery will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by th e Advisor more than thirty-six months before the date of such reimbursement. The Amended and Restated Fee Waiver and/or Expense Assumption Agreement for the Portfolio will remain in effect through February 28, 2018, and may only be terminated by the Fund’s Board of Directors prior to that date. The Amended and Restated Fee Waiver and/or Expense Assumption Agreement shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. (g) Effective January 1, 2017, pursuant to the Amended and Restated Fee Waiver and/or Expense Assumption Agreement for each of these Portfolios, the Advisor has contractually agreed to waive all or a portion of its management fee and assume the ordinary operating expenses of a class of each Portfolio (excluding the expenses that the Portfolio incurs indirectly through its investment in other investment companies) (“Portfolio 41 Expenses”) to the extent necessary to limit the Por tfolio Expenses of a class of each Portfolio, on an annualized basis, to the rates listed below as a percentage of a class of the respective Portfolio’s average net assets (“Expense Limitation Amount”): Portfolio Expense Limitation Amount International Core Equity Portfolio 0.30% Emerging Markets Core Equity Portfolio 0.54% At any time that the Portfolio Expenses of a class of a Portfolio are less than the applicable Expense Limitation Amount for such class of shares of the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the Expense Limitation Amount. A Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. The Amended and Restated Fee Waiver and/or Expense Assumption Agreement described above will remain in effect through February 28, 2018, and may only be terminated by the Fund’s Boar d of Directors prior to that date. The Amended and Restated Fee Waiver and/or Expense Assumption Agreement shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. Prior to January 1, 2017, the Advisor had con tractually agreed to limit the Portfolio Expenses of a Portfolio, on an annualized basis, to the Expense Limitation Amount listed below. Portfolio Expense Limitation Amount International Core Equity Portfolio 0.49% Emerging Markets Core Equity Portfolio 0.85% (h) Each of the Underlying Funds in which the Portfolio invests its assets has more than one Portfolio that invests in such Underlying Fund (which are also included elsewhere in this table). The dollar amount represen ts the total dollar amount of management fees attributable to this Portfolio paid by each Underlying Fund to the Advisor. In addition, effective July 21, 2015, pursuant to the Amended and Restated Fee Waiver and/or Expense Assumption Agreement for the International Small Company Portfolio, 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 Por tfolio Expenses of a class of the Portfolio to 0.45% of the average net assets of a class of the Portfolio on an annualized basis (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of a class of the Portfolio are less than 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. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. The Amended and Restated Fee Waiver and/or Expense Assumption Agreement for the Portfolio will remain in effect through February 28, 2018, and may only be terminated by the Fund’s Board of Directors prior to that date. The Amended and Restated Fee Waiver and/or Expense Assumption Agreement shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. (i) The Portfolio’s Master Fund has more than one Feeder Portfolio and/or direct investor; the dollar amount provided for the Master Fund represents the total dollar amount of management fees paid by the Master Fund to the Advisor. Effective July 21, 2015, pursuant to an Amended and Restated Fee Waiver and/or Expense Assumption Agreement for the Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, United Kingdom Small Company Portfolio and Continental Small Company Portfolio, 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 indir ectly through its investment in other funds managed by the Advisor, to 0.50% of the average net assets of a class of a Portfolio on an annualized basis (the “Permanent Fee Waiver”). In addition to the Permanent Fee Waiver, the Advisor has contractually agreed to further waive all or a portion of the management fees of each Portfolio and to assume the other direct expenses of a class of each Portfolio (excluding expenses incurred through its investment in other investment companies managed by the Advisor) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of a class of each Portfolio to 0.47% of the average net assets of a class of the respective 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 42 the applicable Expense Limitation Amount for such class of shares of the Portfolio, the Advisor retain s 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, a Portfolio is not obligated to reimburse the Advisor for fees waived in connection with the Permanent Fee Waiver. Also, a Portfolio is not obligated to reimburse the Advisor for fees pr eviously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. The Permanent Fee Waiver will remain in effect permanently, unless terminated by the Fund. The remaining portion of the Amended and Restated Fee Waiver and/or Expense Assumption Agreement for each Portfolio will remain in effect through February 28, 2018, and may only be terminated by the Fund’s Board of Directors prior to that date. Such portion of the Amended and Restated Fee Waiver and/or Expense Assumption Agreement shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. (j) Pursuant to the Amended and Restated Fee Waiver an d/or Expense Assumption Agreement for the DFA Global Real Estate Securities Portfolio, 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 other funds managed by th e Advisor but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in The DFA Short Term Investment Fund and its investment in unaffiliated investment companies) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of a class of the Portfolio, on an annualized basis, to 0.24% of the average net assets of a class of the Portfolio (“Expense Limitation Amount”). At any time that the Portfolio Expen ses of a class of the Portfolio are less than the Expense Limitation Amount for such class of shares of the Por tfolio, the Advisor retains the right to recover any fees previ ously waived and/or expenses previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the applicable Expense Limitation Amount. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of such reimbursement. The Amended and Restated Fee Waiver and/or Expense Assumption Agreement will remain in effect through February 28, 2018, and may only be terminated by the Fund’s Board of Directors prior to that date. The Amended and Restated Fee Waiver and/or Expense Assumption Agreement shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. (k) Pursuant to the Amended and Restated Fee Waiver and/or Expense Assumption Agreement for the World ex U.S. Value Portfolio, the Advisor has contractually agreed to waive up to the full amount of the 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 other funds managed by the Advisor, except for the fees paid through its investment of securities lending cash collateral in The DFA Short Term Investment Fund (the “Underlying Funds”). In addition, under the Amended and Restated Fee Waiver and/or Expense Assumption 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 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 DFA Short Term Investment Fund) (“Portfolio Expenses”) so that such Portfolio Expenses do not exceed 0.60% of the Portfolio’s average net assets on an annualized basis (“Expense Limitation Amount”). The maximum amount that may be waived to limit Portfolio Expenses pursuant to this paragraph is the amount of the Remaining Management Fee. Further, 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, the Advisor retains the right to recover any Remaining Management Fees previously waived 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. The Portfolio is not obligated to reimburse the Advisor for fees previously waived by the Advisor more than thirty-six months before the date of such reimbursement. The Amended and Restated Fee Waiver and/or Expense Assumption Agreement will remain in effect through February 28, 2018, and may only be terminated by the Fund’s Board of Directors prior to that date. The Amended and Restated Fee Waiver and/or Expense Assumption Agreement shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. (l) Pursuant to a Fee Waiver and Expense Assumption Agreement (the “Fee Waiver Agreement”) for the World ex U.S. Targeted Value Portfolio, the Advisor has contractually agreed to waive up to the full amount of the 43 Portfolio’s management fee of 0.58% to the extent n ecessary to offset the proportionate share of the management fees paid by the Portfolio through its investment in other funds managed by the Advisor, except for the fees paid through its investment of securities lending cash collateral in The DFA Short Term Investment Fund (the “Underlying Funds”). In addition, under the Fee Waiver and Expense Assumption 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 DFA Short Term Investment Fund) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses of a class of the Portfolio to 0.80% of the average net assets of a class of the Portfolio on an annualized basis (the “Expen se 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, described above, the Advisor retains the right to r ecover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses of a class of the Portfolio to exceed the Expense Limitation Amount. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months befor e the date of such reimbursement. The Fee Waiver Agreemen t for the Portfolio will remain in effect through February 28, 2018, and may only be terminated by th e Fund’s Board of Directors prior to that date. The Fee Waiver and Expense Assumption Agreement shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. (m) Effective January 1, 2017, pursuant to a Fee Waiver and Expense Assumption Agreement (the “Fee Waiver Agreement”) for the World ex U.S. Core Equity Portfolio, the Advisor has contractually agreed to waive all or a portion of the management fee and to assume the expenses of a class of the Portfolio (including the expenses that the Portfolio bears as a shareholder of other funds managed by the Advisor but excluding the expenses that the Portfolio incurs indirectly through investment of its securities lending cash collateral in The DFA Short Term Investment Fund 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 0.39% of the average n et assets of a class of the Portfolio on an annualized basis (th e “Expense Limitation Amount”). At any time that th e 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 recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses of a class of the Portfolio to exceed the Expense Limitation Amount. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months befor e the date of such reimbursement. The Fee Waiver and Expense Assumption Agreement for the Portfolio will remain in effect through February 28, 2018, and may only be terminated by the Fund’s Board of Directors prior to that date. The Fee Waiver and Expense Assumption Agreement shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. Prior to January 1, 2017, the Expense Limitation Amount in the Fee Waiver Agreement was 0.47% of the average net assets of a class of the Portfolio on an annualized basis. (n) Effective June 27, 2014, pursuant to an Amended and Restated Fee Waiver and Expense Assumption Agreement (the “Fee Waiver Agreement”), 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 other funds managed by the Advisor, except for the fees paid through its investment of securities lending cash collateral in The DFA Short Term Investment Fund (the “Underlying Funds”) (including the Portfolio’s proportionate share of any management fees th at an 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 th e 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 DFA Short Term Investment Fund) (“Portfolio Expenses”) of a class of the Portfolio so that such Portfolio Expen ses do not exceed 0.35% of the average net assets of a class of the Portfolio on an annualized basis (the “Expense Limitation Amount”). At any time that the Portfolio Expenses of a class of the Portfolio are less than the Expense Limitation Amount for such class of shares of the Portfolio, the Advisor retains the right to recover any fees previously waived and/or expenses previously assumed to the extent that such recovery will not cause the annualized Portfolio Expenses for such class of shares of the Portfolio to exceed the applicable Expense Limitation Amount. The Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than 44 thirty-six months before the date of such reimbursement. The Fee Waiver Agreement for the Portfolio will remain in effect through February 28, 2018, and may only be terminated by the Fund’s Board of Director s prior to that date. The Fee Waiver Agreement shall contin ue in effect from year to year thereafter unless terminated by the Fund or the Advisor. Prior to June 27, 2014, the Expense Limitation Amount in the Fee Waiver Agreement was 0.40% of the average net assets of a class of the Portfolio on an annualized basis. (o) Pursuant to the Amended and Restated Fee Waiver an d/or Expense Assumption Agreement for the Selectively Hedged Global Equity Portfolio, the Advisor has con tractually agreed to waive up to the full amount of the 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 other funds managed by the Advisor, except for the fees paid through its investment of securities lending cash collateral in The DFA Short Term Investment Fund (the “Underlying Funds”). In addition, under the Amended and Restated Fee Waiver and/or Expense Assumption Agreement, the Advisor also has agreed to waive all or a portion of the management fee and to assume the 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 DFA Short Term Investment Fund) (“Portfolio Expenses”) to the extent necessary to limit the Portfolio Expenses, on an annualized basis, of a class of the Portfolio to 0.40% of the average net assets (“Expense Limitation Amount”). Further, 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. The Portfolio is not obligated to reimburse the Advisor for fees previously waived by the Advisor more than thirty-six months before the date of such reimbursement. The Amended and Restated Fee Waiver and/or Expense Assumption Agreement will remain in effect through February 28, 2018, and may only be terminated by the Fund’s Board of Directors prior to that date. The Amended and Restated Fee Waiver and/or Expense Assumption Agreement shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. (p) The Portfolio’s Master Fund has more than one Feeder Portfolio and/or direct investor; the dollar amount provided for the Master Fund represents the total dollar amount of management fees paid by the Master Fund to the Advisor. Effective February 28, 2017, pursuant to an Amended and Restated Fee Waiver and/or Expen se Assumption Agreement for the Emerging Markets Portfolio, 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 (the “Total Management Fees”), to 0.42% of the average net assets of a class of the Portfolio on an annualized basis (the “Permanent Fee Waiver”). From July 21, 2015 to December 31, 2016, the Advisor had 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 to 0.50% of the average net assets of a class of the Portfolio on an annualized basis. In addition to the Permanent Fee Waiver, effective January 1, 2017, the Advisor has contractually agreed to further waive all or a portion of the management fees of the Portfolio 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 a class of the Portfolio to 0.49% 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 applicable Expense Limitation Amount for such class of shares of the Portfolio, the Advisor retain s 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. Also, the Portfolio is not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months befor e the date of such reimbursement. The Permanent Fee Waiver will remain in effect permanently, unless terminated by the Fund. The remaining portion of the Amended and Restated Fee Waiver and/or Expense Assumption Agreement for the Portfolio will remain in effect through February 28, 2018, and may only be terminated by the Fund’s Board of Directors prior to that date. Such portion of the Amended and Restated Fee Waiver and/or Expense Assumption Agreement shall continue in effect from year to year thereafter unless terminated by the Fund or the Advisor. 45 PORTFOLIO MANAGERS In accordance with the team approach used to manage the Portfolios, Master Funds and the Underlying Funds, the portfolio managers and portfolio traders implement the policies and procedures established by the Investment Committee. The portfolio managers and portfolio traders also make daily investment decisions regarding the Portfolios, Master Funds and Underlying Funds based on the parameters established by the Investment Committee. The individuals named below are the portfolio managers that coordinate the efforts of all other portfolio managers or trading personnel with respect to the day-to-day management of the Portfolios indicated. U.S. Large Company Portfolio Joseph H. Chi, Jed S. Fogdall, Joe Hohn and Lukas J. Smart Enhanced U.S. Large Company Portfolio David A. Plecha and Joseph F. Kolerich U.S. Large Cap Equity Portfolio, U.S. Large Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Core Equity 2 Portfolio, U.S. Vector Equity Portfolio and DFA Real Estate Securities Portfolio Joseph H. Chi, Jed S. Fogdall and Lukas J. Smart U.S. Small Cap Value Portfolio, U.S. Targeted Value Portfolio, U.S. Small Cap Portfolio and U.S. Micro Cap Portfolio Joseph H. Chi, Jed S. Fogdall and Joel P. Schneider Large Cap International Portfolio and DFA International Value Portfolio Joseph H. Chi, Jed S. Fogdall, Mary T. Phillips and Bhanu P. Singh International Core Equity Portfolio, DFA International Real Estate Securities Portfolio, DFA Global Real Estate Securities Portfolio, International Vector Equity Portfolio, World ex U.S. Core Equity Portfolio and Emerging Markets Core Equity Portfolio Joseph H. Chi, Jed S. Fogdall, Mary T. Phillips, Allen Pu and Bhanu P. Singh Global Small Company Portfolio, World ex U.S. Value Portfolio and World Core Equity Portfolio Joseph H. Chi, Jed S. Fogdall, Mary T. Phillips and Allen Pu International Small Company Portfolio, Japanese Small Company Portfolio, Asia Pacific Small Company Portfolio, United Kingdom Small Company Portfolio, Continental Small Company Portfolio, DFA International Small Cap Value Portfolio and World ex U.S. Targeted Value Portfolio Joseph H. Chi, Jed S. Fogdall, Arun C. Keswani, Mary T. Phillips and Bhanu P. Singh Selectively Hedged Global Equity Portfolio Joseph H. Chi, Jed S. Fogdall, Joseph F. Kolerich, David A. Plecha, Allen Pu and Mary T. Phillips Emerging Markets Portfolio, Emerging Markets Value Portfolio and Emerging Markets Small Cap Portfolio Joseph H. Chi, Jed S. Fogdall, Daniel C. Ong, Mary T. Phillips and Bhanu P. Singh Other Managed Accounts In addition to the Portfolios (and with respect to the Feeder Portfolios, the Master Fund in which a Feeder Portfolio invests substantially all of its assets) and the Underlying Funds, each portfolio manager manages (i) other 46 U.S. registered investment companies advised or sub-advised by the Advisor, (ii) other pooled investment vehicles that are not U.S. registered mutual funds and (iii) other accounts managed for organizations and individuals. The following table sets forth information regarding th e total accounts for which each portfolio manager h as the primary responsibility for coordinating the day-to-day management responsibilities. Name of Portfolio Manager Number of Accounts Managed and Total Assets by Category As of October 31, 2016* Joseph H. Chi · 140 U.S. registered mutual funds with $291,328 million in total assets under management. · 58 unregistered pooled investment vehicles with $12,694 million in total assets under management, of which 1 account with $189 million in assets may be subject to a performance fee. · 89 other accounts with $27,630 million in total assets under management, of which 6 accounts with $2,619 million in assets may be subject to a performance fee. Jed S. Fogdall · 140 U.S. registered mutual funds with $291,328 million in total assets under management. · 58 unregistered pooled investment vehicles with $12,694 million in total assets under management, of which 1 account with $189 million in assets may be subject to a performance fee. · 89 other accounts with $27,630 million in total assets under management, of which 6 accounts with $2,619 million in assets may be subject to a performance fee. Arun C. Keswani · 19 U.S. registered mutual funds with $37,879 million in total assets under management. · 0 unregistered pooled investment vehicles. · 4 other accounts with $1,972 million in total assets under management, of which 2 accounts with $1,544 million in assets may be subject to a performance fee. Joseph F. Kolerich · 66 U.S. registered mutual funds with $91,256 million in total assets under management. · 37 unregistered pooled investment vehicles with $3,996 million in total assets under management. · 6 other accounts with $1,328 million in total assets under management. Daniel C. Ong · 11 U.S. registered mutual funds with $28,246 million in total assets under management. · 2 unregistered pooled investment vehicles with $283 million in total assets under management. · 12 other accounts with $6,065 million in total assets under management, of which 2 accounts with $719 million in assets may be subject to a performance fee. Mary T. Phillips · 16 U.S. registered mutual funds with $20,127 million in total assets under management. · 0 unregistered pooled investment vehicles. · 0 other accounts. David A. Plecha · 66 U.S. registered mutual funds with $91,256 million in total assets under management. · 37 unregistered pooled investment vehicles with $3,996 million in total assets under management. · 6 other accounts with $1,328 million in total assets under management. Allen Pu · 39 U.S. registered mutual funds with $55,326 million in total assets under management. · 21 unregistered pooled investment vehicles with $3,193 million in total assets under management. 47 Name of Portfolio Manager Number of Accounts Managed and Total Assets by Category As of October 31, 2016* · 28 other accounts with $3,400 million in total assets under management. Joel P. Schneider · 25 U.S. registered mutual funds with $44,506 million in total assets under management. · 3 unregistered pooled investment vehicles with $5,889 million in total assets under management, of which 1 account with $189 million in assets may be subject to a performance fee. · 18 other accounts with $4,425 million in total assets under management. Bhanu P. Singh · 70 U.S. registered mutual funds with $150,167 million in total assets under management. · 29 unregistered pooled investment vehicles with $2,638 million in total assets under management. · 55 other accounts with $16,045 million in total assets under management, of which 6 accounts with $2,619 million in assets may be subject to a performance fee. Lukas J. Smart · 22 U.S. registered mutual funds with $31,429 million in total assets under management. · 1 unregistered pooled investment vehicle with $76 million in total assets under management. · 8 other accounts with $6,422 million in total assets under management, of which 1 account with $22 million in assets may be subject to a performance fee. * Joe Hohn did not share primary responsibility in the oversight of day-to-day management of responsibilities for accounts as of October 31, 2016; as such, information regarding such accounts is not presented. Description of Compensation Structure Portfolio managers receive a base salary and bonus. Compensation of a portfolio manager is determined at the discretion of the Advisor and is based on a por tfolio manager’s experience, responsibilities, the perception of the quality of his or her work efforts and other subjective factors. The compensation of portfolio managers is not directly based upon the performance of the Portfolios or other accounts that the portfolio managers manage. The Advisor reviews the compensation of each portfolio manager annually and may make modifications in compensation as its Compensation Committee deems necessary to reflect changes in the market. Each portfolio manager’s compensation consists of the following: · Base salary. Each portfolio manager is paid a base salary. The Advisor considers the factors described above to determine each portfolio manager’s base salary. · Semi-Annual Bonus. Each portfolio manager may receive a semi-annual bonus. The amount of the bonus paid to each portfolio manager is based upon the factors described above. Portfolio managers may be awarded the right to purchase restricted shares of the stock of the Advisor, as determined from time to time by the Board of Directors of the Advisor or its delegates. Portfolio man agers also participate in benefit and retirement plans and oth er programs available generally to all employees. In addition, portfolio managers may be given the option of participating in the Advisor’s Long Term Incentive Plan. The level of participation for eligible employees may be dependent on overall level of compensation, among other considerations. Participation in this program is not based on or related to the performance of any individual strategies or any particular client accounts. 48 Potential Conflicts of Interest Actual or apparent conflicts of interest may arise when a portfolio manager has the primary day-to-day responsibilities with respect to more than one Portfolio/Master Fund/Underlying Fund and other accounts. Other accounts include registered mutual funds (other than the Portfolios, Master Funds and Underlying Funds), other unregistered pooled investment vehicles, and other accounts managed for organizations and individuals (“Accounts”). An Account may have similar investment objectives to a Portfolio/Master Fund/Underlying Fund, or may purchase, sell or hold securities that are eligible to be purchased, sold or held by a Portfolio/Master Fund/Underlying Fund. Actual or apparent conflicts of interest include: · Time Management. The management of multiple Portfolios/Master Funds/Underlying Funds and/or Accounts may result in a portfolio manager devoting unequal time and attention to the management of each Portfolio/Master Fund/Underlying Fund and/or Accounts. The Advisor seeks to manage such competing interests for the time and attention of p ortfolio managers by having portfolio managers focus on a particular investment discipline. Most Accounts managed by a portfolio manager are managed using the same investment approaches that are used in connection with the management of the Portfolios/Master Funds/Underlying Funds. · Investment Opportunities. It is possible that at times identical securities will be held by more than one Portfolio/Master Fund/Underlying Fund and/or Accoun t. However, positions in the same security may vary and the length of time that any Portfolio/Master Fund/Underlying Fund or Account may choose to hold its investment in the same security may likewise vary. If a portfolio manager identifies a limited investment opportunity that may be suitable for more than one Portfolio/Master Fund/Underlying Fund or Account, a Portfolio/Master Fund/Underlying Fund may not be able to take full advantage of that opportunity due to an allocation of filled purchase or sale orders across all eligible Portfolios/Master Funds/Underlying Funds and Accounts. To deal with these situations, the Advisor has adopted procedures for allocating portfolio transactions across multiple Portfolios/Master Funds/Underlying Funds and Accounts. · Broker Selection. With respect to securities transactions for the Portfolios/Master Funds/Underlying Funds, the Advisor determines which broker to use to execute each order, consistent with its duty to seek best execution of the transaction. However, with respect to certain Accounts (such as separate accounts), the Advisor may be limited by the client with respect to the selection of brokers or may be instructed to direct trades through a particular br oker. In these cases, the Advisor or its affiliates may place separate, non-simultaneous, transactions for a Portfolio/Master Fund/Underlying Fund and another Account that may temporarily affect the mar ket price of the security or the execution of the transaction, or both, to the detriment of the Portfolio/Master Fund/Underlying Fund or the Account. · Performance-Based Fees. For some Accounts, the Advisor may be compensated based on the profitability of the Account, such as by a performance-based management fee. These incentive compensation structures may create a conflict of in terest for the Advisor with regard to Accounts where the Advisor is paid based on a percentage of assets because the portfolio manager may have an incentive to allocate securities preferentially to the Accounts where the Advisor might share in investment gains. · Investment in an Account. A portfolio manager or h is/her relatives may invest in an Account that he or she manages and a conflict may arise where he or she may therefore have an incentive to treat the Account in which the portfolio manager or his/her r elatives invest preferentially as compared to other Accounts for which he or she has portfolio management responsibilities. The Advisor and the Funds have adopted certain compliance procedures that are reasonably designed to address these types of conflicts. However, there is no guarantee that such procedures will detect each and every situation in which a conflict arises. 49 Investments in Each Portfolio Information relating to each portfolio manager’s ownership (including the ownership of his or her immediate family) in the Portfolios contained in th is SAI that he or she manages as of October 31, 2016 is set forth in the chart below. Portfolio Portfolio Manager(s) Dollar Range of Portfolio Shares Owned U.S. Large Company Portfolio Joseph H. Chi Jed S. Fogdall Joe Hohn Lukas J. Smart $0 - $10,000 None None None Enhanced U.S. Large Company Portfolio Joseph F. Kolerich David A. Plecha None None U.S. Large Cap Equity Portfolio Joseph H. Chi Jed S. Fogdall Lukas J. Smart None None None U.S. Large Cap Value Por tfolio Joseph H. Chi1 Jed S. Fogdall Lukas J. Smart2 None None None U.S. Small Cap Value Portfolio Joseph H. Chi Jed S. Fogdall Joel P. Schneider $0 - $10,000 None $0 - $10,000 U.S. Targeted Value Portfolio Joseph H. Chi Jed S. Fogdall Joel P. Schneider $0 - $10,000 None $0 - $10,000 U.S. Core Equity 1 Portfolio Joseph H. Chi Jed S. Fogdall Lukas J. Smart $100,001 - $500,000 $100,001 - $500,000 $50,001 - $100,000 U.S. Core Equity 2 Portfolio Joseph H. Chi Jed S. Fogdall Lukas J. Smart $100,001 - $500,000 None $50,001 - $100,000 U.S. Vector Equity Portfolio Joseph H. Chi Jed S. Fogdall Lukas J. Smart $0 - $10,000 None None U.S. Small Cap Portfolio Joseph H. Chi Jed S. Fogdall Joel P. Schneider $0 - $10,000 None $0 - $10,000 U.S. Micro Cap Portfolio Joseph H. Chi Jed S. Fogdall Joel P. Schneider $0 - $10,000 None $0 - $10,000 DFA Real Estate Securities Portfolio Joseph H. Chi Jed S. Fogdall Lukas J. Smart $10,001 - $50,000 None None Large Cap International Portfolio Joseph H. Chi Jed S. Fogdall Mary T. Phillips Bhanu P. Singh $0 - $10,000 None $0 - $10,000 None DFA International Value Portfolio Joseph H. Chi1 Jed S. Fogdall Mary T. Phillips3 Bhanu P. Singh4 None None None None International Core Equity Portfolio Joseph H. Chi Jed S. Fogdall Mary T. Phillips $50,001 - $100,000 None None 50 Portfolio Portfolio Manager(s) Dollar Range of Portfolio Shares Owned Allen Pu Bhanu P. Singh $0 – $10,000 None Global Small Company Portfolio Joseph H. Chi Jed S. Fogdall Mary T. Phillips Allen Pu None* None* None* None* International Small Company Portfolio Joseph H. Chi Jed S. Fogdall Arun C. Keswani Mary T. Phillips Bhanu P. Singh $0 - $10,000 None $0 - $10,000 None $0 - $10,000 Japanese Small Company Portfolio Joseph H. Chi Jed S. Fogdall Arun C. Keswani Bhanu P. Singh None None None None Asia Pacific Small Company Portfolio Joseph H. Chi Jed S. Fogdall Arun C. Keswani Mary T. Phillips Bhanu P. Singh None None None None None United Kingdom Small Company Portfolio Joseph H. Chi Jed S. Fogdall Arun C. Keswani Mary T. Phillips Bhanu P. Singh None None None None None Continental Small Company Portfolio Joseph H. Chi Jed S. Fogdall Arun C. Keswani Mary T. Phillips Bhanu P. Singh None None None None None DFA International Real Estate Securities Portfolio Joseph H. Chi Jed S. Fogdall Mary T. Phillips Allen Pu Bhanu P. Singh $10,001 - $50,000 None $0 - $10,000 $0 – $10,000 None DFA Global Real Estate Securities Portfolio Joseph H. Chi Jed S. Fogdall Mary T. Phillips Allen Pu Bhanu P. Singh None $0 - $10,000 None None None DFA International Small Cap Value Portfolio Joseph H. Chi Jed S. Fogdall Arun C. Keswani Mary T. Phillips Bhanu P. Singh $0 – $10,000 None $10,001 - $50,000 $10,001 - $50,000 $0 - $10,000 International Vector Equity Portfolio Joseph H. Chi Jed S. Fogdall Mary T. Phillips Allen Pu Bhanu P. Singh None None None None None World ex U.S. Value Portfolio Joseph H. Chi Jed S. Fogdall Mary T. Phillips None None None 51 Portfolio Portfolio Manager(s) Dollar Range of Portfolio Shares Owned Allen Pu None World ex U.S. Targeted Value Portfolio Joseph H. Chi Jed S. Fogdall Arun C. Keswani Mary T. Phillips Bhanu P. Singh None None None None None Wor ld ex U.S. Core Equity Portfolio Joseph H. Chi Jed S. Fogdall Mary T. Phillips Allen Pu Bhanu P. Singh $0 - $10,000 $100,001 - $500,000 None $0 – $10,000 None World Core Equity Portfolio Joseph H. Chi Jed S. Fogdall Mary T. Phillips Allen Pu None $100,001 - $500,000 None None Selectively Hedged Global Equity Portfolio Joseph H. Chi Jed S. Fogdall Joseph F. Kolerich Mary T. Phillips David A. Plecha Allen Pu $100,001 - $500,000 $10,001 - $50,000 None None None None Emerging Markets Portfolio Joseph H. Chi Jed S. Fogdall Daniel C. Ong Mary T. Phillips Bhanu P. Singh $0 – $10,000 None $0 – $10,000 None None Emerging Markets Value Portfolio Joseph H. Chi Jed S. Fogdall Daniel C. Ong Mary T. Phillips Bhanu P. Singh $0 – $10,000 None $50,001 - $100,000 $10,001 - $50,000 $0 – $10,000 Emerging Markets Small Cap Portfolio Joseph H. Chi Jed S. Fogdall Daniel C. Ong Mary T. Phillips Bhanu P. Singh $10,001 - $50,000 None $0 – $10,000 None $0 – $10,000 Emerging Markets Core Equity Portfolio Joseph H. Chi Jed S. Fogdall Mary T. Phillips Allen Pu Bhanu P. Singh $50,001 - $100,000 $50,001 - $100,000 None $0 – $10,000 None * Because the Global Small Company Portfolio had n ot commenced operations prior to the end of the most recently completed fiscal year, the portfolio manager did not own any shares of the Portfolio. 1 Joseph H. Chi does not invest in this Portfolio, but invests in another feeder portfolio (ownership range of $0 - $10,000) that invests substantially all of its assets in the same Master Fund as the Portfolio. 2 Lukas J. Smart does not invest in this Portfolio, but invests in another feeder portfolio (ownership range of $50,001 - $100,000) that invests substantially all of its assets in the same Master Fund as the Portfolio. 3 Mary T. Phillips does not invest in this Portfolio, but invests in another feeder portfolio (ownership range of $50,001 - $100,000) that invests substantially all of its assets in the same Master Fund as the Portfolio. 4 Bhanu P. Singh does not invest in this Portfolio, but invests in another feeder portfolio (ownership range of $0 - $10,000) that invests substantially all of its assets in the same Master Fund as the Portfolio. 52 GENERAL INFORMATION DFAIDG was incorporated under Maryland law on June 15, 1981. Until June 1983, DFAIDG was named DFA Small Company Fund Inc. Until September 1995, Asia Pacific Small Company Portfolio was named Asia- Australia Small Company Portfolio; U.S. Large Cap Value Portfolio was named U.S. Large Cap High Book to Market Portfolio; U.S. Small Cap Value Portfolio was named U.S. Small Cap High Book to Market Portfolio; U.S. Micro Cap Portfolio was named The Small Company Shares; and Continental Small Company Portfolio was named The Continental European Portfolio. From September 1995 until December 1996, The DFA Real Estate Securities Portfolio was named DFA/AEW Real Estate Securities Portfolio. Until September 1995, the U.S. Small Cap Value Portfolio was named The U.S. Small Cap High Book to Market Portfolio. From September 1995 until August 1997, the U.S. Small Cap Value Portfolio was named the U.S. Small Cap Value Portfolio. From August 1997 to April 1, 2001, the U.S. Small Cap Value Portfolio was known as the U.S. 6-10 Value Portfolio. From September 1995 until April 1, 2001, the U.S. Micro Cap Portfolio was named the U.S. 9-10 Small Company Portfolio. From Apr il 1, 2001 to December 12, 2006, the U.S. Targeted Value Portfolio was known as the U.S. Small XM Value Portfolio. Prior to April 1, 2001, the U.S. Targeted Value Por tfolio, the U.S. Small Cap Value Portfolio, the U.S. Small Cap Portfolio and the U.S. Micro Cap Portfolio were known as the U.S. 4-10 Value Portfolio, the U.S. 6-10 Value Portfolio, the U.S. 6-10 Small Company Portfolio an d the U.S. 9-10 Small Company Portfolio, respectively. Similarly, the Master Funds in which these four Portfolios invested – The U.S. Targeted Value Series, The U.S. Small Cap Value Series, The U.S. Small Cap Series and The U.S. Micro Cap Series – were, prior to April 1, 2001, known as The U.S. 4-10 Value Series, The U.S. 6-10 Value Series, The U.S. 6-10 Small Company Series and the U.S. 9-10 Small Company Series, respectively. Effective as of March 30, 2007, the U.S. Targeted Value Portfolio was no longer a feeder portfolio and now holds the portfolio securities previously held by The U.S. Targeted Value Series, the Master Fund in which the U.S. Targeted Value Portfolio invested. Effective February 28, 2009, the Enhanced U.S. Large Company Portfolio was no longer a feeder portfolio and now holds the portfolio securities previously held by The Enhanced U.S. Large Company Series, the Master Fund in which the Enhanced U.S. Large Company Portfolio invested. Effective as of February 28, 2009, the U.S. Small Cap Value Portfolio was no longer a feeder portfolio and now holds the portfolio securities previously held by The U.S. Small Cap Value Series, the Master Fund in which the U.S. Small Cap Value Portfolio invested. Effective as of February 28, 2009, the U.S. Small Cap Portfolio was no longer a feeder portfolio and now holds the portfolio securities previously held by The U.S. Small Cap Series, the Master Fund in which the U.S. Small Cap Portfolio invested. Effective as of February 28, 2009, the U.S. Micro Cap Portfolio was no longer a feeder portfolio and now holds the portfolio securities previously held by The U.S. Micro Cap Series, the Master Fund in which the U.S. Micro Cap Portfolio invested. From September 1995 until September 13, 2005, the Asia Pacific Small Company Portfolio was known as the Pacific Rim Small Company Portfolio. From March 2012 until June 2014, the World Core Equity Portfolio was named the Dimensional Retirement Equity Fund II. DIG was incorporated under Maryland law on March 19, 1990. DIG was known as DFA U.S. Large Cap Inc. from February 1992, until it amended its Articles of Incorporation in April 1993, to change to its present name. Prior to the February 1992 amendment to the Articles of Incorporation, DIG was known as DFA U.S. Large Cap Portfolio Inc. Until May 8, 2010, U.S. Large Company Portfolio was named U.S. Large Company Institutional Index Portfolio. Effective as of September 10, 2010, the U.S. Large Company Portfolio was no longer a feeder portfolio and now holds the portfolio securities previously held by The U.S. Large Company Series, the Master Fund in which the U.S. Large Company Portfolio invested. The DFA Investment Trust Company was organized as a Delaware statutory trust (a form of entity formerly known as a business trust) on October 27, 1992. The Trust offers shares of its Master Funds only to institutional investors in private offerings. Dimensional Emerging Markets Value Fund (“DEM”) was incorporated under Maryland law on January 9, 1991 and was reorganized as a Delaware statutory trust effective October 30, 2009. DEM offers its shares only to institutional investors in private offerings. On November 21, 1997, the shareholders of DEM approved its conversion from a closed-end management investment company to an open-end management investment company. CODE OF ETHICS The Funds, the Trust, Dimensional Emerging Markets Value Fund, the Advisor, DFA Australia Limited, Dimensional Fund Advisors Ltd. and DFAS have adopted a revised Code of Ethics, under Rule 17j-1 of the 1940 53 Act, for certain access persons of the Portfolios, Master Funds and Underlying Funds. The Code of Eth ics is designed to ensure that access persons act in the interest of the Portfolios, Master Funds and Underlying Funds, and their shareholders with respect to any personal trading of securities. Under the Code of Ethics, access persons are generally prohibited from knowingly buying or selling securities (except for mutual funds, U.S. govern ment securities and money market instruments) which are being purchased, sold or considered for purchase or sale by a Portfolio, Master Fund or Underlying Fund unless th eir proposed purchases are approved in advance. Th e Code of Ethics also contains certain reporting requirements and securities trading clearance procedures. SHAREHOLDER RIGHTS The shares of each Portfolio, when issued and paid for in accordance with the Portfolio’s Prospectus, will be fully paid and non-assessable shares. Each shar e of common stock of a class of a Portfolio represents an equal proportional interest in the assets and liabilities of the Portfolio and has identical, non-cumulative voting, dividend, redemption liquidation, and other rights and prefer ences as each other class of the Portfolio, except that on a matter affecting a single class only shares of that class of the Portfolio are permitted to vote on the matter. With respect to matters which require shareholder approval, shareholders are entitled to vote only with respect to matters which affect the interest of the Portfolio or class of shares of the Portfolio which they hold, except as otherwise required by applicable law. If liquidation of a Fund should occur, the Fund’s shareholders would be entitled to receive on a per class basis the assets of the particular Portfolio whose shares they own, as well as a proportionate share of Fund assets not attributable to any particular class. Ordinarily, the Funds do not intend to hold annual meetings of shareholders, except as required by the 1940 Act or other applicable law. Each Fund’s bylaws provide that special meetings of shareholder s shall be called at the written request of shareholders entitled to cast not less than a majority of the votes entitled to be cast at such meeting. Such meeting may be called to consider any matter, including the removal of one or more directors. Shareholders will receive shareholder communications with respect to such matters as required by the 1940 Act, including semi-annual and annual financial statements of the Funds, the latter being audited. Whenever a Feeder Portfolio, as an investor in its corresponding Master Fund, is asked to vote on a shareholder proposal, the relevant Fund will solicit voting instructions from the Feeder Portfolio’s shareholders with respect to the proposal. The Directors of the Fund will then vote the Feeder Portfolio’s shares in th e Master Fund in accordance with the voting instructions received fr om the Feeder Portfolio’s shareholders. The Directors of the Fund will vote shares of the Feeder Portfolio for which they receive no voting instructions in accordance with their best judgment. With regard to a Master Fund or Underlying Fund of the Trust organized as a partnership for federal tax purposes, if a majority shareholder of the Master Fund or Underlying Fund declares bankruptcy, a majority in interest of the remaining shareholders in the Master Fund or Underlying Fund must vote to approve the continuing existence of the Master Fund or Underlying Fund or the Master Fund or Underlying Fund will be liquidated. Shareholder inquiries may be made by writing or calling a Fund at the address or telephone number appearing on the cover of this SAI. Only those individuals whose signatures are on file for the account in question may receive specific account information or make changes in the account registration. PRINCIPAL HOLDERS OF SECURITIES As of January 31, 2017, the following persons beneficially owned 5% or more of the outstanding shares of the Portfolios, as set forth below: U.S. LARGE COMPANY PORTFOLIO Charles Schwab & Company, Inc.* 44.15% 101 Montgomery Street San Francisco, CA 94104 National Financial Services LLC* 13.02% 200 Liberty Street 54 One World Financial Center New York, NY 10281 TD Ameritrade, Inc.* 11.09% P.O. Box 2226 Omaha, NE 68103 The RBB Fund Inc. Free Market US Equity Fund 5.33% 5955 Deerfield Blvd. Mason, OH 45040 ENHANCED U.S. LARGE COMPANY PORTFOLIO Charles Schwab & Company, Inc.*1 36.72% TD Ameritrade, Inc.*1 19.47% National Financial Services LLC*1 13.32% US Central and Southern Province Society of Jesus 7.18% 4511 West Pine Blvd. St. Louis, MO 63108 U.S. LARGE CAP EQUITY PORTFOLIO National Financial Services LLC*1 38.39% Charles Schwab & Company, Inc.*1 32.14% TD Ameritrade, Inc.*1 21.46% U.S. LARGE CAP VALUE PORTFOLIO Charles Schwab & Company, Inc.*1 32.83% TD Ameritrade, Inc.*1 22.04% National Financial Services LLC*1 16.49% U.S. SMALL CAP VALUE PORTFOLIO Charles Schwab & Company, Inc.*1 32.25% National Financial Services LLC*1 13.58% TD Ameritrade, Inc.*1 12.09% U.S. TARGETED VALUE PORTFOLIO National Financial Services LLC*1 28.57% Charles Schwab & Company, Inc.*1 21.28% TD Ameritrade, Inc.*1 6.70% 55 U.S. CORE EQUITY 1 PORTFOLIO National Financial Services LLC*1 26.32% Charles Schwab & Company, Inc.*1 26.03% TD Ameritrade, Inc.*1 12.25% LPL* 6.17% 4707 Executive Drive San Diego, CA 92121 Pershing LLC 5.62% One Pershing Plaza P.O. Box 2052 Jersey City, NJ 07303 DFA Global Equity Portfolio 5.17% 6300 Bee Cave Road Building 1 Austin, TX 78746 U.S. CORE EQUITY 2 PORTFOLIO Charles Schwab & Company, Inc.*1 26.37% National Financial Services LLC*1 18.34% DFA Global Equity Portfolio1 14.05% TD Ameritrade, Inc.*1 13.55% LPL*1 7.62% DFA Global Allocation 60/40 Portfolio 5.32% 6300 Bee Cave Road Building 1 Austin, TX 78746 U.S. VECTOR EQUITY PORTFOLIO National Financial Services LLC*1 34.06% Charles Schwab & Company, Inc.*1 27.73% TD Ameritrade, Inc.*1 16.71% Trust Company of America* 7.86% P.O. Box 6503 Englewood, CO 80155 LPL*1 5.09% U.S. SMALL CAP PORTFOLIO National Financial Services LLC*1 26.72% 56 Charles Schwab & Company, Inc.*1 15.51% TD Ameritrade, Inc.*1 9.28% U.S. MICRO CAP PORTFOLIO Charles Schwab & Company, Inc.*1 34.58% TD Ameritrade, Inc.*1 17.32% National Financial Services LLC*1 15.43% The RBB Fund Inc. Free Market US Equity Fund1 6.62% DFA REAL ESTATE SECURITIES PORTFOLIO Charles Schwab & Company, Inc.*1 27.59% DFA Global Real Estate Securities Portfolio 21.28% 6300 Bee Cave Road Building 1 Austin, TX 78746 National Financial Services LLC*1 19.78% TD Ameritrade, Inc.*1 9.17% LARGE CAP INTERNATIONAL PORTFOLIO Charles Schwab & Company, Inc.*1 39.01% TD Ameritrade, Inc.*1 20.16% National Financial Services LLC*1 7.39% DFA INTERNATIONAL VALUE PORTFOLIO Charles Schwab & Company, Inc.*1 32.50% National Financial Services LLC*1 17.92% TD Ameritrade, Inc.*1 17.05% Edward D. Jones & Co.* 5.62% 12555 Manchester Road St. Louis, MO 63131 INTERNATIONAL CORE EQUITY PORTFOLIO Charles Schwab & Company, Inc.*1 33.44% National Financial Services LLC*1 19.77% TD Ameritrade, Inc.*1 12.55% 57 DFA Global Equity Portfolio1 6.70% GLOBAL SMALL COMPANY PORTFOLIO TD Ameritrade, Inc.*1 88.29% INTERNATIONAL SMALL COMPANY PORTFOLIO Charles Schwab & Company, Inc.*1 27.92% National Financial Services LLC*1 19.27% TD Ameritrade, Inc.*1 9.05% Edward D. Jones & Co.*1 5.20% JAPANESE SMALL COMPANY PORTFOLIO National Financial Services LLC*1 64.90% The RBB Fund Inc. Free Market International Equity Fund 8.41% 5955 Deerfield Blvd Mason, OH 45040 The Trustees of Boston College 6.54% Boston College Investment Office 129 Lake, Suite 526 Chestnut Hill, MA 02467 Charles Schwab & Company, Inc.*1 5.45% ASIA PACIFIC SMALL COMPANY PORTFOLIO National Financial Services LLC*1 65.52% Charles Schwab & Company, Inc.*1 14.52% The RBB Fund Inc. Free Market International Equity Fund1 9.62% UNITED KINGDOM SMALL COMPANY PORTFOLIO Pershing LLC1 36.83% Charles Schwab & Company, Inc.*1 34.79% The RBB Fund Inc. Free Market International Equity Fund1 12.34% TD Ameritrade, Inc.*1 9.37% CONTINENTAL SMALL COMPANY PORTFOLIO National Financial Services LLC*1 64.66% Charles Schwab & Company, Inc.*1 16.08% 58 The RBB Fund Inc Free Market International Equity Fund1 9.45% TD Ameritrade, Inc.*1 5.78% DFA INTERNATIONAL REAL ESTATE SECURITIES PORTFOLIO DFA Global Real Estate Securities Portfolio1 40.16% National Financial Services LLC*1 16.84% Charles Schwab & Company, Inc.*1 16.78% TD Ameritrade, Inc.*1 13.71% DFA GLOBAL REAL ESTATE SECURITIES PORTFOLIO Charles Schwab & Company, Inc.*1 35.92% National Financial Services LLC*1 19.35% TD Ameritrade, Inc.*1 14.87% DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO Charles Schwab & Company, Inc.*1 36.18% National Financial Services LLC*1 14.42% TD Ameritrade, Inc.*1 11.93% The RBB Fund Inc Free Market International Equity Fund1 5.43% INTERNATIONAL VECTOR EQUITY PORTFOLIO National Financial Services LLC*1 33.59% Charles Schwab & Company, Inc.*1 31.60% TD Ameritrade, Inc.*1 18.37% Trust Company of America1 6.38% WORLD EX U.S. VALUE PORTFOLIO Deseret Mutual Benefit Admin ttee 37.85% The Deseret Mutual Employee Pension Trust PO Box 45530 Salt Lake City, UT 84145 The Employees Retirement Plan of the 16.22% Denver Board of Water Commissioners* 1600 West 12th Avenue Mailcode 210 Denver, CO 80204 Charles Schwab & Company, Inc.*1 12.47% 59 U.S. Bank NA Custodian FBO 8.70% Adams County Defined Benefit Non-ERISA* PO Box 1787 Milwaukee, WI 53201 Deseret Mutual Benefit Admin ttee 7.15% The Deseret Mutual Retiree Medical & Life Plan Trust PO Box 45530 Salt Lake City, UT 84145 TD Ameritrade, Inc.*1 5.43% WORLD EX U.S. TARGETED VALUE PORTFOLIO Charles Schwab & Company, Inc.*1 60.60% National Financial Services LLC*1 22.52% TD Ameritrade, Inc.*1 15.79% WORLD EX U.S. CORE EQUITY PORTFOLIO Charles Schwab & Company, Inc.*1 39.83% National Financial Services LLC*1 23.43% TD Ameritrade, Inc.*1 14.87% WORLD CORE EQUITY PORTFOLIO National Financial Services LLC*1 37.50% Tacoma Employees Retirement System 18.70% 3628 S 35th Street Tacoma, WA 98409 Charles Schwab & Company, Inc.*1 14.00% Prudential Bank & Trust FBO 11.84% San Francisco Employees Retirement System 280 Trumbull Street Hartford, CT 06103 Greater Kansas City Community Foundation 5.80% Ewing M Kauffman Donor Advised Fund 1055 Broadway, Suite 130 Kansas City, MO 64105 SELECTIVELY HEDGED GLOBAL EQUITY PORTFOLIO National Financial Services LLC*1 43.64% Charles Schwab & Company, Inc.*1 26.87% TD Ameritrade, Inc.*1 17.18% 60 Gerlach & Co. LLC 7.38% FBO A/C 094800 Korea Teachers Pension Fund 3800 Citigroup Center Suite B3-14 Tampa, FL 33610 EMERGING MARKETS PORTFOLIO Charles Schwab & Company, Inc.*1 27.41% Regents of the University of California 17.54% Pathway Funds 1111 Broadway Suite 1400 Oakland CA 94607 National Financial Services LLC*1 17.44% TD Ameritrade, Inc.*1 5.42% EMERGING MARKETS VALUE PORTFOLIO National Financial Services LLC*1 21.64% Charles Schwab & Company, Inc.*1 11.48% EMERGING MARKETS SMALL CAP PORTFOLIO National Financial Services LLC*1 22.16% Charles Schwab & Company, Inc.*1 19.16% TD Ameritrade, Inc.*1 9.98% EMERGING MARKETS CORE EQUITY PORTFOLIO Charles Schwab & Company, Inc.*1 27.00% National Financial Services LLC*1 24.34% TD Ameritrade, Inc.*1 9.99% ____________________________________ * Owner of record only (omnibus). 1 See address for shareholder previously noted above in list. PURCHASE OF SHARES The following information supplements the information set forth in the Prospectus under the caption “PURCHASE OF SHARES.” The Funds will accept purchase and redemption order s on each day that the New York Stock Exchange (“NYSE”) is scheduled to be open for business. However, no purchases by wire may be made on any day that the Federal Reserve System is closed. The Funds generally will be closed on days that the NYSE is closed. The NYSE generally is scheduled to be open Monday through Fr iday throughout the year except for days closed to recognize New Year’s Day, Martin Luther King, Jr. Day, Presidents’ Day, Good Friday, Memorial Day, Independence Day, Labor Day, Thanksgiving Day and Christmas Day. The Federal Reserve System is closed on the same days as the 61 NYSE, except that it is open on Good Friday and closed on Columbus Day and Veterans’ Day. Orders for redemptions and purchases will not be processed if the Funds are closed. The Funds reserve the right, in their sole discretion, to suspend the offering of shares of any or all Portfolios or reject purchase orders when, in the judgment of management, such suspension or rejection is in the best interest of that Fund or a Portfolio. Securities accepted in exchange for shares of a Portfolio will be acquired for investment purposes and will be considered for sale under the same circumstances as other securities in the Portfolio. The Funds or their transfer agent may, from time to time, appoint a sub-transfer agent, such as a broker, for the receipt of purchase and redemption orders and funds from certain investors. With respect to purch ases and redemptions through a sub-transfer agent, a Fund will be deemed to have received a purchase or redemption order when the sub-transfer agent receives the order. Shares of a Portfolio will be priced at the public offering price next calculated after receipt of the purchase or redemption order by the sub-transfer agent. REDEMPTION AND TRANSFER OF SHARES The following information supplements the information set forth in the Prospectus under the caption “REDEMPTION OF SHARES.” Each Fund may suspend redemption privileges or postpone the date of payment: (1) during any period when the NYSE is closed, or trading on the NYSE is restricted as determined by the Commission, (2) during any period when an emergency exists as defined by the r ules of the Commission as a result of which it is n ot reasonably practicable for such Fund to dispose of securities owned by it, or fairly to determine the value of its assets and (3) for such other periods as the Commission may permit. Shareholders may, subject to a Fund’s sole discretion, transfer shares of any Portfolio to another per son by making a written request to the Portfolio’s Transfer Agent. The request should clearly identify the account and number of shares to be transferred, and include the signature of all registered owners. The signature on the letter of request must be guaranteed in the same manner as described in the Prospectus under “REDEMPTION OF SHARES.” As with redemptions, the written request must be received in good order before any transfer can be made. Each Fund has filed a notice of election under Rule 18f-1 of the 1940 Act that allows the Portfolios t o redeem in-kind redemption requests of a certain amount. Specifically, if the amount being redeemed is over the lesser of $250,000 or 1% of a Portfolio’s net assets, the Portfolio has the right to redeem the shares by providing the amount that exceeds $250,000 or 1% of the Portfolio’s net assets in securities instead of cash. The securities distributed in-kind would be readily marketable and would be valued for this purpose using the same method employed in calculating the Portfolio’s net asset value per share. If a shareholder receives redemption proceeds in- kind, the shareholder should expect to incur transaction costs upon the disposition of the securities received in the redemption. TAXATION OF THE PORTFOLIOS AND THEIR SHAREHOLDERS The following is a summary of some of the federal income tax consequences of investing in a Portfolio (sometimes referred to as “the Portfolio”). Unless you are invested in the Portfolio through a qualified retirement plan, you should consider the tax implications of investing and consult your own tax advisor. No attempt is made to present a detailed explanation of the tax treatment of the Portfolio or its shareholders, and the discussion here and in the Prospectus is not intended as a substitute for careful tax planning. This “TAXATION OF THE PORTFOLIOS AND THEIR SHAREHOLDERS” section is based on the Internal Revenue Code of 1986, as amended (the “Code”), and applicable regulations in effect on the date of this SAI. Future legislative, regulatory or administrative changes, including provisions of current law that sunset and thereafter no longer apply, or court decisions may significantly change the tax rules applicable to the Portfolio and its shareholders. Any of these changes or court decisions may have a retroactive effect. 62 Different tax rules may apply depending on how a Master Fund or an Underlying Fund in which a Portfolio invests is organized for federal income tax purposes. The Feeder Portfolios invest in Master Funds or ganized as partnerships for federal income tax purposes. The Global Small Company Portfolio, World ex U.S. Value Portfolio and World Core Equity Portfolio invest in Underlyin g Funds organized as either partnerships or corporations for federal income tax purposes. The International Small Company Portfolio invests in Underlying Funds or ganized as partnerships for federal income tax purposes. The DFA Global Real Estate Securities Portfolio and Selectively Hedged Global Equity Portfolio invest in Underlying Funds organized as corporations for federal income tax purposes. These rules could affect the amount, timing or character of the income distributed to shareholders of a Portfolio. Unless otherwise indicated, the discussion below with respect to a Portfolio includes in the case of a Feeder Portfolio invested in a Master Fund or a Portfolio invested in an Underlying Fund classified as a partnership, its pro rata share of its corresponding Master Fund’s or Underlying Fund’s income and assets and in the case of a Portfolio invested in an Underlying Fund classified as a corporation, its pro rata share of the dividends and distributions paid by such Underlying Fund. This is for general information only and not tax advice and does not purport to deal with all federal tax consequences applicable to all categories of investors, some of which may be subject to special rules. You should consult your own tax advisor regarding your particular circumstances before making an investment in the Portfolio. Taxation of the Portfolio The Portfolio has elected and intends to qualify (or, if newly organized, intends to elect and qualify) each year as a regulated investment company (sometimes referred to as a “regulated investment company,” “RIC” or “portfolio”) under Subchapter M of the Code. If the Portfolio qualifies, the Portfolio will not be subject to federal income tax on the portion of its investment company taxable income (that is, generally, taxable interest, dividends, net short-term capital gains, and other taxable ordinary income, net of expenses, without regard to the deduction for dividends paid) and net capital gain (that is, the excess of net long-term capital gains over net short-term capital losses) that it distributes to shareholders. Qualification as a regulated investment company. In order to qualify for treatment as a regulated investment company, the Portfolio must satisfy the following requirements: • Distribution Requirement ¾ the Portfolio must distribute an amount equal to th e sum of at least 90% of its investment company taxable income and 90% of its net tax-exempt income, if any, for the tax year (including, for purposes of satisfying this distribution requirement, certain distributions made by the Portfolio after the close of its taxable year that are treated as made during such taxable year). • Income Requirement ¾ the Portfolio must derive at least 90% of its gross income from dividends, interest, certain payments with respect to securities loans, and gains from the sale or other disposition of stock, securities or foreign currencies, or other income (including, but not limited to, gains from options, futures or forward contracts) derived from its business of investing in such stock, securities or currencies and net income derived from qualified publicly traded partnerships (“QPTPs”). • Asset Diversification Test ¾ the Portfolio must satisfy the following asset diversification test at the close of each quarter of the Portfolio’s tax year: (1) at least 50% of the value of the Portfolio’s assets must consist of cash and cash items, U.S. Government securities, securities of other regulated investment companies, and securities of other issuers (as to which the Portfolio has not invested more than 5% of the value of the Portfolio’s total assets in securities of an issuer and as to which the Portfolio does not hold more than 10% of the outstanding voting securities of the issuer); and (2) no more than 25% of the value of the Portfolio’s total assets may be invested in the securities of any on e issuer (other than U.S. Government securities or securities of other regulated investment companies) or of two or more issuers which the Portfolio controls and which are engaged in the same or similar trades or businesses, or, collectively, in the securities of one or more QPTPs. 63 In some circumstances, the character and timing of income realized by the Portfolio for purposes of the Income Requirement or the identification of the issuer for purposes of the Asset Diversification Test is uncertain under current law with respect to a particular investment, and an adverse determination or future guidance by the Internal Revenue Service (“IRS”) with respect to such type of investment may adversely affect the Portfolio’s ability to satisfy these requirements. See “Tax Treatment of Portfolio Transactions” below with respect to the application of these requirements to certain types of investments. In other circumstances, the Portfolio may be required to sell portfolio holdings in order to meet the Income Requirement, Distribution Requirement, or Asset Diversification Test which may have a negative impact on the Portfolio’s income and performance. The Portfolio may use "equalization accounting" (in lieu of making some cash distributions) in determining the portion of its income and gains that has been distributed. If the Portfolio uses equalization accounting, it will allocate a portion of its undistributed investment company taxable income and net capital gain to redemptions of Portfolio shares and will correspondingly reduce th e amount of such income and gains that it distributes in cash. If the IRS determines that the Portfolio’s allocation is improper and that the Portfolio has under-distributed its income and gain for any taxable year, the Portfolio may be liable for federal income and/or excise tax. If, as a result of such adjustment, the Portfolio fails to satisfy the Distribution Requirement, the Portfolio will not qualify that year as a regulated investment company, the effect of which is described in the following paragraph. If for any taxable year the Portfolio does not qualify as a regulated investment company, all of its taxable income (including its net capital gain) would be subject to tax at regular corporate rates without any deduction for dividends paid to shareholders, and the dividends would be taxable to the shareholders as ordinary income (or possibly as qualified dividend income) to the extent of the Portfolio’s current and accumulated earnin gs and profits. Failure to qualify as a regulated investment compan y would thus have a negative impact on the Portfolio’s income and performance. Subject to savings provisions for certain inadvertent failures to satisfy the Income Requirement or Asset Diversification Test which, in general, are limited to those due to reasonable cause and not willful neglect, it is possible that the Portfolio will not qualify as a r egulated investment company in any given tax year. Even if such savings provisions apply, the Portfolio may be subject to a monetary sanction of $50,000 or more. Mor eover, the Board reserves the right not to maintain the qualification of the Portfolio as a regulated investment company if it determines such a course of action to be beneficial to shareholders. Portfolio turnover. For investors that hold their Portfolio shares in a taxable account, a high portfolio turnover rate may result in higher taxes. This is because a portfolio with a high turnover rate is likely to accelerate the recognition of capital gains and more of such gains are likely to be taxable as short-term rather than long-term capital gains in contrast to a comparable portfolio with a low turnover rate. Any such higher taxes would reduce the Portfolio’s after-tax performance. See, “Taxation of Portfolio Distributions – Distributions of capital gains” below. For non-U.S. investors, any such acceleration of the recognition of capital gains that results in more short- term and less long-term capital gains being recognized by the Portfolio may cause such investors to be subject to increased U.S. withholding taxes. See, “Non-U.S. Investors –Capital gain dividends and short-term capital gain dividends” below. Capital loss carryovers. The capital losses of the Portfolio, if any, do not flow through to shareholders. Rather, the Portfolio may use its capital losses, subject to applicable limitations, to offset its capital gains without being required to pay taxes on or distribute to shareholders such gains that are offset by the losses. If the Portfolio has a "net capital loss" (that is, capital losses in excess of capital gains), the excess (if any) of the Portfolio's net short-term capital losses over its net long-term capital gains is treated as a short-term capital loss arising on the first day of the Portfolio's next taxable year, and the excess (if any) of the Portfolio's net long-term capital losses over its net short-term capital gains is treated as a long-term capital loss arising on the first day of the Portfolio's next taxable year. Any such net capital losses of the Portfolio that are not used to offset capital gains may be carried forward indefinitely to reduce any future capital gains realized by the Portfolio in succeeding taxable years. However, for any net capital losses realized in taxable years of the Portfolio beginning on or before December 22, 2010, the Portfolio is only permitted to carry forward such capital losses for eight years as a short-term capital loss. Capital losses arising in a taxable year beginning after December 22, 2010 must be used before capital losses realized in a taxable year beginning on or before December 22, 2010. The amount of capital losses that can be carried forward and used in any single year is subject to an annual limitation if there is a more than 50% “change in ownership” of the Portfolio. An ownership change generally results when shareholders owning 5% or more of the Portfolio increase their aggregate holdings by more than 50% over a three-year look-back period. An ownership change 64 could result in capital loss carryovers being used at a slower rate (or, in the case of those realized in taxable years of the Portfolio beginning on or before December 22, 2010, expiring unutilized), thereby reducing the Por tfolio’s ability to offset capital gains with those losses. An increase in the amount of taxable gains distributed to the Portfolio’s shareholders could result from an owner ship change. The Portfolio undertakes no obligation to avoid or prevent an ownership change, which can occur in the normal course of shareholder purchases and redemptions or as a result of engaging in a tax-free reorganization with another portfolio. Moreover, because of circumstances beyond the Portfolio’s control, there can be no assurance that the Portfolio will not experience, or has not already experienced, an ownership change. Deferral of late year losses. The Portfolio may elect to treat part or all of any "qualified late year loss" as if it had been incurred in the succeeding taxable year in determining the Portfolio’s taxable income, net capital gain, net short-term capital gain, and earnings and profits. The effect of this election is to treat any such “qualified late year loss” as if it had been incurred in the succeeding taxable year in characterizing Portfolio distributions for any calendar year (see “Taxation of Portfolio Distributions – Distributions of capital gains” below). A "qualified late year loss" includes: • any net capital loss incurred after October 31 of the current taxable year, or, if there is no such loss, any net long-term capital loss or any net short-term capital loss incurred after October 31 of the current taxable year (“post-October capital losses”), and • the sum of (1) the excess, if any, of (a) specified losses incurred after October 31 of the current taxable year, over (b) specified gains incurred after October 31 of the current taxable year and (2) the excess, if any, of (a) ordinary losses incurred after December 31 of the current taxable year, over (b) the ordinary income incurred after December 31 of the current taxable year. The terms “specified losses” and “specified gains” mean ordinary losses and gains from the sale, exchange, or other disposition of property (including the termination of a position with respect to such property), foreign currency losses and gains, and losses and gains resulting fr om holding stock in a passive foreign investment company (“PFIC”) for which a mark-to-market election is in effect. The terms “ordinary losses” and “ordinary income” mean other ordinary losses and income that are not described in the preceding sentence. Since the Portfolio has a fiscal year ending in October, the amount of qualified late-year losses (if any) is computed without regard to any items of income, gain, or loss that are (a) post-October capital losses, (b) specified losses, and (c) specified gains. Undistributed capital gains. The Portfolio may retain or distribute to shareh olders its net capital gain for each taxable year. The Portfolio currently intends to distribute net capital gains. If the Portfolio elects to retain its net capital gain, the Portfolio will be taxed thereon (except to the extent of any available capital loss carryovers) at the highest corporate tax rate (currently 35%). If the Portfolio elects to retain its net capital gain, it is expected that the Portfolio also will elect to have shareholders treated as if each received a distribution of its pro rata share of such gain, with the result that each shareholder will be required to report its pro rata share of such gain on its tax return as long-term capital gain, will receive a refundable tax credit for its pro rata share of tax paid by the Portfolio on the gain, and will increase the tax basis for its shares by an amount equal to the deemed distribution less the tax credit. Fund of funds corporate structures. In the case of a Portfolio that invests in Underlying Funds classified as corporations, distributions by the Underlying Funds, redemptions of shares in the Underlying Funds, and changes in asset allocations by the Portfolio may result in taxable distributions to Portfolio shareholders of or dinary income or capital gains. A fund of funds generally will not be able to currently offset gains realized by one Underlying Fund in which the fund of funds invests against losses realized by another Underlying Fund. If shares of an Underlying Fund are purchased within 30 days before or after redeeming at a loss other shares of that Underlying Fund (whether pursuant to a rebalancing by the Portfolio or otherwise), all or a part of the loss will not be deductible by the Portfolio and instead will increase its basis for the newly purchased shares. Also, except with respect to qualified fund of funds discussed below, a fund of funds (a) is not eligible to pass-through to shareholders for eign tax credits from an Underlying Fund that pays foreign income taxes (see “Taxation of Portfolio Distributions ¾ Pass- through of foreign tax credits” below), (b) is not eligible to pass-through to shareholders exempt-interest dividends from an Underlying Fund, and (c) dividends paid by a fund of funds from interest earned by an Underlying Fund on U.S. Government obligations is unlikely to be exempt from state and local income tax (see “Taxation of Portfolio Distributions - U.S. Government securities” below”). However, a fund of funds is eligible to pass-through to shareholders qualified dividends earned by an Under lying Fund (see “Taxation of Portfolio Distributions – 65 Qualified dividend income for individuals” and “ – Dividends-received deduction for corporations” below). A qualified fund of funds, i.e. a Portfolio at least 50 percent of the value of the total assets of which (at the close of each quarter of the taxable year) is represented by interests in other RICs, is eligible to pass-through to shareholders (a) foreign tax credits and (b) exempt-interest dividends. Excise tax distribution requirements. To avoid a 4% nondeductible federal excise tax, the Portfolio must distribute by December 31 of each year an amount equal to at least: (1) 98% of its ordinary income for the calendar year, (2) 98.2% of capital gain net income (that is, the excess of the gains from sales or exchanges of capital assets over the losses from such sales or exchanges) for the one-year period ended on October 31 of such calendar year, and (3) any prior year undistributed ordinary income and capital gain net income. The Portfolio may elect to defer to the following year any net ordinary loss incurred for the portion of the calendar year which is after the beginning of the Portfolio’s taxable year. Also, the Portfolio will defer any “specified gain” or “specified loss” which would be properly taken into account for the portion of the calendar year after October 31. Any net ordinary loss, specified gain, or specified loss deferred shall be treated as arising on January 1 of the following calendar year. Generally, the Portfolio intends to make sufficient distributions prior to the end of each calendar year to avoid any material liability for federal income and excise tax, but can give no assurances that all or a portion of such liability will be avoided. In addition, under certain circumstances, temporary timing or permanent differences in the realization of income and expense for book and tax purposes can result in the Portfolio having to pay an excise tax. Foreign income tax. Investment income received by the Portfolio from sources within foreign countries may be subject to foreign income tax withheld at the source and the amount of tax withheld generally will be treated as an expense of the Portfolio. Any foreign withholding taxes could reduce the Portfolio’s distributions paid to you. The United States has entered into tax treaties with many foreign countries which entitle the Portfolio to a reduced rate of, or exemption from, tax on such income. Some countries require the filing of a tax reclaim or other forms to receive the benefit of the reduced tax rate; whether or when the Portfolio will receive the tax reclaim is within the control of the individual country. Information required on these forms may not be available such as shareholder information; therefore, the Portfolio may not receive the reduced treaty rates or potential reclaims. Other countries have conflicting and changing instructions and restrictive timing requirements which may cause the Portfolio not to receive the reduced treaty rates or potential reclaims. Other countries may subject capital gains realized by the Portfolio on sale or disposition of securities of that country to taxation. It is impossible to determine the effective rate of foreign tax in advance since the amount of the Portfolio's assets to be invested in various countries is not known. Under certain circumstances, the Portfolio may elect to pass-through foreign tax credits to shareholders, although it reserves the right not to do so. In some instances it may be more costly to pursue tax reclaims than the value of the benefits received by the Portfolio. If the Portfolio makes such an election and obtains a refund of foreign taxes paid by the Portfolio in a prior year, the Portfolio may be eligible to reduce the amount of foreign taxes reported by the Portfolio to its shareholders, generally by the amount of the foreign taxes refunded, for the year in which the refund is received. See “Taxation of Portfolio Distributions – Pass-through of foreign tax credits” below. Taxation of Portfolio Distributions Distributions of net investment income. The Portfolio receives ordinary income generally in the form of dividends and/or interest on its investments. In the case of a Feeder Portfolio that invests in a Master Fund or a Portfolio that invests in an Underlying Fund classified as a partnership, the Portfolio’s income generally consists of its share of dividends and interest earned by the Master Fund or Underlying Fund. A Portfolio investing in an Underlying Fund classified as a corporation receives income generally in the form of dividends. The Portfolio may also recognize ordinary income from other sources, including, but not limited to, certain gains on for eign currency- related transactions. This income, less expenses incurred in the operation of the Portfolio, constitutes the Portfolio's net investment income from which dividends may be paid to you. If you are a taxable investor, distributions of net investment income generally are taxable as ordinary income to the extent of the Portfolio’s earnings and profits. In the case of a Portfolio whose strategy includes investing in stocks of corporations, a portion of the income dividends paid to shareholders by the Portfolio may be qualified dividends eligible to be taxed at reduced rates. Distributions of capital gains. The Portfolio may realize a capital gain or loss in connection with sales or other dispositions of its portfolio securities. A Portfolio investing in an Underlying Fund classified as a corporation may also derive capital gains through its redemption of shares of an Underlying Fund classified as a corporation (see 66 “Taxation of the Portfolio ─Fund of funds corporate structures” above). Distributions derived from the excess of net short-term capital gain over net long-term capital loss will be taxable to you as ordinary income. Distributions from the excess of net long-term capital gain over net short-term capital loss will be taxable to you as long-term capital gain, regardless of how long you have held your shares in the Portfolio. Any net capital gain of the Portfolio generally will be distributed once each year, and may be distributed more frequently, if necessary, to reduce or eliminate federal excise or income taxes on the Portfolio. Returns of capital. Distributions by the Portfolio that are not paid fr om earnings and profits will be treated as a return of capital to the extent of (and in reduction of) the shareholder's tax basis in his shares; any excess will be treated as gain from the sale of his shares. Thus, the portion of a distribution that constitutes a r eturn of capital will decrease the shareholder’s tax basis in his Portfolio shares (but not below zero), and will result in an increase in the amount of gain (or decrease in the amount of loss) that will be recognized by the shareholder for tax purposes on the later sale of such Portfolio shares. Return of capital distributions can occur for a number of reason s including, among others, the Portfolio over-estimates the income to be received from certain investments such as those classified as partnerships or equity real estate investment trusts (“REITs”) (see “Tax Treatment of Portfolio Transactions ¾ Investments in U.S. REITs” below). Qualified dividend income for individuals. Amounts reported by the Portfolio to shareholders as derived from qualified dividend income will be taxed in the hands of individuals and other noncorporate shareholders at the rates applicable to long-term capital gain. “Qualified dividend income” means dividends paid to the Portfolio (a) by domestic corporations, (b) by foreign corporations that are either (i) incorporated in a possession of the United States, or (ii) are eligible for benefits under certain income tax treaties with the United States that include an exchange of information program, or (c) with respect to stock of a foreign corporation that is readily tradable on an established securities market in the United States. Both the Portfolio and the investor must meet certain holding period requirements to qualify Portfolio dividends for this treatment. Specifically, the Portfolio must hold the stock for at least 61 days during the 121-day period beginning 60 days before the stock becomes ex-dividend. Similarly, investors must hold their Portfolio shares for at least 61 days during the 121-day period beginning 60 days before the Portfolio distribution goes ex-dividend. Income derived from investments in derivatives, fixed-income securities, U.S. REITs, PFICs, and income received “in lieu of” dividends in a securities lending transaction generally is not eligible for treatment as qualified dividend income. If the qualifying dividend income received by the Portfolio is equal to or greater than 95% of the Portfolio's gross income (exclusive of net capital gain) in any taxable year, all of the ordinary income dividends paid by the Portfolio will be qualifying dividend income. Dividends-received deduction for corporations. For corporate shareholders, a portion of the dividends paid by the Portfolio may qualify for the 70% corporate dividends-received deduction. The portion of dividends paid by the Portfolio that so qualifies will be reported by the Portfolio to shareholders each year and cannot exceed the gross amount of dividends received by the Portfolio from domestic (U.S.) corporations. The availability of the dividends- received deduction is subject to certain holding period and debt financing restrictions that apply to both the Portfolio and the investor. Specifically, the amount that the Portfolio may report as eligible for the dividends-received deduction will be reduced or eliminated if the shares on which the dividends earned by the Portfolio were debt- financed or held by the Portfolio for less than a minimum period of time, generally 46 days during a 91-day period beginning 45 days before the stock becomes ex-dividend. Similarly, if your Portfolio shares are debt-financed or held by you for less than a 46-day period then the dividends-received deduction for Portfolio dividends on your shares may also be reduced or eliminated. Even if reported as dividends eligible for the dividends-received deduction, all dividends (including any deducted portion) must be included in your alternative minimum taxable income calculation. Income derived by the Portfolio from investments in derivatives, fixed-income and foreign securities generally is not eligible for this treatment. Impact of realized but undistributed income and gains, and net unrealized appreciation of portfolio securities. At the time of your purchase of shares, the Portfolio’s net asset value may reflect undistributed income, undistributed capital gains, or net unrealized appreciation of portfolio securities held by the Portfolio. A subsequent distribution to you of such amounts, although constituting a return of your investment, would be taxable, and would be taxed as ordinary income (some portion of which may be taxed as qualified dividend income), capital gains, or some combination of both, unless you are investing through a tax-advantaged arrangement, such as a 401(k) plan or an individual retirement account. The Portfolio may be able to reduce the amount of such distributions from capital gains by utilizing its capital loss carryovers, if any. 67 Pass-through of foreign tax credits. If at the end of the fiscal year, (i) more than 50% in value of the total assets of the Portfolio (or if the Portfolio is a qualified fund of funds as described above under the heading “Taxation of the Portfolio ─Fund of funds corporate structures”, an Underlying Fund) or (ii) in the case of a Feeder Portfolio (or a Portfolio that invests in Un derlying Funds classified as partnerships), more than 50% in value of the total assets of the Feeder Portfolio attributable from the Master Fund (or of the Portfolio attributable from the Underlying Funds), are invested in securities of foreign corporations, the Portfolio may elect to pass through to its shareholders their pro rata share of foreign income taxes paid by the Portfolio (or Underlying Fund or Master Fund). If this election is made, the Portfolio may report more taxable income to you than it actually distributes. You will then be entitled either to deduct your share of these taxes in computing your taxable income or to claim a foreign tax credit for these taxes against your U.S. federal in come tax (subject to limitations for certain shareholders). For example, the amount of any foreign tax credits available to you (as a result of the pass-through to you of your pro rata share of foreign taxes paid by the Portfolio) will be reduced if you receive from the Portfolio qualifying dividends from qualifying foreign corporations that are subject to tax at reduced rates. The Portfolio will provide you with the information necessary to claim this deduction or credit on your personal income tax return if it makes this election. No deduction for foreign tax may be claimed by a noncorporate shareholder who does not itemize deductions or who is subject to the alternative minimum tax. The Portfolio (or Underlying Fund or Master Fund) reserves the right not to pass through to its shareholders the amount of foreign income taxes paid by the Portfolio (or Underlying Fund or Master Fund). Additionally, any foreign tax withheld on payments made “in lieu of” dividends or interest will not qualify for the pass-through of foreign tax credits to shareholders. See, “Tax Treatment of Portfolio Transactions – Securities lending” below. U.S. Government securities. To the extent the Portfolio (or in the case of a Feeder Portfolio, the Master Fund or an Underlying Fund classified as a partnership) invests in certain U.S. Government obligations, dividends paid by the Portfolio to shareholders that are derived from interest on these obligations should be exempt from state and local personal income taxes, subject in some states to minimum investment or reporting requirements that must be met by the Portfolio, the Feeder Portfolio’s corresponding Master Fund or the Underlying Fund. To the extent an Underlying Fund organized as a corporation invests in U.S. Government obligations, dividends derived from interest on these obligations and paid to the corresponding Portfolio and, in turn, to you are unlikely to be exempt from state and local income tax. The income on portfolio investments in certain securities, such as repurchase agreements, commercial paper and federal agency-backed obligations (e.g., Government National Mortgage Association (“GNMA”) or Federal National Mortgage Association (“FNMA”) securities), generally does not qualify for tax-free treatment. The rules on exclusion of this income are different for corporate shareholders. Information on the amount and tax character of distributions. The Portfolio will inform you of the amount and character of your distributions at the time they are paid, and will advise you of the tax status of such distributions for federal income tax purposes shortly after the close of each calendar year. If you have not held Portfolio shares for a full year, the Portfolio may report to shareholders and distribute to you, as ordinary income, qualified dividends, or capital gains, and in the case of non-U.S. shareholders the Portfolio may further report and distribute as interest-related dividends and short-term capital gain dividends, a percentage of income that is not equal to the actual amount of such income earned during the period of your investment in the Portfolio. Taxable distributions declared by the Portfolio in December to shareholders of record in such month, but paid in January, are taxable to you as if they were paid in December. Medicare tax. A 3.8% Medicare tax is imposed on net investment income earned by certain individuals, estates and trusts. “Net investment income,” for these purposes, means investment income, including ordinary dividends and capital gain distributions received from the Portfolio and net gains from redemptions or other taxable dispositions of Portfolio shares, reduced by the deductions properly allocable to such income. In the case of an individual, the tax will be imposed on the lesser of (1) the shareholder’s net investment income or (2) the amount by which the shareholder’s modified adjusted gross income exceeds $250,000 (if the shareholder is married and filing jointly or a surviving spouse), $125,000 (if the shareholder is married and filing separately) or $200,000 (in any other case). This Medicare tax, if applicable, is reported by you on, and paid with, your federal income tax return. 68 Sales, Exchanges and Redemptions of Portfolio Shares In general. If you are a taxable investor, sales, exchanges and redemptions (including redemptions in kind) of Portfolio shares are taxable transactions for federal and state income tax purposes. If you redeem your Portfolio shares, the IRS requires you to report any gain or loss on your redemption. If you held your shares as a capital asset, the gain or loss that you realize will be capital gain or loss and will be long-term or short-term, generally depending on how long you have held your shares. Capital losses in any year are deductible only to the extent of capital gains plus, in the case of a noncorporate taxpayer, $3,000 of ordinary income. Redemptions at a loss within six months of purchase. Any loss incurred on a redemption of shares of the Portfolio held for six months or less will be treated as long-term capital loss to the extent of any l ong-term capital gain distributed to you by the Portfolio on those shares. Wash sales. All or a portion of any loss that you realize on a redemption of your Portfolio shares will be disallowed to the extent that you buy other shares in the Portfolio (through reinvestment of dividends or otherwise) within 30 days before or after your share redemption. Any loss disallowed under these rules will be added to your tax basis in the new shares. Tax basis information. The Portfolio is required to report to you and the IRS annually on Form 1099-B the cost basis of shares purchased or acquired on or after January 1, 2012 where the cost basis of the shares is known by the Portfolio (referred to as “covered shares”) and which are disposed of after that date. However, cost basis reporting is not required for certain shareholders, including shareholders investing in the Portfolio through a tax- advantaged retirement account, such as a 401(k) plan or an individual retirement account. When required to report cost basis, the Portfolio will calculate it using the Portfolio’s default method of average cost, unless you instruct the Portfolio in writing to use a different calculation method. In general, average cost is the total cost basis of all your shares in an account divided by the total number of shares in the account. To determine whether short-term or long- term capital gains taxes apply, the IRS presumes you redeem your oldest shares first. The IRS permits the use of several methods to determine the cost basis of mutual fund shares. The method used will determine which specific shares are deemed to be sold when there are multiple purchases on different dates at differing share prices, and the entire position is not sold at one time. The Portfolio does not recommend any particular method of determining cost basis, and the use of other methods may result in more favorable tax consequences for some shareholders. It is important that you consult with your tax advisor to determine which method is best for you and then notify the Portfolio in writing if you intend to utilize a method other than average cost for covered shares. In addition to the Portfolio’s default method of average cost, other cost basis methods offered by DFA, which you may elect to apply to covered shares, include: • FIFO (First In, First Out) – Shares acquired first are sold first. • LIFO (Last In, First Out) – Shares acquired last are sold first. • HIFO (Highest Cost, First Out) – Shares with the highest cost basis are sold first. • LOFO (Lowest Cost, First Out) – Shares with the lowest cost basis are sold first. • LGUT (Loss/Gain Utilization) – A method that evaluates losses and gains and then strategically selects lots based on that gain/loss in conjunction with a holding period. • Specific Lot Identification – Identification by the shareholder of the shares the shareholder wants to sell or exchange at the time of each sale or exchange on the trade request. The original purchase dates and prices of the shares identified will determine the cost basis and holding period. You may elect any of the available methods detailed above for your covered shares. If you do not notify the Portfolio in writing of your elected cost basis method upon the initial purchase into your account, the default method of average cost will be applied to your covered shares. The cost basis for covered shares will be calculated separately from any “noncovered shares” (defined below) you may own. You may change from average cost to another cost basis method for covered shares at any time by notifying the Portfolio in writing, but on ly for shares acquired after the date of the change (the change is prospective). The basis of the shares that were averaged before the change will remain averaged after the date of the change. 69 The Portfolio may also provide Portfolio shareholders (but not the IRS) with information concerning the average cost basis of their shares purchased prior to January 1, 2012 or shares acquired on or after January 1, 2012 for which cost basis information is not known by th e Portfolio (“noncovered shares”) in order to assist you with the calculation of gain or loss from a sale or redemption of noncovered shares. With the exception of the specific lot identification method, DFA first depletes noncovered shares with unknown cost basis in first in, first out order and then noncovered shares with known basis in first in, first out order before applying your elected meth od to your remaining covered shares. If you want to deplete your shares in a different order then you must elect specific lot identification and choose the lots you wish to deplete first. Shareholders that use the average cost method for noncovered shares must make the election to use the average cost method for these shares on their federal income tax returns in accordance with Treasury regulations. This election for noncovered shares cannot be made by notifying the Portfolio. The Portfolio will compute and report the cost basis of your Portfolio shares sold or exchanged by taking into account all of the applicable adjustments to cost basis and holding periods as required by the Code and Treasury regulations for purposes of reporting these amounts to you and, in the case of covered shares, to the IRS. However the Portfolio is not required to, and in many cases the Portfolio does not possess the information to, take all possible basis, holding period or other adjustments into account in reporting cost basis information to you. Therefore shareholders should carefully review the cost basis information provided by the Portfolio, whether this information is provided pursuant to compliance with cost basis reporting requirements for shares acquired on or after January 1, 2012, or is provided by the Portfolio as a service to shareholders for shares acquired prior to that date, and make any additional basis, holding period or other adjustmen ts that are required by the Code and Treasury regulations when reporting these amounts on their federal income tax returns. Shareholders remain solely responsible for complying with all federal income tax laws when filing their federal income tax returns. If you hold your Portfolio shares through a broker (or other nominee), please contact that broker (nominee) with respect to reporting of cost basis and available elections for your account. Conversion of shares into shares of the same Portfolio. The conversion of shares of one class into anoth er class of the same Portfolio is not taxable for federal income tax purposes. Shareholders should also consult their tax advisors regarding the state and local tax consequences of a conversion or exchange of shares of the same Portfolio. Tax shelter reporting. Under Treasury regulations, if a shareholder recognizes a loss with respect to the Portfolio’s shares of $2 million or more for an individual shareholder or $10 million or more for a corporate shareholder (or certain greater amounts over a combination of years), the shareholder must file with the IRS a disclosure statement on Form 8886. The fact that a loss is reportable under these regulations does not affect the legal determination of whether the taxpayer’s treatment of the loss is proper. Shareholders should consult their tax advisors to determine the applicability of these regulations in light of their individual circumstances. Tax Treatment of Portfolio Transactions Set forth below is a general description of the tax treatment of certain types of securities, investment techniques and transactions that may apply to a por tfolio and, in turn, affect the amount, character and timing of dividends and distributions payable by the portfolio to its shareholders. This section should be read in conjunction with the discussion in the Prospectus under “Principal Investment Strategies” and “Principal Risks” for a detailed description of the various types of securities and investment techniques that apply to the Portfolio. In general. In general, gain or loss recognized by a portfolio on the sale or other disposition of portfolio investments will be a capital gain or loss. Such capital gain and loss may be long-term or short-term depending, in general, upon the length of time a particular investment position is maintained and, in some cases, upon the nature of the transaction. Property held for more than one year generally will be eligible for long-term capital gain or loss treatment. The application of certain rules described below may serve to alter the manner in which the holding period for a security is determined or may otherwise affect the characterization as long-term or short-term, and also the timing of the realization and/or character, of certain gains or losses. 70 Certain fixed-income investments. Gain recognized on the disposition of a debt obligation purchased by a portfolio at a market discount (generally, at a price less than its principal amount) will be treated as ordinary income to the extent of the portion of the market discount that accrued during the period of time the portfolio held the debt obligation unless the portfolio made a current inclusion election to accrue market discount into income as it accrues. If a portfolio purchases a debt obligation (such as a zero coupon security or pay-in-kind security) that was originally issued at a discount, the portfolio generally is required to include in gross income each year the portion of the original issue discount that accrues during such year. Therefore, a portfolio’s investment in such securities may cause the portfolio to recognize income and make distributions to shareholders before it receives any cash payments on the securities. To generate cash to satisfy those distribution requirements, a portfolio may have to sell portfolio securities that it otherwise might have continued to hold or to use cash flows from other sources such as the sale of portfolio shares. Investments in debt obligations that are at risk of or in default present tax issues for a portfolio. Tax rules are not entirely clear about issues such as whether and to what extent a portfolio should recognize market discount on a debt obligation, when a portfolio may cease to accrue interest, original issue discount or market discount, when and to what extent a portfolio may take deductions for bad debts or worthless securities and how a portfolio should allocate payments received on obligations in default between principal and income. These and other related issues will be addressed by a portfolio in order to ensure that it distributes sufficient income to preserve its status as a regulated investment company. Options, futures, forward contracts, swap agreements and hedging transactions. In general, option premiums received by a portfolio are not immediately included in the income of the portfolio. Instead, the premiums are recognized when the option contract expires, the option is exercised by the holder, or th e portfolio transfers or otherwise terminates the option (e.g., through a closing transaction). If an option written by a portfolio is exercised and the portfolio sells or delivers th e underlying stock, the portfolio generally will recognize capital gain or loss equal to (a) sum of the strike price and the option premium received by the portfolio minus (b) the portfolio’s basis in the stock. Such gain or loss generally will be short-term or long-term depending upon the holding period of the underlying stock. If securities are purchased by a portfolio pursuant to the exercise of a put option written by it, the portfolio generally will subtract the premium received from its cost basis in the securities purchased. The gain or loss with respect to any termination of a portfolio’s obligation under an option other than through the exercise of the option and related sale or delivery of the underlying stock generally will be short-term gain or loss depending on whether the premium income received by the portfolio is greater or less than the amount paid by the portfolio (if any) in terminating the transaction. Thus, for example, if an option written by a portfolio expires unexercised, the portfolio generally will r ecognize short-term gain equal to the premium received. The tax treatment of certain futures contracts entered into by a portfolio as well as listed non-equity options written or purchased by the portfolio on U.S. exchanges (including options on futures contracts, broad-based equity indices and debt securities) may be governed by section 1256 of the Code (“section 1256 contracts”). Gains or losses on section 1256 contracts generally are considered 60% long-term and 40% short-term capital gains or losses (“60/40”), although certain foreign currency gains and losses from such contracts may be treated as or dinary in character. Also, any section 1256 contracts held by a portfolio at the end of each taxable year (and, for purposes of the 4% excise tax, on certain other dates as prescr ibed under the Code) are “marked to market” with th e result that unrealized gains or losses are treated as though th ey were realized and the resulting gain or loss is treated as ordinary or 60/40 gain or loss, as applicable. Section 1256 contracts do not include any interest rate swap, currency swap, basis swap, interest rate cap, interest rate floor, commodity swap, equity swap, equity index swap, cr edit default swap, or similar agreement. In addition to the special rules described above in respect of options and futures transactions, a portfolio’s transactions in other derivative instruments (including options, forward contracts and swap agreements) as well as its other hedging, short sale, or similar transactions, may be subject to one or more special tax rules (including the constructive sale, notional principal contract, straddle, wash sale and short sale rules). These rules may affect whether gains and losses recognized by a portfolio are treated as ordinary or capital or as short-term or long-term, accelerate the recognition of income or gains to th e portfolio, defer losses to the portfolio, and cause adjustments in the holding periods of the portfolio’s securities. These rules, therefore, could affect the amount, timing and/or character of distributions to shareholders. Moreover, because the tax rules applicable to derivative financial instruments are in some cases uncertain under current law, an adverse determination or future guidance by the IRS 71 with respect to these rules (which determination or guidance could be retroactive) may affect whether a portfolio has made sufficient distributions and otherwise satisfied the relevant requirements to maintain its qualification as a regulated investment company and avoid a portfolio-level tax. Certain of a portfolio’s investments in derivatives and foreign currency-denominated instruments, and the portfolio’s transactions in foreign currencies and hedging activities, may produce a difference between its book income and its taxable income. If a portfolio’s book income is less than the sum of its taxable income and net tax- exempt income (if any), the portfolio could be required to make distributions exceeding book income to qualify as a regulated investment company. If a portfolio’s book income exceeds the sum of its taxable income and net tax- exempt income (if any), the distribution of any such excess will be treated as (i) a dividend to the extent of the portfolio’s remaining earnings and profits (including current earnings and profits arising from tax-exempt income, reduced by related deductions), (ii) thereafter, as a return of capital to the extent of the recipient’s basis in the shares, and (iii) thereafter, as gain from the sale or exchange of a capital asset. Foreign currency transactions. A portfolio’s transactions in foreign currencies, foreign currency- denominated debt obligations and certain foreign currency options, futures contracts and forward contracts (and similar instruments) may give rise to ordinary income or loss to the extent such income or loss results from fluctuations in the value of the foreign currency concerned. This treatment could increase or decrease a portfolio's ordinary income distributions to you, and may cause some or all of the portfolio's previously distributed income to be classified as a return of capital. In certain cases, a portfolio may make an election to treat such gain or loss as capital. PFIC securities. The Portfolio may invest in securities of foreign entities that could be deemed for tax purposes to be PFICs. In general, a PFIC is any foreign corporation if 75% or more of its gross income for its taxable year is passive income, or 50% or more of its average assets (by value) are held for the production of passive income. When investing in PFIC securities, the Por tfolio intends to mark-to-market these securities and recognize any unrealized gains as ordinary income at the end of its fiscal year. Deductions for losses are allowable only to the extent of any current or previously recognized gain s. These gains (reduced by allowable losses) are treated as ordinary income that the Portfolio is required to distribute, even though it has not sold or received dividends from these securities. You should also be aware that th e designation of a foreign security as a PFIC secur ity will cause its income dividends to fall outside of the definition of qualified foreign corporation dividends. These dividends generally will not qualify for the reduced rate of taxation on qualified dividends when distributed to you by the Portfolio. Due to various complexities in identifying PFICs, the Portfolio can give no assurances that it will be able to identify portfolio securities in foreign corporations that are PFICs in time for the Portfolio to make a mark-to- market election. If the Portfolio (or an Underlying Fund organized as a corporation) is unable to iden tify an investment as a PFIC and thus does not make a mark-to-market election, the Portfolio (or Underlying Fund) may be subject to U.S. federal income tax on a portion of any “excess distribution” or gain from the disposition of such shares even if such income is distributed as a taxable dividend by the Portfolio to its shareholders. Additional charges in the nature of interest may be imposed on the Portfolio (or Underlying Fund) in respect of deferred taxes arising from such distributions or gains. Any such taxes or interest charges could in turn reduce the Portfolio’s distributions paid to you. Investments in non-U.S. REITs. While non-U.S. REITs often use complex acquisition structures that seek to minimize taxation in the source country, an investment by a portfolio in a non-U.S. REIT may subject the portfolio, directly or indirectly, to corporate taxes, withholding taxes, transfer taxes and other indirect taxes in the country in which the real estate acquired by the non-U.S. REIT is located. The portfolio’s pro rata share of any such taxes will reduce the portfolio’s return on its investment. A portfolio’s investment in a non-U.S. REIT may be considered an investment in a PFIC, as discussed above in “PFIC securities.” Additionally, foreign withholding taxes on distributions from the non-U.S. REIT may be reduced or eliminated under certain tax treaties, as discussed above in “Taxation of the Portfolio ¾ Foreign income tax.” Also, the portfolio in certain limited circumstances may be required to file an income tax return in the source country and pay tax on any gain realized fr om its investment in the non-U.S. REIT under rules similar to those in the United States which tax foreign persons on gain realized from dispositions of interests in U.S. real estate. Investments in U.S. REITs. A U.S. REIT is not subject to federal income tax on the income and gains it distributes to shareholders. Dividends paid by a U.S. REIT, other than capital gain distributions, will be taxable as 72 ordinary income up to the amount of the U.S. REIT’s current and accumulated earnings and profits. Capital gain dividends paid by a U.S. REIT to a portfolio will be treated as long-term capital gains by the portfolio and, in turn, may be distributed by the portfolio to its shareholders as a capital gain distribution. Because of certain noncash expenses, such as property depreciation, an equity U.S. REIT’s cash flow may exceed its taxable income. The equity U.S. REIT, and in turn a portfolio, may distribute this excess cash to shareholders in the form of a return of capital distribution. However, if a U.S. REIT is operated in a manner that fails to qualify as a REIT, an investment in the U.S. REIT would become subject to double taxation, meaning the taxable income of the U.S. REIT would be subject to federal income tax at regular corporate rates without any deduction for dividends paid to shareholders and the dividends would be taxable to shareholders as ordinary income (or possibly as qualified dividend income) to the extent of the U.S. REIT’s current and accumulated earnings and profits. Also, see “Tax Treatment of Portfolio Transactions ¾ Investment in taxable mortgage pools (excess inclusion income)” and “Non-U.S. Investors ¾ Investment in U.S. real property” with respect to certain other tax aspects of investing in U.S. REITs. Investment in taxable mortgage pools (excess inclusion income). Under a Notice issued by the IRS, the Code and Treasury regulations to be issued, a portion of a portfolio’s income from a U.S. REIT that is attributable to the REIT’s residual interest in a real estate mortgage investment conduit (“REMIC”) or equity interests in a “taxable mortgage pool” (referred to in the Code as an excess inclusion) will be subject to federal income tax in all events. The excess inclusion income of a regulated investment company, such as a portfolio, will be allocated to shareholders of the regulated investment company in proportion to the dividends received by such shareholders, with the same consequences as if the shareholders held the related REMIC residual interest or, if applicable, taxable mortgage pool directly. In general, excess inclusion income allocated to shareholders (i) cannot be offset by net operating losses (subject to a limited exception for certain thrift institutions), (ii) will constitute unrelated business taxable income (“UBTI”) to entities (including qualified pension plans, individual retirement accounts, 401(k) plans, Keogh plans or other tax-exempt entities) subject to tax on UBTI, thereby potentially requiring such an entity that is allocated excess inclusion income, and otherwise might not be required to file a tax return, to file a tax return and pay tax on such income, and (iii) in the case of a foreign stockholder, will not qualify for any reduction in U.S. federal withholding tax. In addition, if at any time during any taxable year a “disqualified organization” (which generally includes certain cooperatives, governmental entities, and tax-exempt organizations not subject to UBTI) is a record holder of a share in a regulated investment company, then the regulated investment company will be subject to a tax equal to that portion of its excess inclusion income for the taxable year that is allocable to the disqualified organization, multiplied by the highest federal income tax rate imposed on corporations. The Notice imposes certain reporting requirements upon regulated investment companies that have excess inclusion income. There can be no assurance that a portfolio will not allocate to shareholders excess inclusion income. These rules are potentially applicable to a portfolio with respect to any income it receives from the equity interests of certain mortgage pooling vehicles, either directly or, as is more likely, through an investment in a U.S. REIT. It is unlikely that these rules will apply to a portfolio that has a non-REIT strategy. Investments in partnerships and qualified publicly traded partnerships (“QPTP”). For purposes of the Income Requirement, income derived by a portfolio from a partnership that is not a QPTP will be treated as qualifying income only to the extent such income is attributable to items of income of the partnership that would be qualifying income if realized directly by the portfolio. While the rules are not entirely clear with respect to a portfolio investing in a partnership outside a master-feeder structure, for purposes of testing whether a portfolio satisfies the Asset Diversification Test, the portfolio generally is treated as owning a pro rata shar e of the underlying assets of a partnership. See “Taxation of the Portfolio — Qualification as a regulated investment company.” In contrast, different rules apply to a partnership that is a QPTP. A QPTP is a partnership (a) the interests in which are traded on an established securities market, (b) that is treated as a partnership for federal income tax purposes, and (c) that derives less than 90% of its income from sources that satisfy the Income Requirement (e.g., because it invests in commodities). All of the net income derived by a portfolio from an interest in a QPTP will be treated as qualifying income but the portfolio may not invest more than 25% of its total assets in one or more QPTPs. However, there can be no assurance that a partnership classified as a QPTP in one year will qualify as a QPTP in the next year. Any such failure to annually qualify as a QPTP might, in turn, cause a portfolio to fail to qualify as a r egulated investment company. Although, in general, the passive loss rules of the Code do not apply to RICs, such rules do apply to a portfolio with respect to items attributable to an interest in a QPTP. Portfolio investmen ts in partnerships, including in QPTPs, may result in the portfolio's being subject to state, local or foreign income, franchise or withholding tax liabilities. 73 Securities lending. While securities are loaned out by a portfolio, the portfolio generally will receive from the borrower amounts equal to any dividends or interest paid on the borrowed securities. For federal income tax purposes, payments made “in lieu of” dividends are not considered dividend income. These distribution s will neither qualify for the reduced rate of taxation for individuals on qualified dividends nor the 70% dividends-received deduction for corporations. Also, any foreign tax withheld on payments made “in lieu of” dividends or interest will not qualify for the pass-through of foreign tax credits to shareholders. Investments in convertible securities. Convertible debt is ordinarily treated as a “single property” consisting of a pure debt interest until conversion , after which the investment becomes an equity interest. If the security is issued at a premium (i.e., for cash in excess of the face amount payable on retirement), the creditor-holder may amortize the premium over the life of the bond. If the security is issued for cash at a price bel ow its face amount, the creditor-holder must accrue original issue discount in income over the life of the debt. The creditor- holder's exercise of the conversion privilege is tr eated as a nontaxable event. Mandatorily convertible debt (e.g., an exchange traded note or ETN issued in the form of an unsecured obligation that pays a return based on the performance of a specified market index, exchange currency, or commodity) is often, but not always, tr eated as a contract to buy or sell the reference property rath er than debt. Similarly, convertible preferred stock with a mandatory conversion feature is ordinarily, but not always, treated as equity rather than debt. Dividends received generally are qualified dividend income and eligible for the corporate dividends-received deduction. In general, conversion of preferred stock for common stock of the same corporation is tax-free. Conversion of preferred stock for cash is a taxable redemption. Any redemption premium for preferred stock that is redeemable by th e issuing company might be required to be amortized under original issue discount principles. Investments in securities of uncertain tax character. A portfolio may invest in securities the U.S. federal income tax treatment of which may not be clear or may be subject to recharacterization by the IRS. To the extent the tax treatment of such securities or the income from such securities differs from the tax treatment expected by a portfolio, it could affect the timing or character of income recognized by the fund, requiring the portfolio to purchase or sell securities, or otherwise change its portfolio, in order to comply with the tax rules applicable to regulated investment companies under the Code. Backup Withholding By law, the Portfolio may be required to withhold a portion of your taxable dividends and sales proceeds unless you: • provide your correct social security or taxpayer identification number, • certify that this number is correct, • certify that you are not subject to backup withholding, and • certify that you are a U.S. person (including a U.S. resident alien). The Portfolio also must withhold if the IRS instructs it to do so. When withholding is required, the amount will be 28% of any distributions or proceeds paid. Backup withholding is not an additional tax. Any amounts withheld may be credited against the shareholder’s U.S. federal income tax liability, provided the appropriate information is furnished to the IRS. Certain payees and payments are exempt from backup withholding and information reporting. The special U.S. tax certification requirements applicable to non-U.S. investors to avoid backup withholding are described under the “Non-U.S. Investors” heading below. Non-U.S. Investors Non-U.S. investors (shareholders who, as to the United States, are nonresident alien individuals, foreign trusts or estates, foreign corporations, or foreign partnerships) may be subject to U.S. withholding and estate tax and are subject to special U.S. tax certification requirements. Non-U.S. investors should consult their tax advisors about the applicability of U.S. tax withholding and the use of the appropriate forms to certify their status. In general. The United States imposes a withholding tax at the 30% statutory rate (or at a lower rate if you are a resident of a country that has a tax treaty with the U.S.) on U.S. source dividends, including on income 74 dividends paid to you by the Portfolio. Exemptions from this U.S. withholding tax are provided for capital gain dividends paid by the Portfolio from its net long-term capital gains, interest-related dividends paid by the Portfolio from its qualified net interest income from U.S. sources and short-term capital gain dividends. However, notwithstanding such exemptions from U.S. withholding at the source, any dividends and distributions of income and capital gains, including the proceeds from the sale of your Portfolio shares, will be subject to backup withholding at a rate of 28% if you fail to properly certify that you are not a U.S. person. Capital gain dividends and short-term capital gain dividends. In general, (i) a capital gain dividend reported by the Portfolio to shareholders as paid from its net long-term capital gains or (ii) a short-term capital gain dividend reported by the Portfolio to shareholders as paid from its net short-term capital gains, other than long- or short-term capital gains realized on disposition of U.S. real property interests (see the discussion below) are not subject to U.S. withholding tax unless you are a nonresident alien individual present in the United States for a period or periods aggregating 183 days or more during the calendar year. Interest-related dividends. Dividends reported by the Portfolio to shareholders as interest-related dividends and paid from its qualified net interest income from U.S. sources are not subject to U.S. withholding tax. “Qualified interest income” includes, in general, U.S. source (1) bank deposit interest, (2) short-term original discount, (3) interest (including original issue discount, market discount, or acquisition discount) on an obligation which is in registered form, unless it is earned on an obligation issued by a corporation or partnership in which the Portfolio is a 10-percent shareholder or is contingent interest, and (4) any interest-related dividend from another regulated investment company. On any payment date, the amount of an income dividend that is reported by the Portfolio to shareholders as an interest-related dividend may be more or less than the amount that is so qualified. This is because the reporting of interest-related dividends is based on an estimate of the Portfolio’s qualified net interest income for its entire fiscal year, which can only be determined with exactness at fiscal year-end. As a consequence, the Portfolio may over withhold a small amount of U.S. tax from a dividend payment. In this case, the non-U.S. investor’s only recourse may be to either forgo recovery of the excess withholding or to file a United States nonresident income tax return to recover the excess withholding. Further limitations on tax reporting for interest-related dividends and short-term capital gain dividends for non-U.S. investors. It may not be practical in every case for the Portfolio to report to shareholders, and the Portfolio reserves the right in these cases to not report, small amounts of interest-related dividends or short-term capital gain dividends. Additionally, the Portfolio’s reporting of interest-related dividends or short-term capital gain dividends may not be passed through to shareholders by intermediaries who have assumed tax reporting responsibilities for this income in managed or omnibus accounts due to systems limitations or operational constraints. Net investment income from dividends on stock and foreign source interest income continue to be subject to withholding tax; foreign tax credits. Ordinary dividends paid by the Portfolio to non-U.S. investors on the income earned on portfolio investments in (i) the stock of domestic and foreign corporations, and (ii) the debt of foreign issuers continue to be subject to U.S. withholding tax. Foreign shareholders may be subject to U.S. withholding tax at a rate of 30% on the income resulting from an election to pass-through foreign tax credits to shareholders, but may not be able to claim a credit or deduction with respect to the withholding tax for the foreign tax treated as having been paid by them. Income effectively connected with a U.S. trade or business. If the income from the Portfolio is effectively connected with a U.S. trade or business carried on by a foreign shareholder, then ordinary income dividends, capital gain dividends and any gains realized upon the sale or redemption of shares of the Portfolio will be subject to U.S. federal income tax at the rates applicable to U.S. citizens or domestic corporations and require the filing of a nonresident U.S. income tax return. Investment in U.S. real property. The Portfolio may invest in equity securities of corporations that invest in U.S. real property, including U.S. REITs. The sale of a U.S. real property interest (“USRPI”) by the Portfolio or by a U.S. REIT or U.S. real property holding corporation in which the Portfolio invests may trigger special tax consequences to the Portfolio’s non-U.S. shareholders. The Foreign Investment in Real Property Tax Act of 1980 (“FIRPTA”) makes non-U.S. persons subject to U.S. tax on disposition of a USRPI as if he or she were a U.S. person. Such gain is sometimes referred to as 75 FIRPTA gain. The Code provides a look-through rule for distributions of FIRPTA gain by a RIC received from a U.S. REIT or another RIC classified as a U.S. real property holding corporation or realized by the RIC on a sale of a USRPI (other than a domestically controlled U.S. REIT or RIC that is classified as a qualified investment entity) if all of the following requirements are met: • The RIC is classified as a qualified investment entity. A RIC is classified as a “qualified investment entity” with respect to a distribution to a non-U.S. person which is attributable directly or indirectly to a sale or exchange of a USRPI if, in general, 50% or more of the RIC’s assets consist of interests in U.S. REITs and U.S. real property holding corporations, and • You are a non-U.S. shareholder that owns more than 5% of a class of Portfolio shares at any time during the one-year period ending on the date of th e distribution. • If these conditions are met, such Portfolio distr ibutions to you are treated as gain from the disposition of a USRPI, causing the distributions to be subject to U.S. withholding tax at a rate of 35% (unless reduced by future regulations), and requiring that you file a nonresident U.S. income tax return. • In addition, even if you do not own more than 5% of a class of Portfolio shares, but the Portfolio is a qualified investment entity, such Portfolio distributions to you will be taxable as ordinary dividends rather than as a capital gain dividend (a distribution of long-term capital gains) or a short-term capital gain dividend subject to withholding at the 30% or lower treaty withholding rate. FIRPTA “wash sale” rule. If the Portfolio is a domestically controlled qualified investment entity and a non-U.S. shareholder of the Portfolio (i) disposes of his interest in the Portfolio during the 30-day period preceding the Portfolio distribution that would have been treated as FIRPTA gain under the look-through rule described above, (ii) acquires an identical stock interest during the 61-day period beginning the first day of such 30-day period preceding the distribution, and (iii) does not in fact receive the distribution in a manner that subjects the non-U.S. shareholder to tax under FIRPTA, then the non-U.S. shareholder is required to pay U.S. tax on an amount equal to the amount of the distribution that was not taxed under FIRPTA as a result of the disposition. These rules also apply to substitute dividend payments and other similar arrangements; the portion of the substitute dividend or similar payment treated as FIRPTA gain equals the portion of the RIC distribution such payment is in lieu of that otherwise would have been treated as FIRPTA gain. Gain on sale of Portfolio shares as FIRPTA gain. In addition, a sale or redemption of Portfolio shares will be FIRPTA gain only if – · As a non-U.S. shareholder, you own more than 5% of a class of shares in the Portfolio; · The Portfolio is not domestically controlled (50% or more in value of the Portfolio has been owned directly or indirectly by non-U.S. shareholders during the 5-year period ending on the date of disposition); and · 50% or more of the Portfolio’s assets consist of: (1) more-than 5% interests in publicly traded companies that are United States Real Property Holding Corporations (“USRPHC”), (2) interests in non-publicly traded companies that are USRPHCs, and (3) interests in U.S. REITs that are not controlled by U.S. shareholders where the REIT shares are either not publicly traded or are publicly traded and the Portfolio owns more than 10%. In the unlikely event that the Portfolio meets the requirements described above, the gain will be taxed as income “effectively connected with a U.S. trade or business.” As a result, the non-U.S. shareholder will be required to pay U.S. income tax on such gain and file a nonr esident U.S. income tax return. Because the Portfolio expects to invest less than 50% of its assets at all times, directly or indirectly, in U.S. real property interests, the Portfolio expects that neither gain on the sale or redemption of Portfolio shares nor Portfolio dividends and distributions will be subject to FIRPTA reporting and tax withholding. U.S. estate tax. Transfers by gift of shares of the Portfolio by a foreign shareholder who is a nonresident alien individual will not be subject to U.S. federal gift tax. An individual who, at the time of death, is a non-U.S. shareholder will nevertheless be subject to U.S. federal estate tax with respect to Portfolio shares at the graduated rates applicable to U.S. citizens and residents, un less a treaty exemption applies. If a treaty exemption is available, a decedent’s estate may nonetheless need to file a U.S. estate tax return to claim the exemption in order to obtain a U.S. federal transfer certificate. The transfer certificate will identify the property (i.e., Portfolio shares) as to which 76 the U.S. federal estate tax lien has been released. In the absence of a treaty, there is a $13,000 statutory estate tax credit (equivalent to U.S. situs assets with a value of $60,000). For estates with U.S. situs assets of not more than $60,000, the Portfolio may accept, in lieu of a transfer certificate, an affidavit from an appropriate individual evidencing that decedent’s U.S. situs assets are below this threshold amount. U.S. tax certification rules. Special U.S. tax certification requirements may apply to non-U.S. shareholders both to avoid U.S. backup withholding imposed at a rate of 28% and to obtain the benefits of any treaty between the United States and the shareholder’s country of residence. In general, if you are a non-U.S. shareholder, you must provide a Form W-8 BEN (or other applicable Form W-8) to establish that you are not a U.S. person, to claim that you are the beneficial owner of the income and, if applicable, to claim a reduced rate of, or exemption from, withholding as a resident of a country with which the United States has an income tax treaty. A Form W-8BEN provided without a U.S. taxpayer identification number will remain in effect for a period beginning on the date signed and ending on the last day of the third succeeding calendar year unless an earlier change of circumstances makes the information on the form incorrect. Certain payees and payments are exempt from backup withholding. The tax consequences to a non-U.S. shareholder entitled to claim the benefits of an applicable tax treaty may be different from those described herein. Non-U.S. shareholders are urged to consult their own tax advisors with respect to the particular tax consequences to them of an investment in the Portfolio, including the applicability of foreign tax. Foreign Account Tax Compliance Act (“FATCA”). Under FATCA, the Portfolio will be required to withhold a 30% tax on the following payments or distributions made by the Portfolio to certain foreign entities, referred to as foreign financial institutions (“FFI”) or non-financial foreign entities (“NFFE”): (a) income dividends and (b) after December 31, 2018, certain capital gain distributions, return of capital distributions, and the proceeds arising from the sale of Portfolio shares. The FATCA withholding tax generally can be avoided: (a) by an FFI, if it reports certain direct and indirect ownership of foreign financial accounts held by U.S. persons with the FFI and (b) by an NFFE, if it: (i) certifies that it has no substantial U.S. persons as owners or (ii) if it does have such owners, reporting information relating to them. The U.S. Treasury has negotiated intergovernmental agreements (“IGA”) with certain countries and is in various stages of negotiations with a number of other foreign countries with respect to one or more alternative approaches to implement FATCA; an entity in one of those countries may be r equired to comply with the terms of an IGA instead of U.S. Treasury regulations. An FFI can avoid FATCA withholding if it is deemed compliant or by becoming a “participating FFI,” which requires the FFI to enter into a U.S. tax compliance agreement with the IRS under section 1471(b) of the Code (“FFI agreement”) under which it agrees to ver ify, report and disclose certain of its U.S. accoun tholders and meet certain other specified requirements. The FFI will either report the specified information about the U.S. accounts to the IRS, or, to the government of the FFI’s country of residence (pursuant to the terms and conditions of applicable law and an applicable IGA entered into between the U.S. and the FFI’s country of residence), which will, in turn, report the specified information to the IRS. An FFI that is resident in a country that has entered into an IGA with the U.S. to implement FATCA will be exempt from FATCA withholding provided that the FFI shareholder and the applicable foreign government comply with the terms of such agreement. An NFFE that is the beneficial owner of a payment from the Portfolio can avoid the FATCA withholding tax generally by certifying that it does not have any substantial U.S. owners or by providing the name, address and taxpayer identification number of each substantial U.S. owner. The NFFE will report the information to the Portfolio or other applicable withholding agent, which will, in turn, report the information to the IRS. Such foreign shareholders also may fall into certain exempt, excepted or deemed compliant categories as established by U.S. Treasury regulations, IGAs, and other guidance regarding FATCA. An FFI or NFFE that invests in the Portfolio will need to provide the Portfolio with documentation properly certifying the entity’s status under FATCA in order to avoid FATCA withholding. Non-U.S. investors should consult their own tax advisors regarding the impact of these requirements on their investment in the Portfolio. The requirements imposed by FATCA are different from, and in addition to, the U.S. tax certification rules to avoid backup withholding described above. Shareholders are urged to consult their tax advisors regarding the application of these requirements to their own situation. 77 Effect of Future Legislation; Local Tax Considerations The foregoing general discussion of U.S. federal in come tax consequences is based on the Code and the regulations issued thereunder as in effect on the date of this SAI. Future legislative or administrative changes, including provisions of current law that sunset and thereafter no longer apply, or court decisions may significantly change the conclusions expressed herein, and any such changes or decisions may have a retroactive effect with respect to the transactions contemplated herein. Rules of state and local taxation of ordinary income, qualified dividend income and capital gain dividends may differ from the rules for U.S. federal income taxation described above. Distributions may also be subject to additional state, local and foreign taxes depending on each shareholder’s particular situation. Non-U.S. shareholders may be subject to U.S. tax rules that differ significantly from those summarized above. Shareholders are urged to consult their tax advisors as to the consequences of these and other state and local tax rules affecting investment in the Portfolio. PROXY VOTING POLICIES The Boards of Directors of DIG, DFAIDG and DEM, and the Board of Trustees of the Trust have delegated the authority to vote proxies for the portfolio securities held by the non-Feeder Portfolios, Master Funds, and Underlying Funds to the Advisor in accordance with the Proxy Voting Policies and Procedures (the “Voting Policies”) and Proxy Voting Guidelines (“Voting Guidelines”) adopted by the Advisor. The Voting Guidelines are largely based on those developed by Institutional Shareholder Services, Inc. (“ISS”), an independent third-party proxy service provider, except with respect to certain matters for which the Advisor has modified the standard voting guidelines. A concise summary of the Voting Guidelines is provided in an Appendix to this SAI. The Investment Committee at the Advisor is generally responsible for overseeing the Advisor’s proxy voting process. The Investment Committee has formed a Corporate Governance Committee composed of certain officers, directors and other personnel of the Advisor and has delegated to its members authority to (i) oversee the voting of proxies and third-party proxy service providers, (ii) make determinations as to how to vote certain specific proxies, (iii) verify the on-going compliance with the Voting Policies, and (iv) review the Voting Policies from time to time and recommend changes to the Investment Committee. The Corporate Governance Committee may designate one or more of its members to oversee specific, ongoing compliance with respect to the Voting Policies and may designate other personnel of the Advisor to vote proxies on behalf of the non-Feeder Portfolios, Master Funds and Underlying Funds, including all authorized traders of the Advisor. The Advisor seeks to vote (or refrains from voting) proxies in a manner that the Advisor determines is in the best interests of the non-Feeder Portfolios, Master Funds, and Underlying Funds, and which seeks to maximize the value of the non-Feeder Portfolios’, Master Fun ds’ and Underlying Funds’ investments. Generally, the Advisor analyzes proxy statements on behalf of the non-Feeder Portfolios, Master Funds, and Underlying Funds and instructs the vote (or refrains from voting) in accordance with the Voting Policies and the Voting Guidelines. Since most proxies the Advisor receives are instructed to be voted in accordance with the Voting Guidelines, proxies voted should not result from conflicts of interest. However, the Voting Policies do address the procedures to be followed if a conflict of interest arises between the interests of the non-Feeder Portfolios, Master Funds, or Underlying Funds, and the interests of the Advisor or its affiliates. If a Corporate Governance Committee (“Committee”) member has actual knowledge of a conflict of interest and recommends a vote contrary to the Voting Guidelines (or in the case where the Voting Guidelines do not prescribe a particular vote and the proposed vote is contrary to th e recommendation of ISS), the Committee member will bring the vote to the Committee which will (a) determine how the vote should be cast keeping in mind the principle of preserving shareholder value, or (b) determin e to abstain from voting, unless abstaining would be materially adverse to the interest of the non-Feeder Portfolios, Master Funds, or Underlying Funds. To the extent the Committee makes a determination regarding how to vote or to abstain for a proxy on behalf of a non-Feeder Portfolio, Master Fund, or Underlying Fund in the circumstances described in this paragraph, the Advisor will report annually on such determinations to the Board of Directors of the applicable Fund or the Board of Trustees of the Trust, as applicable. The Advisor will usually instruct voting of proxies in accordance with the Voting Guidelines. The Voting Guidelines provide a framework for analysis and decision making, however, the Voting Guidelines do not address all potential issues. In order to be able to address all the relevant facts and circumstances related to a proxy vote, the Advisor reserves the right to instruct votes counter to the Voting Guidelines if, after a review of the matter, the 78 Advisor believes that the best interests of the non-Feeder Portfolio, Master Fund or Underlying Fund would be served by such a vote. In such a circumstance, the analysis will be documented in writing and periodically presented to the Corporate Governance Committee. To the extent that the Voting Guidelines do not cover potential voting issues, the Advisor will vote on such issues in a manner that is consistent with the spirit of the Voting Guidelines and that the Advisor believes would be in the best interests of the non-Feeder Portfolio, Master Fund or Underlying Fund. In some cases, the Advisor may determine that it is in the best interests of a non-Feeder Portfolio, Master Fund or Underlying Fund to refrain from exercising proxy voting rights. The Advisor may determine that voting is not in the best interest of a non-Feeder Portfolio, Master Fund or Underlying Fund and refrain from voting if the costs, including the opportunity costs, of voting would, in the view of the Advisor, exceed the expected benefits of voting. For securities on loan, the Advisor will balance the revenue-producing value of loans against the difficult- to-assess value of casting votes. It is the Advisor’s belief that the expected value of casting a vote generally will be less than the securities lending income, either because the votes will not have significant economic consequences or because the outcome of the vote would not be affected by the Advisor recalling loaned securities in order to ensure they are voted. The Advisor does intend to recall securities on loan if based upon information in the Advisor’s possession, it determines that voting the securities is likely to materially affect the value of the n on-Feeder Portfolio’s, Master Fund’s or Underlying Fund’s investment and that it is in the non-Feeder Portfolio’s, Master Fund’s or Underlying Fund’s best interests to do so. In cases where the Advisor does not receive a solicitation or enough information within a sufficient time (as reasonably determined by the Advisor) prior to the proxy-voting deadline, the Advisor or its service provider may be unable to vote. With respect to non-U.S. securities, it is typically both difficult and costly to vote proxies due to local regulations, customs, and other requirements or restrictions. The Advisor does not intend to vote proxies of non- U.S. companies if the Advisor determines that the expected economic costs from voting outweigh the anticipated economic benefit to a non-Feeder Portfolio, Master Fund or Underlying Fund associated with voting. Th e Advisor intends to make its determination on whether to vote proxies of non-U.S. companies on a portfolio-by-portfolio basis, and generally seeks to implement uniform voting procedures for all proxies of companies in a country. The Advisor periodically reviews voting logistics, including costs and other voting difficulties, on a por tfolio by portfolio and country by country basis, in order to determine if there have been any material changes that would affect the Advisor’s decision of whether or not to vote. In the event the Advisor is made aware of an d believes an issue to be voted is likely to materially affect th e economic value of a non-Feeder Portfolio, Master Fund or Underlying Fund, that its vote is reasonably likely to influence the ultimate outcome of the contest, and the expected benefits of voting the proxies exceed the costs, th e Advisor will make every reasonable effort to vote such proxies. The Advisor and the Funds have retained ISS to provide certain services with respect to proxy voting. ISS provides information on shareholder meeting dates and proxy materials; translates proxy materials printed in a foreign language; provides research on proxy proposals and voting recommendations in accordance with the Voting Guidelines; effects votes on behalf of the non-Feeder Portfolios, Master Funds and Underlying Funds; and provides reports concerning the proxies voted (the “Proxy Voting Services”). In addition, the Advisor may retain the services of supplemental third-party proxy service providers to provide, among other things, research on proxy proposals and voting recommendations for certain shareholder meetings, as identified in the Voting Guidelines. Alth ough the Advisor retains third-party service providers for proxy issues, the Advisor remains responsible for pr oxy voting decisions. In this regard, the Advisor uses commercially reasonable efforts to oversee the directed delegation to third-party proxy voting service providers, upon which the Advisor relies to carry out the Proxy Voting Services. Prior to the selection of a new third-party proxy service provider and annually thereafter or more frequently if deemed necessary by the Advisor, the Corporate Governance Committee will consider whether the proxy service provider (i) has the capacity and competency to adequately analyze proxy issues and (ii) can make its recommendations in an impartial manner and in the best interests of the Advisor’s clients. In the event that the Voting Guidelines are not implemented precisely as the Advisor intends because of the actions or omissions of any third party service providers, custodians or sub-custodians or other agents or any such persons experience any irregularities (e.g., misvotes or missed votes), then such instances will not necessarily be deemed by the Advisor as a breach of the Voting Policies. Information regarding how each of the non-Feeder Portfolios, Master Funds and Underlying Funds voted proxies related to its portfolio securities during the 12 month period ended June 30 of each year is available, no later 79 than August 31 of each year, without charge, (i) on the Advisor’s website at http://us.dimensional.com and (ii) on the SEC’s website at http://www.sec.gov. DISCLOSURE OF PORTFOLIO HOLDINGS The Advisor and the Boards of Directors of DFAIDG and DIG and Boards of Trustees of the Trust and DEM (collectively, the “Boards”) have adopted a policy (the “Policy”) to govern disclosure of the portfolio holdings of the Portfolios, Master Funds and Underlying Funds (“Holdings Information”), and to prevent the misuse of material non-public Holdings Information. The Advisor has determined that the Policy and its procedures (1) are reasonably designed to ensure that disclosure of Holdings Information is in the best interests of the shareholders of the Portfolios, Master Funds and Underlying Funds, and (2) appropriately address the potential for material conflicts of interest. Disclosure of Holdings Information as Required by Applicable Law. Holdings Information (whether a partial listing of portfolio holdings or a complete listing of portfolio holdings) shall be disclosed to any person as required by applicable law, rules and regulations. Online Disclosure of Portfolio Holdings Information. Each Portfolio, Master Fund and Underlying Fund generally discloses up to its twenty-five largest portfolio holdings and the percentages that each of these largest portfolio holdings represent of the total assets of the Portfolio, Master Fund or Underlying Fund (“largest holdings”), as of the most recent month-end, online at the Advisor’s public website, http://us.dimensional.com, within twenty days after the end of each month. This online disclosure may also include information regarding the industry allocations of the Portfolio, Master Fund or Underlying Fund. Each Portfolio, Master Fund and Underlying Fund generally discloses its complete Holdings Information (other than cash and cash equivalents), as of month-end, online at the Advisor’s public website, http://us.dimensional.com, 30 days following the month-end, or more frequently and at different periods when authorized by a Designated Person (as defined below). Disclosure of Holdings Information to Recipients. Each of the Advisor’s Chairman, Director of Institutional Services, Head of Portfolio Managemen t and Trading and General Counsel (together, the “Designated Persons”) may authorize disclosing non-public Holdings Information more frequently or at different periods than as described above solely to those financial advisors, registered accountholders, authorized consultants, authorized custodians, or third-party data service providers (each a “Recipient”) who: (i) specifically request the more current non-public Holdings Information and (ii) execute a Use and Nondisclosure Agreement (each a “Nondisclosure Agreement”). Each Nondisclosure Agreement subjects the Recipient to a duty of confidentiality with respect to the non-public Holdings Information, and prohibits the Recipient from trading based on the non-public Holdings Information. Any non-public Holdings Information that is disclosed shall not include any material information about a Portfolio’s, Master Fund’s or Underlying Fund’s trading strategies or pending portfolio transactions. The non-public Holdings Information provided to a Recipient under a Nondisclosure Agreement, unless indicated otherwise, is not subject to a time delay before dissemination. Designated Persons may also approve the distribution of Holdings Information for a Portfolio more frequently or at a period other than as described above. As of the date of this SAI, the Advisor and the Por tfolios and Master Funds had ongoing arrangements with the following Recipients to make available non-public Holdings Information: Recipient Business Purpose Frequency AFP Colfondos Monitoring investor exposure and investment strategy Upon Request AFP Prima Monitoring investor exposure and investment strategy Quarterly AFP Habitat Monitoring investor exposure and investment strategy Monthly AFP Integra Monitoring investor exposure and investment strategy Monthly 80 Recipient Business Purpose Frequency Aon Hewitt Monitoring investor exposure and investment strategy Monthly Blue Cross Blue Shield Association Monitoring investor exposure and investment strategy Upon Request California Institute of Technology Monitoring investor exposure and investment strategy Upon Request Callan Associates Monitoring investor exposure and investment strategy Monthly Cambridge Associates Limited Monitoring investor exposure and investment strategy Monthly Capital Advisors Monitoring investor exposure and investment strategy Monthly Charles Schwab Bank- Smart Funds Monitoring investor exposure and investment strategy Quarterly Chrysler Corporation Monitoring investor exposure and investment strategy Monthly Citibank, N.A. Fund Custodian Daily Citibank, N.A. Middle office operational support service provider to the Advisor Daily Colonial Consulting Co. Monitoring investor exposure and investment strategy Monthly Financial Risk Group Monitoring investor exposure and investment strategy Monthly Fund Evaluation Group, LLC Monitoring investor exposure and investment strategy Quarterly Gallagher Fiduciary Advisors Monitoring investor exposure and investment strategy Quarterly Gavion LLC Monitoring investor exposure and investment strategy Monthly Greycourt & Co., Inc. Monitoring investor exposure and investment strategy Quarterly InterMountain Healthcare Monitoring investor exposure and investment strategy Annually Margaret A. Cargill Philanthropies Monitoring investor exposure and investment strategy Monthly Marquette Associates, Inc. Monitoring investor exposure and investment strategy Quarterly Meketa Investment Group, Inc. Monitoring investor exposure and investment strategy Monthly Mercer Investment Consulting, Inc. Monitoring investor exposure and investment strategy Monthly Montana Board of Investments Monitoring investor exposure and investment strategy Monthly New York State Teachers' Retirement System Monitoring investor exposure and investment strategy Monthly Northern Trust Monitoring investor exposure and investment strategy Monthly Ohio Public Employees Retirement System Monitoring investor exposure and investment strategy Monthly 81 Recipient Business Purpose Frequency Oregon Investment Council Monitoring investor exposure and investment strategy Monthly Pavilion Advisory Group Monitoring investor exposure and investment strategy Quarterly Peirce Park Group Monitoring investor exposure and investment strategy Quarterly PricewaterhouseCoopers LLP Independent registered public accounting firm Upon Request Pricing Service Vendor Fair value information services Daily R.V. Kuhns Monitoring investor exposure and investment strategy Quarterly Seattle City Employees' Retirement System Monitoring investor exposure and investment strategy Monthly Segal Rogerscasey Monitoring investor exposure and investment strategy Upon Request Siemens Corporation Monitoring investor exposure and investment strategy Monthly Southern Company Monitoring investor exposure and investment strategy Monthly State Street Bank and Trust Company Fund Administrator, Accounting Agent, Transfer Agent and Custodian Daily State Street Global Advisors Monitoring investor exposure and investment strategy Monthly Summit Strategies, Inc. Monitoring investor exposure and investment strategy Monthly Teachers’ Retirement Allowances Fund Board Monitoring investor exposure and investment strategy Annually Texas Mutual Insurance Company Monitoring investor exposure and investment strategy Monthly Towers Watson Monitoring investor exposure and investment strategy Monthly U.S. Institutional Investment Consultants Monitoring investor exposure and investment strategy Quarterly University of Pittsburgh Medical Center Monitoring investor exposure and investment strategy Quarterly Verus (El Segundo) Monitoring investor exposure and investment strategy Monthly Wilshire Associates, Inc. Monitoring investor exposure and investment strategy Quarterly In addition, certain employees of the Advisor and its subsidiaries receive Holdings Information on a quarterly, monthly or daily basis, or upon request, in order to perform their business functions. Non e of the Portfolios, the Master Funds, the Underlying Funds, the Advisor or any other party receives any compen sation in connection with these arrangements. The Policy includes the following procedures to ensure that disclosure of Holdings Information is in the best interests of shareholders, and to address any conflicts between the interests of shareholders, on the one hand, and the interests of the Advisor, DFAS or any affiliated person of the Funds, the Trust, the Advisor or DFAS, on the other. In order to protect the interests of shareh olders, the Portfolios, Master Funds and Underlying Funds, and to ensure no adverse effect on shareholders, in the limited circumstances where a Designated Person is considering making non-public Holdings Information available to a Recipient, the Advisor’s Director of Institutional Services 82 and the Chief Compliance Officer will consider any conflicts of interest. If the Chief Compliance Officer, following appropriate due diligence, determines in his or her reasonable judgment that (1) the Portfolio, Master Fund or Underlying Fund, as applicable, has a legitimate business purpose for providing the non-public Holdings Information to a Recipient, and (2) disclosure of n on-public Holdings Information to the Recipient would be in the interests of the shareholders and outweighs possible reasonably anticipated adverse effects, then the Chief Compliance Officer may approve the proposed disclosure. The Chief Compliance Officer documents all disclosures of non-public Holdings Information (including the legitimate business purpose for the disclosure), and periodically reports to the Board on such arr angements. The Chief Compliance Officer is also responsible for on going monitoring of the distribution and use of non -public Holdings Information. Such arrangements are reviewed by the Chief Compliance Officer on an annual basis. Specifically, the Chief Compliance Officer requests an annual certification from each Recipient that the Recipient has complied with all terms contained in the Nondisclosure Agreement. Recipients who fail to provide the requested certifications are prohibited from receiving non-public Holdings Information. The Board exercises continuing oversight of the disclosure of Holdings Information by: (1) overseeing the implementation and enforcement of the Policy by the Chief Compliance Officer of the Advisor and of the Funds and Trust; (2) considering reports and recommendations by the Chief Compliance Officer concerning the implementation of the Policy and any material compliance matters that may arise in connection with the Policy; and (3) considering whether to approve or ratify any amendments to the Policy. The Advisor and the Board reserve the right to amend the Policy at any time, and from time to time without prior notice, in their sole discr etion. Prohibitions on Disclosure of Portfolio Holdings and Receipt of Compensation. No person is authorized to disclose Holdings Information or other investment positions (whether online at http://us.dimensional.com, in writing, by fax, by e-mail, orally or by other mean s) except in accordance with the Policy. In addition, no person is authorized to make disclosure pursuant to the Policy if such disclosure is otherwise in violation of the antifraud provisions of the federal securities laws. The Policy prohibits a Portfolio, a Master Fund, an Underlying Fund, the Advisor or an affiliate thereof from receiving any compensation or other consideration of any type for the purpose of obtaining disclosure of non- public Holdings Information or other investment positions. “Consideration” includes any agreement to maintain assets in the Portfolio, Master Fund or Underlying Fund or in other investment companies or accounts managed by the Advisor or by any affiliated person of the Advisor. The Policy and its procedures are intended to provide useful information concerning the Portfolios, Master Funds and Underlying Funds to existing and prospective shareholders, while at the same time preventing the improper use of Holdings Information. However, there can be no assurance that the furnishing of any Holdings Information is not susceptible to inappropriate uses, particularly in the hands of sophisticated investors, or that the Holdings Information will not in fact be misused in other ways, beyond the control of the Advisor. FINANCIAL STATEMENTS PricewaterhouseCoopers LLP, Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA 19103-7042, is the Funds’ independent registered public accounting firm. PwC audits the Funds’ annual financial statements. The audited financial statements and financial highlights of the Portfolios for their fiscal period ended October 31, 2016, as set forth in the Funds’ annual reports to shareholders, including the report of PricewaterhouseCoopers LLP, are incorporated by reference into this SAI. The audited financial statements of the Master Funds (which are series of the Trust) and the audited financial statements of Dimensional Emerging Markets Value Fund for the fiscal period ended October 31, 2016, as set forth in the Trust’s and Dimensional Emerging Markets Value Fund’s annual reports to shareholders, including the reports of PricewaterhouseCoopers LLP, are incorporated by reference into this SAI. A shareholder may obtain a copy of the annual repor ts, upon request and without charge, by contacting the Funds at the address or telephone number appearing on the cover of this SAI. 83 PERFORMANCE DATA The Portfolios may compare their investment performance to appropriate market and mutual fund indices and investments for which reliable performance data is available. Such indices are generally unmanaged and are prepared by entities and organizations which track the performance of investment companies or investment advisors. Unmanaged indices often do not reflect deductions for administrative and management costs and expenses. The performance of the Portfolios may also be compared in publications to averages, performance rankings, or other information prepared by recognized mutual fund statistical services. Any performance information, whether related to the Portfolios or to the Advisor, should be considered in light of a Portfolio’s investment objectives and policies, characteristics and the quality of the portfolio and market conditions during the time period indicated and should not be considered to be representative of what may be achieved in the future. A-1 APPENDIX U.S. PROXY VOTING CONCISE GUIDELINES Effective for Meetings on or after February 1, 2017 In order to provide greater analysis on certain shareholder meetings, the Advisors have elected to receive research reports for certain meetings, as indicated below, from Glass Lewis in addition to Institutional Shareholder Services, Inc. (“ISS”), and may in certain circumstances purchase research from other third parties as well. Specifically, if available, an Advisor may obtain research from Glass Lewis or other third parties in addition to ISS for shareholder meetings in the following circumstances: (1) where the Advisor’s clients have a significant aggregate holding in the issuer and the meeting agenda contains proxies concerning: Anti-takeover Defenses or Voting Related Issues, Mergers and Acquisitions or Reorganizations or Restructurings, Capital Structure Issues, Compensation Issues or a proxy contest; or (2) where the Advisor in its discretion, has deemed that additional research is warranted. Where research is obtained from Glass Lewis in accordance with these Guidelines, an Advisor will first review the research reports obtained from ISS and Glass Lewis. Except as otherwise provided herein or in the Policy, if the recommendations contained in the research reports from ISS and Glass Lewis are the same, the Advisor will vote accordingly. If the recommendations contained in the research reports from ISS and Glass Lewis are inconsistent, the Advisor will vote in accordance with the Corporate Governance Committee’s (or its designee’s) determination considering the principle of preserving shareholder value. Irrespective of whether the recommendations contained in the research reports from ISS and Glass Lewis are the same or inconsistent, the Corporate Governance Committee (or its designees) will vote on proxies relating to mergers and acquisitions, say- on-pay, or election of directors of companies that have a poison pill as the Corporate Governance Committee (or its designees) determines, considering the principle of preserving shareholder value; provided, however, that if a conflict of interest or potential conflict of interest exists, the matter shall be brought before the Corporate Governance Committee for consideration as provided for in the Policy. Routine/Miscellaneous Auditor Ratification Vote FOR proposals to ratify auditors unless any of the following apply: • An auditor has a financial interest in or association with the company, and is therefore not independent; • There is reason to believe that the independent auditor has rendered an opinion that is neither accurate nor indicative of the company’s financial position; • Poor accounting practices are identified that rise to a serious level of concern, such as: fraud; misapplication of GAAP; or material weaknesses identified in Section 404 disclosures; or • Fees for non-audit services (“other” fees) are excessive. Non-audit fees are excessive if: A-2 • Non-audit (“other”) fees > audit fees + audit-related fees + tax compliance/preparation fees. Board of Directors: Voting on Director Nominees in Uncontested Elections Generally vote FOR director nominees, except under the following circumstances: 1. Accountability Vote AGAINST1 or WITHHOLD from the entire board of directors (except new nominees2, who should be considered CASE-BY-CASE) for the following: Problematic Takeover Defenses Classified Board Structure: 1.1. The board is classified, and a continuing director responsible for a problematic governance issue at the board/committee level that would warrant a WITHHOLD/AGAINST vote recommendation is not up for election. All appropriate nominees (except new) may be held accountable. Director Performance Evaluation: 1.2. The board lacks accountability and oversight, coupled with sustained poor performance relative to peers. Sustained poor performance is measured by one- and three-year total shareholder returns in the bottom half of a company’s four-digit GICS industry group (Russell 3000 companies only). Take into consideration the company’s five-year total shareholder return and operational metrics. Problematic provisions include but are not limited to: • A classified board structure; • A supermajority vote requirement; • Either a plurality vote standard in uncontested director elections or a majority vote standard with no plurality carve-out for contested elections; • The inability of shareholders to call special meetings; • The inability of shareholders to act by written consent; • A dual-class capital structure; and/or • A non–shareholder-approved poison pill. 1 In general, companies with a plurality vote standard use “Withhold” as the contrary vote option in director elections; companies with a majority vote standard use “Against”. However, it will vary by company and the proxy must be checked to determine the valid contrary vote option for the particular company. 2 A “new nominee” is any current nominee who has not already been elected by shareholders and who joined the board after the problematic action in question transpired. If it cannot be determined whether the nominee joined the board before or after the problematic action transpired, the nominee will be considered a “new nominee” if he or she joined the board within the 12 months prior to the upcoming shareholder meeting. A-3 Poison Pills3: 1.3. The company’s poison pill has a “dead-hand” or “modified dead-hand” feature. Vote AGAINST or WITHHOLD from nominees every year until this feature is removed; 1.4. The board adopts a poison pill with a term of more than 12 months (“long-term pill”), or renews any existing pill, including any “short-term” pill (12 months or less), without shareholder approval. A commitment or policy that puts a newly adopted pill to a binding shareholder vote may potentially offset an adverse vote recommendation. Review such companies with classified boards every year, and such companies with annually elected boards at least once every three years, and vote AGAINST or WITHHOLD votes from all nominees if the company still maintains a non-shareholder-approved poison pill; or 1.5. The board makes a material adverse change to an existing poison pill without shareholder approval. Vote CASE-BY-CASE on all nominees if: 1.6. The board adopts a poison pill with a term of 12 months or less (“short-term pill”) without shareholder approval, taking into account the following factors: • The date of the pill‘s adoption relative to the date of the next meeting of shareholders—i.e. whether the company had time to put the pill on ballot for shareholder ratification given the circumstances; • The issuer’s rationale; • The issuer’s governance structure and practices; and • The issuer’s track record of accountability to shareholders. Restricting Binding Shareholder Proposals: Generally vote AGAINST or WITHHOLD from members of the governance committee if: 1.7. The company’s charter imposes undue restrictions on shareholders’ ability to amend the bylaws. Such restrictions include, but are not limited to: outright prohibition on the submission of binding shareholder proposals or share ownership requirements or time holding requirements in excess of SEC Rule 14a-8. Vote AGAINST on an ongoing basis. Problematic Audit-Related Practices Generally vote AGAINST or WITHHOLD from the members of the Audit Committee if: 1.8. The non-audit fees paid to the auditor are excessive (see discussion under “Auditor Ratification”); 1.9. The company receives an adverse opinion on the company’s financial statements from its auditor; or 1.10. There is persuasive evidence that the Audit Committee entered into an inappropriate indemnification agreement with its auditor that limits the ability of the company, or its shareholders, to pursue legitimate legal recourse against the audit firm. 3 The Advisor may vote AGAINST or WITHHOLD from an individual director if the director also serves as a director for another company that has (i) adopted a poison pill for any purpose other than protecting such other company’s net operating losses, or (ii) failed to eliminate a poison pill following a proxy contest in which a majority of directors were replaced. A-4 Vote CASE-BY-CASE on members of the Audit Committee and potentially the full board if: 1.11. Poor accounting practices are identified that rise to a level of serious concern, such as: fraud; misapplication of GAAP; and material weaknesses identified in Section 404 disclosures. Examine the severity, breadth, chronological sequence and duration, as well as the company’s efforts at remediation or corrective actions, in determining whether WITHHOLD/AGAINST votes are warranted. Problematic Compensation Practices/Pay for Performance Misalignment In the absence of an Advisory Vote on Executive Compensation ballot item or in egregious situations, vote AGAINST or WITHHOLD from the members of the Compensation Committee and (potentially the full board) if: 1.12. There is a significant misalignment between CEO pay and company performance (pay for performance); 1.13. The company maintains significant problematic pay practices; 1.14. The board exhibits a significant level of poor communication and responsiveness to shareholders; 1.15. The company fails to submit one-time transfers of stock options to a shareholder vote; or 1.16. The company fails to fulfill the terms of a burn rate commitment made to shareholders. Vote CASE-BY-CASE on Compensation Committee members (or, in exceptional cases, the full board) and the Management Say-on-Pay proposal if: 1.17. The company's previous say-on-pay proposal received the support of less than 70 percent of votes cast, taking into account: • The company's response, including: o Disclosure of engagement efforts with major institutional investors regarding the issues that contributed to the low level of support; o Specific actions taken to address the issues that contributed to the low level of support; o Other recent compensation actions taken by the company; • Whether the issues raised are recurring or isolated; • The company's ownership structure; and • Whether the support level was less than 50 percent, which would warrant the highest degree of responsiveness. Unilateral Bylaw/Charter Amendments 1.18. Generally vote AGAINST or WITHHOLD from directors individually, committee members, or the entire board (except new nominees, who should be considered CASE-BY-CASE) if the board amends the company's bylaws or charter without shareholder approval in a manner that materially diminishes shareholders' rights or that could adversely impact shareholders, considering the following factors, as applicable: • The board's rationale for adopting the bylaw/charter amendment without shareholder ratification; • Disclosure by the company of any significant engagement with shareholders regarding the amendment; • The level of impairment of shareholders' rights caused by the board's unilateral amendment to the bylaws/charter; A-5 • The board's track record with regard to unilateral board action on bylaw/charter amendments or other entrenchment provisions; • The company's ownership structure; • The company's existing governance provisions; • The timing of the board's amendment to the bylaws/charter in connection with a significant business development; and • Other factors, as deemed appropriate, that may be relevant to determine the impact of the amendment on shareholders. Unless the adverse amendment is reversed or submitted to a binding shareholder vote, in subsequent years vote CASE-BY-CASE on director nominees. Generally vote AGAINST (except new nominees, who should be considered CASE-BY-CASE) if the directors: • Classified the board; • Adopted supermajority vote requirements to amend the bylaws or charter; or • Eliminated shareholders' ability to amend bylaws. 1.19. For newly public companies, generally vote AGAINST or WITHHOLD from directors individually, committee members, or the entire board (except new nominees, who should be considered CASE-BY- CASE) if, prior to or in connection with the company's public offering, the company or its board adopted bylaw or charter provisions materially adverse to shareholder rights,4 considering the following factors: The level of impairment of shareholders' rights caused by the provision; • The disclosed rationale for adopting the provision; • The ability to change the governance structure in the future (e.g., limitations on shareholders’ right to amend the bylaws or charter, or supermajority vote requirements to amend the bylaws or charter); • The ability of shareholders to hold directors accountable through annual director elections, or whether the company has a classified board structure; and • A public commitment to put the provision to a shareholder vote within three years of the date of the initial public offering. Unless the adverse provision is reversed or submitted to a vote of public shareholders, vote CASE-BY-CASE on director nominees in subsequent years. Governance Failures Under extraordinary circumstances, vote AGAINST or WITHHOLD from directors individually, committee members, or the entire board, due to: 1.20. Material failures of governance, stewardship, risk oversight5, or fiduciary responsibilities at the company; 1.21. Failure to replace management as appropriate; or 4 Under the Advisors’ guidelines, implementation of a multi-class voting structure prior to or in connection with the company’s public offering will not, per se, warrant a vote AGAINST or WITHHOLD under this provision. 5 Examples of failure of risk oversight include, but are not limited to: bribery; large or serial fines or sanctions from regulatory bodies; significant adverse legal judgments or settlements; hedging of company stock; or significant pledging of company stock. A-6 1.22. Egregious actions related to a director’s service on other boards that raise substantial doubt about his or her ability to effectively oversee management and serve the best interests of shareholders at any company. 2. Responsiveness Vote CASE-BY-CASE on individual directors, committee members, or the entire board of directors (as appropriate) if: 2.1. The board failed to act on a shareholder proposal that received the support of a majority of the shares cast in the previous year. Factors that will be considered are: • Disclosed outreach efforts by the board to shareholders in the wake of the vote; • Rationale provided in the proxy statement for the level of implementation; • The subject matter of the proposal; • The level of support for and opposition to the resolution in past meetings; • Actions taken by the board in response to the majority vote and its engagement with shareholders; • The continuation of the underlying issue as a voting item on the ballot (as either shareholder or management proposals); and • Other factors as appropriate. 2.2. The board failed to act on takeover offers where the majority of shares are tendered; 2.3. At the previous board election, any director received more than 50 percent withhold/against votes of the shares cast and the company has failed to address the issue(s) that caused the high withhold/against vote; 2.4. The board implements an advisory vote on executive compensation on a less frequent basis than the frequency that received the majority of votes cast at the most recent shareholder meeting at which shareholders voted on the say-on-pay frequency; or 2.5. The board implements an advisory vote on executive compensation on a less frequent basis than the frequency that received a plurality, but not a majority, of the votes cast at the most recent shareholder meeting at which shareholders voted on the say-on-pay frequency, taking into account: • The board's rationale for selecting a frequency that is different from the frequency that received a plurality; • The company's ownership structure and vote results; • ISS' analysis of whether there are compensation concerns or a history of problematic compensation practices; and • The previous year's support level on the company's say-on-pay proposal. 3. Composition Attendance at Board and Committee Meetings: 3.1. Generally vote AGAINST or WITHHOLD from directors (except new nominees, who should be considered CASE-BY-CASE6) who attend less than 75 percent of the aggregate of their board and committee meetings for the period for which they served, unless an acceptable reason for absences is disclosed in 6 For new nominees only, schedule conflicts due to commitments made prior to their appointment to the board are considered if disclosed in the proxy or another SEC filing. A-7 the proxy or another SEC filing. Acceptable reasons for director absences are generally limited to the following: • Medical issues/illness; • Family emergencies; and • Missing only one meeting (when the total of all meetings is three or fewer). 3.2. If the proxy disclosure is unclear and insufficient to determine whether a director attended at least 75 percent of the aggregate of his/her board and committee meetings during his/her period of service, vote AGAINST or WITHHOLD from the director(s) in question. Overboarded Directors: Vote AGAINST or WITHHOLD from individual directors who: 3.3. Sit on more than six public company boards7; or 3.4. Are CEOs of public companies who sit on the boards of more than two public companies besides their own—withhold only at their outside boards8. 4. Independence Vote AGAINST or WITHHOLD from Inside Directors and Affiliated Outside Directors when: 4.1. The inside or affiliated outside director serves on any of the three key committees: audit, compensation, or nominating; 4.2. The company lacks an audit, compensation, or nominating committee so that the full board functions as that committee; 4.3. The company lacks a formal nominating committee, even if the board attests that the independent directors fulfill the functions of such a committee; or 4.4. Independent directors make up less than a majority of the directors. Independent Chair (Separate Chair/CEO) Generally vote with management on shareholder proposals requiring that the chairman’s position be filled by an independent director. Proxy Access9 Generally vote FOR management and shareholder proposals for proxy access with the following provisions: Ownership threshold: maximum requirement not more than three percent (3%) of the voting power; Aggregation: minimal or no limits on the number of shareholders permitted to form a nominating group; 7 An Advisor may screen votes otherwise subject to this policy based on the qualifications and circumstances of the directors involved. 8 Although all of a CEO’s subsidiary boards will be counted as separate boards, ISS will not recommend a withhold vote from the CEO of a parent company board or any of the controlled (>50 percent ownership) subsidiaries of that parent, but will do so at subsidiaries that are less than 50 percent controlled and boards outside the parent/subsidiary relationships. 9 An Advisor generally does not consider the duration of required ownership in evaluating proxy access. A-8 Cap: cap on nominees of generally twenty-five percent (25%) of the board. Review for reasonableness any other restrictions on the right of proxy access. Generally vote AGAINST proposals that are more restrictive than these guidelines. Proxy Contests—Voting for Director Nominees in Contested Elections 10 Vote CASE-BY-CASE on the election of directors in contested elections, considering the following factors: • Long-term financial performance of the company relative to its industry; • Management’s track record; • Background to the contested election; • Nominee qualifications and any compensatory arrangements; • Strategic plan of dissident slate and quality of the critique against management; • Likelihood that the proposed goals and objectives can be achieved (both slates); and • Stock ownership positions. In the case of candidates nominated pursuant to proxy access vote CASE-BY-CASE considering the same factors listed above, or additional factors which may be relevant, including those that are specific to the company, to the nominee(s) and/or to the nature of the election (such as whether or not there are more candidates than board seats). Shareholder Rights & Defenses11 Litigation Rights (including Exclusive Venue and Fee-Shifting Bylaw Provisions)12 Bylaw provisions impacting shareholders' ability to bring suit against the company may include exclusive venue provisions, which provide that the state of incorporation shall be the sole venue for certain types of litigation, and fee-shifting provisions that require a shareholder who sues a company unsuccessfully to pay all litigation expenses of the defendant corporation. Vote CASE-BY-CASE on bylaws which impact shareholders' litigation rights, taking into account factors such as: • The company's stated rationale for adopting such a provision; • Disclosure of past harm from shareholder lawsuits in which plaintiffs were unsuccessful or shareholder lawsuits outside the jurisdiction of incorporation; • The breadth of application of the bylaw, including the types of lawsuits to which it would apply and the definition of key terms; and • Governance features such as shareholders' ability to repeal the provision at a later date 10 See introductory information concerning proxies involving this issue and the supplementary actions the Advisor may take. 11 See introductory information concerning proxies involving this issue and the supplementary actions the Advisor may take. 12 The Advisor may vote AGAINST or WITHHOLD from an individual director if the director has adopted a fee-shifting bylaw provision without a shareholder vote. A-9 (including the vote standard applied when shareholders attempt to amend the bylaws) and their ability to hold directors accountable through annual director elections and a majority vote standard in uncontested elections. Generally vote AGAINST bylaws that mandate fee-shifting whenever plaintiffs are not completely successful on the merits (i.e., in cases where the plaintiffs are partially successful). Unilateral adoption by the board of bylaw provisions which affect shareholders' litigation rights will be evaluated under Unilateral Bylaw/Charter Amendments. Poison Pills- Management Proposals to Ratify Poison Pill Vote CASE-BY-CASE on management proposals on poison pill ratification, focusing on the features of the shareholder rights plan. Rights plans should contain the following attributes: • No lower than a 20 percent trigger, flip-in or flip-over; • A term of no more than three years; • No dead-hand, slow-hand, no-hand or similar feature that limits the ability of a future board to redeem the pill; • Shareholder redemption feature (qualifying offer clause); if the board refuses to redeem the pill 90 days after a qualifying offer is announced, 10 percent of the shares may call a special meeting or seek a written consent to vote on rescinding the pill. In addition, the rationale for adopting the pill should be thoroughly explained by the company. In examining the request for the pill, take into consideration the company’s existing governance structure, including: board independence, existing takeover defenses, and any problematic governance concerns. Poison Pills- Management Proposals to Ratify a Pill to Preserve Net Operating Losses (NOLs) Vote AGAINST proposals to adopt a poison pill for the stated purpose of protecting a company's net operating losses (NOL) if the term of the pill would exceed the shorter of three years and the exhaustion of the NOL. Vote CASE-BY-CASE on management proposals for poison pill ratification, considering the following factors, if the term of the pill would be the shorter of three years (or less) and the exhaustion of the NOL: • The ownership threshold to transfer (NOL pills generally have a trigger slightly below 5 percent); • The value of the NOLs; • Shareholder protection mechanisms (sunset provision, or commitment to cause expiration of the pill upon exhaustion or expiration of NOLs); • The company's existing governance structure including: board independence, existing takeover defenses, track record of responsiveness to shareholders, and any other problematic governance concerns; and • Any other factors that may be applicable. Shareholder Ability to Act by Written Consent Generally vote AGAINST management and shareholder proposals to restrict or prohibit shareholders' ability to act by written consent. Generally vote FOR management and shareholder proposals that provide shareholders with the ability to act by written consent, taking into account the following factors: A-10 • Shareholders' current right to act by written consent; • The consent threshold; • The inclusion of exclusionary or prohibitive language; • Investor ownership structure; and • Shareholder support of, and management's response to, previous shareholder proposals. Vote CASE-BY-CASE on shareholder proposals if, in addition to the considerations above, the company has the following governance and antitakeover provisions: • An unfettered13 right for shareholders to call special meetings at a 10 percent threshold; • A majority vote standard in uncontested director elections; • No non-shareholder-approved pill; and • An annually elected board. CAPITAL/RESTRUCTURING 14 Common Stock Authorization Vote FOR proposals to increase the number of authorized common shares where the primary purpose of the increase is to issue shares in connection with a transaction on the same ballot that warrants support. Vote AGAINST proposals at companies with more than one class of common stock to increase the number of authorized shares of the class of common stock that has superior voting rights. Vote AGAINST proposals to increase the number of authorized common shares if a vote for a reverse stock split on the same ballot is warranted despite the fact that the authorized shares would not be reduced proportionally. Vote CASE-BY-CASE on all other proposals to increase the number of shares of common stock authorized for issuance. Take into account company-specific factors that include, at a minimum, the following: • Past Board Performance: o The company's use of authorized shares during the last three years • The Current Request: o Disclosure in the proxy statement of the specific purposes of the proposed increase; o Disclosure in the proxy statement of specific and severe risks to shareholders of not approving the request; and o The dilutive impact of the request as determined by an allowable increase calculated by ISS (typically 100 percent of existing authorized shares) that reflects the company's need for shares and total shareholder returns. 13 "Unfettered" means no restrictions on agenda items, no restrictions on the number of shareholders who can group together to reach the 10 percent threshold, and only reasonable limits on when a meeting can be called: no greater than 30 days after the last annual meeting and no greater than 90 prior to the next annual meeting. 14 See introductory information concerning proxies involving this issue and the supplementary actions the Advisor may take. A-11 Apply the relevant allowable increase below in determining vote on requests to increase common stock that are for general corporate purposes (or to the general corporate purposes portion of a request that also includes a specific need): A. Most companies: 100 percent of existing authorized shares. B. Companies with less than 50 percent of existing authorized shares either outstanding or reserved for issuance: 50 percent of existing authorized shares. C. Companies with one- and three-year total shareholder returns (TSRs) in the bottom 10 percent of the U.S. market as of the end of the calendar quarter that is closest to their most recent fiscal year end: 50 percent of existing authorized shares. D. Companies at which both conditions (B and C) above are both present: 25 percent of existing authorized shares. If there is an acquisition, private placement, or similar transaction on the ballot (not including equity incentive plans) that is receiving a FOR vote, the allowable increase will be the greater of (i) twice the amount needed to support the transactions on the ballot, and (ii) the allowable increase as calculated above. Dual Class Structure Generally vote AGAINST proposals to create a new class of common stock unless: • The company discloses a compelling rationale for the dual-class capital structure, such as: o The company's auditor has concluded that there is substantial doubt about the company's ability to continue as a going concern; o The new class of shares will be transitory; o The new class is intended for financing purposes with minimal or no dilution to current shareholders in both the short term and long term; or o The new class is not designed to preserve or increase the voting power of an insider or significant shareholder. Preferred Stock Authorization Vote FOR proposals to increase the number of authorized preferred shares where the primary purpose of the increase is to issue shares in connection with a transaction on the same ballot that warrants support. Vote AGAINST proposals at companies with more than one class or series of preferred stock to increase the number of authorized shares of the class or series of preferred stock that has superior voting rights. Vote CASE-BY-CASE on all other proposals to increase the number of shares of preferred stock authorized for issuance. Take into account company-specific factors that include, at a minimum, the following: • Past Board Performance: o The company's use of authorized preferred shares during the last three years. • The Current Request: o Disclosure in the proxy statement of the specific purposes for the proposed increase; o Disclosure in the proxy statement of specific and severe risks to shareholders of not approving the request; A-12 o In cases where the company has existing authorized preferred stock, the dilutive impact of the request as determined by an allowable increase calculated by ISS (typically 100 percent of existing authorized shares) that reflects the company's need for shares and total shareholder returns; and o Whether the shares requested are blank check preferred shares that can be used for antitakeover purposes. Mergers and Acquisitions Vote CASE-BY-CASE on mergers and acquisitions. Review and evaluate the merits and drawbacks of the proposed transaction, balancing various and sometimes countervailing factors including: • Valuation - Is the value to be received by the target shareholders (or paid by the acquirer) reasonable? While the fairness opinion may provide an initial starting point for assessing valuation reasonableness, emphasis is placed on the offer premium, market reaction and strategic rationale. • Market reaction - How has the market responded to the proposed deal? A negative market reaction should cause closer scrutiny of a deal. • Strategic rationale - Does the deal make sense strategically? From where is the value derived? Cost and revenue synergies should not be overly aggressive or optimistic, but reasonably achievable. Management should also have a favorable track record of successful integration of historical acquisitions. • Negotiations and process - Were the terms of the transaction negotiated at arm's-length? Was the process fair and equitable? A fair process helps to ensure the best price for shareholders. Significant negotiation "wins" can also signify the deal makers' competency. The comprehensiveness of the sales process (e.g., full auction, partial auction, no auction) can also affect shareholder value. • Conflicts of interest - Are insiders benefiting from the transaction disproportionately and inappropriately as compared to non-insider shareholders? As the result of potential conflicts, the directors and officers of the company may be more likely to vote to approve a merger than if they did not hold these interests. Consider whether these interests may have influenced these directors and officers to support or recommend the merger. • Governance - Will the combined company have a better or worse governance profile than the current governance profiles of the respective parties to the transaction? If the governance profile is to change for the worse, the burden is on the company to prove that other issues (such as valuation) outweigh any deterioration in governance. COMPENSATION15 Executive Pay Evaluation Underlying all evaluations are five global principles that most investors expect corporations to adhere to in designing and administering executive and director compensation programs: 15 See introductory information concerning proxies involving this issue and the supplementary actions the Advisor may take. A-13 1. Maintain appropriate pay-for-performance alignment, with emphasis on long-term shareholder value: This principle encompasses overall executive pay practices, which must be designed to attract, retain, and appropriately motivate the key employees who drive shareholder value creation over the long term. It will take into consideration, among other factors, the link between pay and performance, the mix between fixed and variable pay, performance goals, and equity-based plan costs; 2. Avoid arrangements that risk “pay for failure”: This principle addresses the appropriateness of long or indefinite contracts, excessive severance packages, and guaranteed compensation; 3. Maintain an independent and effective compensation committee: This principle promotes oversight of executive pay programs by directors with appropriate skills, knowledge, experience, and a sound process for compensation decision-making (e.g., including access to independent expertise and advice when needed); 4. Provide shareholders with clear, comprehensive compensation disclosures: This principle underscores the importance of informative and timely disclosures that enable shareholders to evaluate executive pay practices fully and fairly; 5. Avoid inappropriate pay to non-executive directors: This principle recognizes the interests of shareholders in ensuring that compensation to outside directors does not compromise their independence and ability to make appropriate judgments in overseeing managers’ pay and performance. At the market level, it may incorporate a variety of generally accepted best practices. Advisory Votes on Executive Compensation—Management Proposals (Management Say-on- Pay) Vote CASE-BY-CASE on ballot items related to executive pay and practices, as well as certain aspects of outside director compensation. Vote AGAINST Advisory Votes on Executive Compensation (Management Say-on-Pay—MSOP) if: • There is a significant misalignment between CEO pay and company performance (pay for performance); • The company maintains significant problematic pay practices; • The board exhibits a significant level of poor communication and responsiveness to shareholders. Vote AGAINST or WITHHOLD from the members of the Compensation Committee and potentially the full board if: • There is no MSOP on the ballot and an AGAINST vote on an MSOP is warranted due to a pay for performance misalignment, problematic pay practices, or the lack of adequate responsiveness on compensation issues raised previously, or a combination thereof; • The board fails to respond adequately to a previous MSOP proposal that received less than 70 percent support of votes cast; • The company has recently practiced or approved problematic pay practices, including option repricing or option backdating; or • The situation is egregious. A-14 Primary Evaluation Factors for Executive Pay Pay-for-Performance Evaluation In casting a vote on executive compensation proposals, an Advisor may leverage the ISS pay-for-performance analysis. With respect to companies in the Russell 3000 or Russell 3000E indices, this analysis considers the following: 1. Peer Group16 Alignment: • The degree of alignment between the company's annualized TSR rank and the CEO's annualized total pay rank within a peer group, each measured over a three-year period. • The multiple of the CEO's total pay relative to the peer group median. 2. Absolute Alignment – the absolute alignment between the trend in CEO pay and company TSR over the prior five fiscal years – i.e., the difference between the trend in annual pay changes and the trend in annualized TSR during the period. If the above analysis demonstrates significant unsatisfactory long-term pay-for-performance alignment or, in the case of companies outside the Russell indices, misaligned pay and performance are otherwise suggested, the following qualitative factors, as relevant to evaluating how various pay elements may work to encourage or to undermine long-term value creation and alignment with shareholder interests, may be considered • The ratio of performance- to time-based equity awards; • The overall ratio of performance-based compensation; • The completeness of disclosure and rigor of performance goals; • The company's peer group benchmarking practices; • Actual results of financial/operational metrics, such as growth in revenue, profit, cash flow, etc., both absolute and relative to peers; • Special circumstances related to, for example, a new CEO in the prior FY or anomalous equity grant practices (e.g., bi-annual awards); • Realizable pay compared to grant pay; and • Any other factors deemed relevant. Problematic Pay Practices The focus is on executive compensation practices that contravene the global pay principles, including: • Problematic practices related to non-performance-based compensation elements; • Incentives that may motivate excessive risk-taking; and • Options Backdating. Problematic Pay Practices related to Non-Performance-Based Compensation Elements 16 The peer group is generally comprised of 14-24 companies that are selected using market cap, revenue (or assets for certain financial firms), GICS industry group and company's selected peers' GICS industry group with size constraints, via a process designed to select peers that are closest to the subject company in terms of revenue/assets and industry and also within a market cap bucket that is reflective of the company's. A-15 Pay elements that are not directly based on performance are generally evaluated CASE-BY-CASE considering the context of a company's overall pay program and demonstrated pay-for-performance philosophy. The list below highlights the problematic practices that carry significant weight in this overall consideration and may result in adverse vote recommendations: • Repricing or replacing of underwater stock options/SARS without prior shareholder approval (including cash buyouts and voluntary surrender of underwater options); • Excessive perquisites or tax gross-ups, including any gross-up related to a secular trust or restricted stock vesting; • New or extended agreements that provide for: o Change in control (CIC) payments exceeding 3 times base salary and average/target/most recent bonus; o CIC severance payments without involuntary job loss or substantial diminution of duties ("single" or "modified single" triggers); o CIC payments with excise tax gross-ups (including "modified" gross-ups). • Insufficient executive compensation disclosure by externally-managed issuers (EMIs) such that a reasonable assessment of pay programs and practices applicable to the EMI's executives is not possible. Incentives that may Motivate Excessive Risk-Taking • Multi-year guaranteed bonuses; • A single or common performance metric used for short- and long-term plans; • Lucrative severance packages; • High pay opportunities relative to industry peers; • Disproportionate supplemental pensions; or • Mega annual equity grants that provide unlimited upside with no downside risk. Factors that potentially mitigate the impact of risky incentives include rigorous claw-back provisions and robust stock ownership/holding guidelines. Options Backdating The following factors should be examined CASE-BY-CASE to allow for distinctions to be made between “sloppy” plan administration versus deliberate action or fraud: • Reason and motive for the options backdating issue, such as inadvertent vs. deliberate grant date changes; • Duration of options backdating; • Size of restatement due to options backdating; • Corrective actions taken by the board or compensation committee, such as canceling or re-pricing backdated options, the recouping of option gains on backdated grants; and • Adoption of a grant policy that prohibits backdating, and creates a fixed grant schedule or window period for equity grants in the future. Compensation Committee Communications and Responsiveness Consider the following factors CASE-BY-CASE when evaluating ballot items related to executive pay on the board’s responsiveness to investor input and engagement on compensation issues: A-16 • Failure to respond to majority-supported shareholder proposals on executive pay topics; or • Failure to adequately respond to the company's previous say-on-pay proposal that received the support of less than 70 percent of votes cast, taking into account: o The company's response, including: Disclosure of engagement efforts with major institutional investors regarding the issues that contributed to the low level of support; Specific actions taken to address the issues that contributed to the low level of support; Other recent compensation actions taken by the company; o Whether the issues raised are recurring or isolated; o The company's ownership structure; and o Whether the support level was less than 50 percent, which would warrant the highest degree of responsiveness. Frequency of Advisory Vote on Executive Compensation ("Say When on Pay") Vote FOR triennial advisory votes on compensation. Voting on Golden Parachutes in an Acquisition, Merger, Consolidation, or Proposed Sale Vote CASE-BY-CASE on say on Golden Parachute proposals, including consideration of existing change-in-control arrangements maintained with named executive officers rather than focusing primarily on new or extended arrangements. Features that may result in an AGAINST recommendation include one or more of the following, depending on the number, magnitude, and/or timing of issue(s): • Single- or modified-single-trigger cash severance; • Single-trigger acceleration of unvested equity awards; • Excessive cash severance (>3x base salary and bonus); • Excise tax gross-ups triggered and payable (as opposed to a provision to provide excise tax gross-ups); • Excessive golden parachute payments (on an absolute basis or as a percentage of transaction equity value); • Recent amendments that incorporate any problematic features (such as those above) or recent actions (such as extraordinary equity grants) that may make packages so attractive as to influence merger agreements that may not be in the best interests of shareholders; or • The company's assertion that a proposed transaction is conditioned on shareholder approval of the golden parachute advisory vote. Recent amendment(s) that incorporate problematic features will tend to carry more weight on the overall analysis. However, the presence of multiple legacy problematic features will also be closely scrutinized. In cases where the golden parachute vote is incorporated into a company's advisory vote on compensation (management say-on-pay), the say-on-pay proposal will be evaluated in accordance with these guidelines, which may give higher weight to that component of the overall evaluation. A-17 Equity-Based and Other Incentive Plans17 Vote CASE-BY-CASE on certain equity-based compensation plans18 depending on a combination of certain plan features and equity grant practices, where positive factors may counterbalance negative factors, and vice versa, as evaluated using an "equity plan scorecard" (EPSC) approach with three pillars: Plan Cost: The total estimated cost of the company’s equity plans relative to industry/market cap peers, measured by the company's estimated Shareholder Value Transfer (SVT) in relation to peers and considering both: • SVT based on new shares requested plus shares remaining for future grants, plus outstanding unvested/unexercised grants; and • SVT based only on new shares requested plus shares remaining for future grants. Plan Features: • Automatic single-triggered award vesting upon a CIC; • Discretionary vesting authority; • Liberal share recycling on various award types; • Lack of minimum vesting period for grants made under the plan; • Dividends payable prior to award vesting. Grant Practices: • The company’s three year burn rate relative to its industry/market cap peers; • Vesting requirements in most recent CEO equity grants (3-year look-back); • The estimated duration of the plan (based on the sum of shares remaining available and the new shares requested, divided by the average annual shares granted in the prior three years); • The proportion of the CEO's most recent equity grants/awards subject to performance conditions; • Whether the company maintains a claw-back policy; • Whether the company has established post exercise/vesting share-holding requirements. Generally vote AGAINST the plan proposal if the combination of above factors indicates that the plan is not, overall, in shareholders' interests, or if any of the following egregious factors apply: • Awards may vest in connection with a liberal change-of-control definition; • The plan would permit repricing or cash buyout of underwater options without shareholder approval (either by expressly permitting it – for NYSE and Nasdaq listed companies -- or by not prohibiting it when the company has a history of repricing – for non-listed companies); • The plan is a vehicle for problematic pay practices or a significant pay-for-performance disconnect under certain circumstances; or • Any other plan features are determined to have a significant negative impact on shareholder interests. 17 See introductory information concerning proxies involving this issue and the supplementary actions the Advisor may take. 18 Proposals evaluated under the EPSC policy generally include those to approve or amend (1) stock option plans for employees and/or employees and directors, (2) restricted stock plans for employees and/or employees and directors, and (3) omnibus stock incentive plans for employees and/or employees and directors; amended plans will be further evaluated case-by-case. A-18 Social/Environmental Issues Global Approach Generally vote FOR the management’s recommendation on shareholder proposals involving social/environmental issues. When evaluating social and environmental shareholder proposals, an Advisor considers the most important factor to be whether adoption of the proposal is likely to enhance or protect shareholder value. Environmentally Screened Portfolios With respect to environmentally screened portfolios, an Advisor will generally vote on shareholder proposals involving environmental issues in accordance with the following guidelines: Generally vote CASE-BY-CASE, taking into consideration whether implementation of the proposal is likely to enhance or protect shareholder value, and in addition the following will also be considered: • If the issues presented in the proposal are more appropriately or effectively dealt with through legislation or government regulation; • If the company has already responded in an appropriate and sufficient manner to the issue(s) raised in the proposal; • Whether the proposal's request is unduly burdensome (scope or timeframe) or overly prescriptive; • The company's approach compared with any industry standard practices for addressing the issue(s) raised by the proposal; • If the proposal requests increased disclosure or greater transparency, whether or not reasonable and sufficient information is currently available to shareholders from the company or from other publicly available sources; and • If the proposal requests increased disclosure or greater transparency, whether or not implementation would reveal proprietary or confidential information that could place the company at a competitive disadvantage. Generally vote FOR resolutions requesting that a company disclose information on the risks related to climate change on its operations and investments, such as financial, physical, or regulatory risks, considering: • Whether the company already provides current, publicly-available information on the impact that climate change may have on the company as well as associated company policies and procedures to address related risks and/or opportunities; • The company’s level of disclosure is at least comparable to that of industry peers; and • There are no significant controversies, fines, penalties, or litigation associated with the company’s environmental performance. Generally vote FOR proposals requesting a report on greenhouse gas (GHG) emissions from company operations and/or products and operations, unless: • The company already discloses current, publicly-available information on the impacts that GHG emissions may have on the company as well as associated company policies and procedures to address related risks and/or opportunities; • The company's level of disclosure is comparable to that of industry peers; and A-19 • There are no significant, controversies, fines, penalties, or litigation associated with the company's GHG emissions. Vote CASE-BY-CASE on proposals that call for the adoption of GHG reduction goals from products and operations, taking into account: • Whether the company provides disclosure of year-over-year GHG emissions performance data; • Whether company disclosure lags behind industry peers; • The company's actual GHG emissions performance; • The company's current GHG emission policies, oversight mechanisms, and related initiatives; and • Whether the company has been the subject of recent, significant violations, fines, litigation, or controversy related to GHG emissions. Foreign Private Issuers Listed on U.S. Exchanges Vote AGAINST (or WITHHOLD from) non-independent director nominees at companies which fail to meet the following criteria: a majority-independent board, and the presence of an audit, a compensation, and a nomination committee, each of which is entirely composed of independent directors. Where the design and disclosure levels of equity compensation plans are comparable to those seen at U.S. companies, U.S. compensation policy will be used to evaluate the compensation plan proposals. Otherwise, they, and all other voting items, will be evaluated using the relevant market proxy voting guidelines. Political Issues Overall Approach Generally vote FOR the management’s recommendation on shareholder proposals involving political issues. When evaluating political shareholder proposals, an Advisor considers the most important factor to be whether adoption of the proposal is likely to enhance or protect shareholder value. A-20 APPENDIX INTERNATIONAL PROXY VOTING SUMMARY GUIDELINES19 Effective for Meetings on or after February 1, 2017 In order to provide greater analysis on certain shareholder meetings, the Advisors have elected to receive research reports for certain meetings, as indicated below, from Glass Lewis and Ownership Matters in addition to Institutional Shareholder Services, Inc. (“ISS”), and may in certain circumstances purchase research from other third parties as well. Specifically, if available, an Advisor may obtain research from Glass Lewis or other third parties in addition to ISS for shareholder meetings in the following circumstances: (1) where the Advisor’s clients have a significant aggregate holding in the issuer and the meeting agenda contains proxies concerning: Anti-takeover Defenses or Voting Related Issues, Mergers and Acquisitions or Reorganizations or Restructurings, Capital Structure Issues, Compensation Issues or a proxy contest; or (2) where the Advisor in its discretion, has deemed that additional research is warranted. An Advisor may purchase research from Ownership Matters with respect to the proxies of certain large Australian Companies. Where research is obtained from Glass Lewis in accordance with these Guidelines, an Advisor will first review the research reports obtained from ISS and Glass Lewis. Except as otherwise provided herein or in the Policy, if the recommendations contained in the research reports from ISS and Glass Lewis are the same, the Advisor will vote accordingly. If the recommendations contained in the research reports from ISS and Glass Lewis are inconsistent, the Advisor will vote in accordance with the Corporate Governance Committee’s (or its designee’s) determination considering the principle of preserving shareholder value. Irrespective of whether the recommendations contained in the research reports from ISS and Glass Lewis are the same or inconsistent, the Corporate Governance Committee (or its designees) will vote on proxies relating to mergers and acquisitions, say- on-pay or election of directors of companies that have a poison pill as the Committee (or its designees) determines, considering the principle of preserving shareholder value; provided, however, that if a conflict of interest or potential conflict of interest exists, the matter shall be brought before the Corporate Governance Committee for consideration as provided for in the Policy. 1. General Policies Financial Results/Director and Auditor Reports Vote FOR approval of financial statements and director and auditor reports, unless: • There are concerns about the accounts presented or audit procedures used; or • The company is not responsive to shareholder questions about specific items that should be publicly disclosed. 19 This is a summary of the majority of International Markets, however, certain countries and/or markets have separate policies which are generally consistent with the principles reflected in this summary but are modified to reflect issues such as those related to customs, disclosure obligations and legal structures of the relevant jurisdiction. A-21 Appointment of Auditors and Auditor Compensation Vote FOR proposals to ratify auditors and proposals authorizing the board to fix auditor fees, unless: • There are serious concerns about the accounts presented or the audit procedures used; • The auditors are being changed without explanation; or • Non-audit-related fees are substantial or are routinely in excess of standard annual audit-related fees. Vote AGAINST the appointment of external auditors if they have previously served the company in an executive capacity or can otherwise be considered affiliated with the company. Appointment of Internal Statutory Auditors Vote FOR the appointment or (re)election of statutory auditors, unless: • There are serious concerns about the statutory reports presented or the audit procedures used; • Questions exist concerning any of the statutory auditors being appointed; or • The auditors have previously served the company in an executive capacity or can otherwise be considered affiliated with the company. Allocation of Income Vote FOR approval of the allocation of income, unless: • The dividend payout ratio has been consistently below 30 percent without adequate explanation; or • The payout is excessive given the company's financial position. Stock (Scrip) Dividend Alternative Vote FOR most stock (scrip) dividend proposals. Vote AGAINST proposals that do not allow for a cash option unless management demonstrates that the cash option is harmful to shareholder value. Amendments to Articles of Association Vote amendments to the articles of association on a CASE-BY-CASE basis. Change in Company Fiscal Term Vote FOR resolutions to change a company's fiscal term unless a company's motivation for the change is to postpone its AGM. Lower Disclosure Threshold for Stock Ownership Vote AGAINST resolutions to lower the stock ownership disclosure threshold below 5 percent unless specific reasons exist to implement a lower threshold. A-22 Amend Quorum Requirements Vote proposals to amend quorum requirements for shareholder meetings on a CASE-BY-CASE basis. Transact Other Business Vote AGAINST other business when it appears as a voting item. 2. BOARD OF DIRECTORS Non-Contested Director Elections Vote FOR management nominees in the election of directors, unless: • Adequate disclosure has not been provided in a timely manner; • There are clear concerns over questionable finances or restatements;20 • There have been questionable transactions with conflicts of interest; • There are any records of abuses against minority shareholder interests; or • The board fails to meet minimum corporate governance standards. Vote AGAINST the election or reelection of any and all director nominees when the names of the nominees are not available at the time the ISS analysis is written and therefore no research is provided on the nominee. Vote FOR individual nominees unless there are specific concerns about the individual, such as criminal wrongdoing or breach of fiduciary responsibilities. Vote AGAINST individual directors if repeated absences at board meetings have not been explained (in countries where this information is disclosed). Vote FOR employee and/or labor representatives if they sit on either the audit or compensation committee and are required by law to be on those committees. Vote AGAINST employee and/or labor representatives if they sit on either the audit or compensation committee, if they are not required to be on those committees. Vote on a CASE-BY-CASE basis for contested elections of directors, e.g. the election of shareholder nominees or the dismissal of incumbent directors, determining which directors are best suited to add value for shareholders.21 20 In Japan, an Advisor may vote FOR individual director(s) where proxy research has identified no overriding concerns beyond the company’s failure of a quantitative capital efficiency (ROE) test applied by the proxy research firm. 21 See introductory information concerning proxies involving this issue and the supplementary actions the Advisor may take. A-23 Classification of Directors - International Policy Executive Director • Employee or executive of the company; • Any director who is classified as a non-executive, but receives salary, fees, bonus, and/or other benefits that are in line with the highest-paid executives of the company. Non-Independent Non-Executive Director (NED) • Any director who is attested by the board to be a non-independent NED; • Any director specifically designated as a representative of a significant shareholder of the company; • Any director who is also an employee or executive of a significant shareholder of the company; • Beneficial owner (direct or indirect) of at least 10% of the company's stock, either in economic terms or in voting rights (this may be aggregated if voting power is distributed among more than one member of a defined group, e.g., members of a family that beneficially own less than 10% individually, but collectively own more than 10%), unless market best practice dictates a lower ownership and/or disclosure threshold (and in other special market-specific circumstances); • Government representative; • Currently provides (or a relative[1] provides) professional services[2] to the company, to an affiliate of the company, or to an individual officer of the company or of one of its affiliates in excess of $10,000 per year; • Represents customer, supplier, creditor, banker, or other entity with which the company maintains a transactional/commercial relationship (unless the company discloses information to apply a materiality test[3]); • Any director who has conflicting or cross-directorships with executive directors or the chairman of the company; • Relative[1] of a current or former executive of the company or its affiliates; • A new appointee elected other than by a formal process through the General Meeting (such as a contractual appointment by a substantial shareholder); • Founder/co-founder/member of founding family but not currently an employee; • Former executive (5 year cooling off period); • Years of service will NOT be a determining factor unless it is recommended best practice in a market: o 9 years (from the date of election) in the United Kingdom and Ireland; o 12 years in European markets; o 7 years in Russia. Independent NED • Not classified as non-independent (see above); • No material[4] connection, either directly or indirectly, to the company other than a board seat. Employee Representative • Represents employees or employee shareholders of the company (classified as “employee representative” but considered a non-independent NED). Footnotes: [1] “Relative” follows the SEV’s proposed definition of “immediate family members” which covers spouses, parents, children, step-parents, step-children, siblings, in-laws, and any person (other than a tenant or employee) sharing the household of any director, nominee for director, executive officer, or significant shareholder of the company. [2] Professional services can be characterized as advisory in nature and generally include the following: investment banking/financial advisory services; commercial banking (beyond deposit services); investment services; insurance services; accounting/audit services; consulting services; marketing services; and legal services. The case of participation in a banking syndicate by a non-lead bank should be considered a transaction (and hence subject to the associated materiality test) rather than a professional relationship. [3] If the company makes or receives annual payments exceeding the greater of $200,000 or 5 percent of the recipient's gross revenues. (The recipient is the party receiving the financial proceeds from the transaction.) [4] For purposes of ISS' director independence classification, “material” will be defined as a standard of relationship (financial, personal or otherwise) that a reasonable person might conclude could potentially influence one's objectivity in the boardroom in a manner that would have a meaningful impact on an individual's ability to satisfy requisite fiduciary standards on behalf of shareholders. A-24 Contested Director Elections22 For shareholder nominees, the persuasive burden is on the nominee or the proposing shareholder to prove that they are better suited to serve on the board than management's nominees. Serious consideration of shareholder nominees will be given only if there are clear and compelling reasons for the nominee to join the board. These nominees must also demonstrate a clear ability to contribute positively to board deliberations; some nominees may have hidden or narrow agendas and may unnecessarily contribute to divisiveness among directors. The major decision factors are: • Company performance relative to its peers; • Strategy of the incumbents versus the dissidents; • Independence of directors/nominees; • Experience and skills of board candidates; • Governance profile of the company; • Evidence of management entrenchment; • Responsiveness to shareholders; • Whether a takeover offer has been rebuffed. When analyzing a contested election of directors, an Advisor will generally focus on two central questions: (1) Have the proponents proved that board change is warranted? And if so, (2) Are the proponent board nominees likely to effect positive change (i.e., maximize long-term shareholder value)? Voting on Directors for Egregious Actions Under extraordinary circumstances, vote AGAINST or WITHHOLD from directors individually, on a committee, or the entire board, due to: • Material failures of governance, stewardship, risk oversight, or fiduciary responsibilities at the company; • Failure to replace management as appropriate; or • Egregious actions related to the director(s)’service on other boards that raise substantial doubt about his or her ability to effectively oversee management and serve the best interests of shareholders at any company.23 Discharge of Board and Management Vote FOR the discharge of directors, including members of the management board and/or supervisory board, unless there is reliable information about significant and compelling concerns that the board is not fulfilling its fiduciary duties warranted on a CASE-BY-CASE basis by: • A lack of oversight or actions by board members which invoke shareholder distrust related to malfeasance or poor supervision, such as operating in private or company interest rather than in shareholder interest • Any legal issues (e.g. civil/criminal) aiming to hold the board responsible for breach of trust in the past or related to currently alleged action yet to be confirmed (and not only in the fiscal year in question) such as price fixing, insider trading, bribery, fraud, and other illegal actions; or 22 See introductory information concerning proxies involving this issue and the supplementary actions the Advisor may take. 23 The Advisor may vote AGAINST or WITHHOLD from an individual director if the director also serves as a director for another company that has adopted a poison pill for any purpose other than protecting such other company’s net operating losses. A-25 • Other egregious governance issues where shareholders will bring legal action against the company or its directors For markets which do not routinely request discharge resolutions (e.g. common law countries or markets where discharge is not mandatory), analysts may voice concern in other appropriate agenda items, such as approval of the annual accounts or other relevant resolutions, to enable shareholders to express discontent with the board. Director, Officer, and Auditor Indemnification and Liability Provisions Vote proposals seeking indemnification and liability protection for directors and officers on a CASE-BY-CASE basis. Vote AGAINST proposals to indemnify external auditors. Board Structure Vote FOR routine proposals to fix board size. Vote AGAINST the introduction of classified boards and mandatory retirement ages for directors. Vote AGAINST proposals to alter board structure or size in the context of a fight for control of the company or the board. 3. CAPITAL STRUCTURE24 Share Issuance Requests General Issuances Vote FOR issuance authorities with pre-emptive rights to a maximum of 100 percent over currently issued capital and as long as the share issuance authorities’ periods are clearly disclosed (or implied by the application of a legal maximum duration) and in line with market-specific practices and/or recommended guidelines. Vote FOR issuance authorities without pre-emptive rights to a maximum of 20 percent (or a lower limit if local market best practice recommendations provide) of currently issued capital as long as the share issuance authorities’ periods are clearly disclosed (or implied by the application of a legal maximum duration) and in line with market-specific practices and/or recommended guidelines. 24 See introductory information concerning proxies involving this issue and the supplementary actions the Advisor may take. A-26 Specific Issuances Vote on a CASE-BY-CASE basis on all requests, with or without preemptive rights. Increases in Authorized Capital Vote FOR non-specific proposals to increase authorized capital up to 100 percent over the current authorization unless the increase would leave the company with less than 30 percent of its new authorization outstanding. Vote FOR specific proposals to increase authorized capital to any amount, unless: • The specific purpose of the increase (such as a share-based acquisition or merger) does not meet ISS guidelines for the purpose being proposed; or • The increase would leave the company with less than 30 percent of its new authorization outstanding after adjusting for all proposed issuances. Vote AGAINST proposals to adopt unlimited capital authorizations. Reduction of Capital Vote FOR proposals to reduce capital for routine accounting purposes unless the terms are unfavorable to shareholders. Vote proposals to reduce capital in connection with corporate restructuring on a CASE-BY-CASE basis. Capital Structures Vote FOR resolutions that seek to maintain or convert to a one-share, one-vote capital structure. Vote AGAINST requests for the creation or continuation of dual-class capital structures or the creation of new or additional super voting shares. Preferred Stock Vote FOR the creation of a new class of preferred stock or for issuances of preferred stock up to 50 percent of issued capital unless the terms of the preferred stock would adversely affect the rights of existing shareholders. Vote FOR the creation/issuance of convertible preferred stock as long as the maximum number of common shares that could be issued upon conversion meets the guidelines on equity issuance requests. Vote AGAINST the creation of a new class of preference shares that would carry superior voting rights to the common shares. Vote AGAINST the creation of blank check preferred stock unless the board clearly states that the authorization will not be used to thwart a takeover bid. Vote proposals to increase blank check preferred authorizations on a CASE-BY-CASE basis. A-27 Debt Issuance Requests Vote non-convertible debt issuance requests on a CASE-BY-CASE basis, with or without preemptive rights. Vote FOR the creation/issuance of convertible debt instruments as long as the maximum number of common shares that could be issued upon conversion meets the guidelines on equity issuance requests. Vote FOR proposals to restructure existing debt arrangements unless the terms of the restructuring would adversely affect the rights of shareholders. Pledging of Assets for Debt Vote proposals to approve the pledging of assets for debt on a CASE-BY-CASE basis. Increase in Borrowing Powers Vote proposals to approve increases in a company's borrowing powers on a CASE-BY-CASE basis. Share Repurchase Plans Generally vote FOR share repurchase programs/market authorities, provided that the proposal meets the following parameters: • Maximum Volume: 10 percent for market repurchase within any single authority and 10 percent of outstanding shares to be kept in treasury (“on the shelf”); and • Duration does not exceed 18 months. Vote AGAINST any proposal where: • The repurchase can be used for takeover defenses; • There is clear evidence of abuse; • There is no safeguard against selective buybacks; and/or • Pricing provisions and safeguards are deemed to be unreasonable in light of market practice. Share repurchase plans in excess of 10 percent volume in exceptional circumstances, such as one-off company specific events (e.g. capital re-structuring), will be assessed CASE-BY-CASE based on merits, which should be clearly disclosed in the annual report, provided that following conditions are met: • The overall balance of the proposed plan seems to be clearly in shareholders’ interests; • The plan still respects the 10 percent maximum of shares to be kept in treasury. Reissuance of Repurchased Shares Vote FOR requests to reissue any repurchased shares unless there is clear evidence of abuse of this authority in the past. Capitalization of Reserves for Bonus Issues/Increase in Par Value Vote FOR requests to capitalize reserves for bonus issues of shares or to increase par value. A-28 4. COMPENSATION25 Compensation Plans Vote compensation plans on a CASE-BY-CASE basis consistent with the following principles: • Provide shareholders with clear, comprehensive compensation disclosures; • Maintain appropriate pay-for-performance alignment with emphasis on long-term shareholder value; • Avoid arrangements that risk “pay for failure”; • Maintain an independent and effective compensation committee; • Avoid inappropriate pay to non-executive directors. Director Compensation Vote FOR proposals to award cash fees to non-executive directors unless the amounts are excessive relative to other companies in the country or industry. Vote non-executive director compensation proposals that include both cash and share-based components on a CASE-BY-CASE basis. Vote proposals that bundle compensation for both non-executive and executive directors into a single resolution on a CASE-BY-CASE basis. Vote AGAINST proposals to introduce retirement benefits for non-executive directors. 5. OTHER ITEMS Reorganizations/Restructurings Vote reorganizations and restructurings on a CASE-BY-CASE basis. Mergers and Acquisitions Vote CASE-BY-CASE on mergers and acquisitions taking into account the following: Review and evaluate the merits and drawbacks of the proposed transaction, balancing various and sometimes countervailing factors including: • Valuation - Is the value to be received by the target shareholders (or paid by the acquirer) reasonable? An Advisor places emphasis on the offer premium, market reaction, and strategic rationale. • Market reaction - How has the market responded to the proposed deal? Strategic rationale - Does the deal make sense strategically? From where is the value derived? Cost and revenue synergies should not be overly aggressive or optimistic, but reasonably achievable. Management should also have a favorable track record of successful integration of historical acquisitions. 25 See introductory information concerning proxies involving this issue and the supplementary actions an Advisor may take. A-29 • Conflicts of interest - Are insiders benefiting from the transaction disproportionately and inappropriately as compared to non-insider shareholders or have special interests influenced directors and officers to support or recommend the merger? • Governance - Will the combined company have a better or worse governance profile than the current governance profiles of the respective parties to the transaction? If the governance profile is to change for the worse, the burden is on the company to prove that other issues (such as valuation) outweigh any deterioration in governance. Vote AGAINST if the companies do not provide sufficient information upon request to allow shareholders to make an informed voting decision. Mandatory Takeover Bid Waivers Vote proposals to waive mandatory takeover bid requirements on a CASE-BY-CASE basis. Reincorporation Proposals Vote reincorporation proposals on a CASE-BY-CASE basis. Expansion of Business Activities Vote FOR resolutions to expand business activities unless the new business takes the company into risky areas. Related-Party Transactions Vote related-party transactions on a CASE-BY-CASE basis. Antitakeover Mechanisms Vote AGAINST all antitakeover proposals unless they are structured in such a way that they give shareholders the ultimate decision on any proposal or offer. Shareholder Proposals Vote all shareholder proposals on a CASE-BY-CASE basis. Vote FOR proposals that would improve the company's corporate governance or business profile at a reasonable cost. Vote AGAINST proposals that limit the company's business activities or capabilities or result in significant costs being incurred with little or no benefit. A-30 Corporate Social Responsibility (CSR) Issues Generally vote FOR the management’s recommendation on shareholder proposals involving CSR Issues. When evaluating social and environmental shareholder proposals, an Advisor considers the most important factor to be whether adoption of the proposal is likely to enhance or protect shareholder value. Environmentally Screened Portfolios With respect to environmentally screened portfolios, the Advisor will generally vote on shareholder proposals involving environmental issues in accordance with the following guidelines: Generally vote CASE-BY-CASE, taking into consideration whether implementation of the proposal is likely to enhance or protect shareholder value, and in addition the following will also be considered: • If the issues presented in the proposal are more appropriately or effectively dealt with through legislation or government regulation; • If the company has already responded in an appropriate and sufficient manner to the issue(s) raised in the proposal; • Whether the proposal's request is unduly burdensome (scope or timeframe) or overly prescriptive; • The company's approach compared with any industry standard practices for addressing the issue(s) raised by the proposal; • If the proposal requests increased disclosure or greater transparency, whether or not reasonable and sufficient information is currently available to shareholders from the company or from other publicly available sources; and • If the proposal requests increased disclosure or greater transparency, whether or not implementation would reveal proprietary or confidential information that could place the company at a competitive disadvantage. Generally vote FOR resolutions requesting that a company disclose information on the risks related to climate change on its operations and investments, such as financial, physical, or regulatory risks, considering: • Whether the company already provides current, publicly-available information on the impact that climate change may have on the company as well as associated company policies and procedures to address related risks and/or opportunities; • The company’s level of disclosure is at least comparable to that of industry peers; and • There are no significant controversies, fines, penalties, or litigation associated with the company’s environmental performance. Generally vote FOR proposals requesting a report on GHG emissions from company operations and/or products and operations, unless: • The company already discloses current, publicly-available information on the impacts that GHG emissions may have on the company as well as associated company policies and procedures to address related risks and/or opportunities; • The company's level of disclosure is comparable to that of industry peers; and • There are no significant, controversies, fines, penalties, or litigation associated with the company's GHG emissions. A-31 Vote CASE-BY-CASE on proposals that call for the adoption of GHG reduction goals from products and operations, taking into account: • Whether the company provides disclosure of year-over-year GHG emissions performance data; • Whether company disclosure lags behind industry peers; • The company's actual GHG emissions performance; • The company's current GHG emission policies, oversight mechanisms, and related initiatives; and • Whether the company has been the subject of recent, significant violations, fines, litigation, or controversy related to GHG emissions. Country of Incorporation vs. Country of Listing-Application of Policy In general, country of incorporation will be the basis for policy application. US policies will be applied to the extent possible to issuers that file DEF 14As, 10-K annual and 10-Q quarterly reports and are thus considered domestic issuers by the U.S. Securities and Exchange Commission (SEC). Foreign Private Issuers Listed on U.S. Exchanges Companies that are incorporated outside of the U.S. and listed solely on U.S. exchanges, where they qualify as Foreign Private Issuers (FPIs), will be subject to the following policy: Vote AGAINST (or WITHHOLD from) non-independent director nominees at companies which fail to meet the following criteria: a majority-independent board, and the presence of an audit, a compensation, and a nomination committee, each of which is entirely composed of independent directors. Where the design and disclosure levels of equity compensation plans are comparable to those seen at U.S. companies, U.S. compensation policy will be used to evaluate the compensation plan proposals. In all other cases, equity compensation plans will be evaluated according to the US Proxy Voting Guidelines. All other voting items will be evaluated using the International Proxy Voting Guidelines. FPIs are defined as companies whose business is administered principally outside the U.S., with more than 50 percent of assets located outside the U.S., a majority of whose directors/officers are not U.S. citizens or residents, and a majority of whose outstanding voting shares are held by non-residents of the U.S.